OvernightFuture (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.index.OvernightFuture

All Implemented Interfaces:

Resolvable<ResolvedOvernightFuture>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class OvernightFuture
extends Object
implements SecuritizedProduct, Resolvable<ResolvedOvernightFuture>, org.joda.beans.ImmutableBean, Serializable
```
A futures contract based on an Overnight index.
An Overnight rate future is a financial instrument that is based on the future value of an Overnight index interest rate. The profit or loss of an Overnight rate future is settled daily. This class represents the structure of a single futures contract.
For example, the widely traded "30-Day Federal Funds futures contract" has a notional of 5 million USD, is based on the US Federal Funds Effective Rate 'USD-FED-FUND', expiring the last business day of each month.
Price
The price of an Overnight rate future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).
Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`OvernightFuture.Builder` The bean-builder for `OvernightFuture`.
`static class`	`OvernightFuture.Meta` The meta-bean for `OvernightFuture`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static OvernightFuture.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`double`	`getAccrualFactor()` Gets the accrual factor, defaulted from the index if not set.
`OvernightAccrualMethod`	`getAccrualMethod()` Gets the method of accruing Overnight interest.
`Currency`	`getCurrency()` Gets the currency that the future is traded in, defaulted from the index if not set.
`LocalDate`	`getEndDate()` Gets the last date of the rate calculation period.
`OvernightIndex`	`getIndex()` Gets the underlying Overnight index.
`LocalDate`	`getLastTradeDate()` Gets the last date of trading.
`double`	`getNotional()` Gets the notional amount.
`Rounding`	`getRounding()` Gets the definition of how to round the futures price, defaulted to no rounding.
`SecurityId`	`getSecurityId()` Gets the security identifier.
`LocalDate`	`getStartDate()` Gets the first date of the rate calculation period.
`int`	`hashCode()`
`static OvernightFuture.Meta`	`meta()` The meta-bean for `OvernightFuture`.
`OvernightFuture.Meta`	`metaBean()`
`ResolvedOvernightFuture`	`resolve(ReferenceData refData)`
`OvernightFuture.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.product.SecuritizedProduct
allCurrencies

Methods inherited from interface com.opengamma.strata.product.Product
allPaymentCurrencies, isCrossCurrency

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - resolve
```
public ResolvedOvernightFuture resolve(ReferenceData refData)
```
    Specified by:
    
    resolve in interface Resolvable<ResolvedOvernightFuture>
  - meta
```
public static OvernightFuture.Meta meta()
```
    The meta-bean for OvernightFuture.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static OvernightFuture.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public OvernightFuture.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getSecurityId
```
public SecurityId getSecurityId()
```
    Gets the security identifier.
    This identifier uniquely identifies the security within the system.
    
    Specified by:
    
    getSecurityId in interface SecuritizedProduct
    
    Returns:
    
    the value of the property, not null
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency that the future is traded in, defaulted from the index if not set.
    
    Specified by:
    
    getCurrency in interface SecuritizedProduct
    
    Returns:
    
    the value of the property, not null
  - getNotional
```
public double getNotional()
```
    Gets the notional amount.
    This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.
    
    Returns:
    
    the value of the property
  - getAccrualFactor
```
public double getAccrualFactor()
```
    Gets the accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 1/12 for a 30-day future. As such, it is often unrelated to the day count of the index. The year fraction must be positive.
    
    Returns:
    
    the value of the property
  - getLastTradeDate
```
public LocalDate getLastTradeDate()
```
    Gets the last date of trading.
    This must be a valid business day on the fixing calendar of index. For example, the last trade date is often the last business day of the month.
    
    Returns:
    
    the value of the property, not null
  - getStartDate
```
public LocalDate getStartDate()
```
    Gets the first date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
    
    Returns:
    
    the value of the property, not null
  - getEndDate
```
public LocalDate getEndDate()
```
    Gets the last date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
    
    Returns:
    
    the value of the property, not null
  - getIndex
```
public OvernightIndex getIndex()
```
    Gets the underlying Overnight index.
    The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.
    
    Returns:
    
    the value of the property, not null
  - getAccrualMethod
```
public OvernightAccrualMethod getAccrualMethod()
```
    Gets the method of accruing Overnight interest.
    The average rate is calculated based on this method over the period between startDate and endDate.
    
    Returns:
    
    the value of the property, not null
  - getRounding
```
public Rounding getRounding()
```
    Gets the definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public OvernightFuture.Builder toBuilder()
```
    Returns a builder that allows this bean to be mutated.
    
    Returns:
    
    the mutable builder, not null
  - equals
```
public boolean equals(Object obj)
```
    Overrides:
    
    equals in class Object
  - hashCode
```
public int hashCode()
```
    Overrides:
    
    hashCode in class Object
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class OvernightFuture

Price

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.product.SecuritizedProduct

Methods inherited from interface com.opengamma.strata.product.Product

Methods inherited from interface org.joda.beans.Bean

Method Detail

resolve

meta

builder

metaBean

getSecurityId

getCurrency

getNotional

getAccrualFactor

getLastTradeDate

getStartDate

getEndDate

getIndex

getAccrualMethod

getRounding

toBuilder

equals

hashCode

toString