/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.LocalTime;
import java.time.ZoneId;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableDefaults;
import org.joda.beans.ImmutableValidator;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.product.Security;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.SecurityInfo;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.option.FutureOptionPremiumStyle;
/**
* A security representing a futures option contract, based on an Ibor index.
* <p>
* An Ibor future option is a financial instrument that provides an option based on the future value of
* an Ibor index interest rate. The option is American, exercised at any point up to the exercise time.
* It handles options with either daily margining or upfront premium.
* <p>
* An Ibor future option is also known as a <i>STIR future option</i> (Short Term Interest Rate).
*
* <h4>Price</h4>
* The price of an Ibor future option is based on the price of the underlying future, the volatility
* and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
* <p>
* Strata uses <i>decimal prices</i> for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*/
@BeanDefinition
public final class IborFutureOptionSecurity
implements Security, ImmutableBean, Serializable {
/**
* The standard security information.
* <p>
* This includes the security identifier.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityInfo info;
/**
* The currency that the option is traded in.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* Whether the option is put or call.
* <p>
* A call gives the owner the right, but not obligation, to buy the underlying at
* an agreed price in the future. A put gives a similar option to sell.
*/
@PropertyDefinition
private final PutCall putCall;
/**
* The strike price, in decimal form.
* <p>
* This is the price at which the option applies and refers to the price of the underlying future.
* The rate implied by the strike can take negative values.
* <p>
* Strata uses <i>decimal prices</i> for Ibor 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.
*/
@PropertyDefinition
private final double strikePrice;
/**
* The expiry date of the option.
* <p>
* The expiry date is related to the expiry time and time-zone.
* The date must not be after last trade date of the underlying future.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate expiryDate;
/**
* The expiry time of the option.
* <p>
* The expiry time is related to the expiry date and time-zone.
*/
@PropertyDefinition(validate = "notNull")
private final LocalTime expiryTime;
/**
* The time-zone of the expiry time.
* <p>
* The expiry time-zone is related to the expiry date and time.
*/
@PropertyDefinition(validate = "notNull")
private final ZoneId expiryZone;
/**
* The style of the option premium.
* <p>
* The two options are daily margining and upfront premium.
*/
@PropertyDefinition(validate = "notNull")
private final FutureOptionPremiumStyle premiumStyle;
/**
* The definition of how to round the option price, defaulted to no rounding.
* <p>
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
*/
@PropertyDefinition(validate = "notNull")
private final Rounding rounding;
/**
* The identifier of the underlying future.
*/
@PropertyDefinition(validate = "notNull")
private final SecurityId underlyingFutureId;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.rounding(Rounding.none());
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(
strikePrice < 2, "Strike price must be in decimal form, such as 0.993 for a 0.7% rate, but was: {}", strikePrice);
}
//-------------------------------------------------------------------------
@Override
public ImmutableSet<SecurityId> getUnderlyingIds() {
return ImmutableSet.of(underlyingFutureId);
}
//-------------------------------------------------------------------------
@Override
public IborFutureOption createProduct(ReferenceData refData) {
Security security = refData.getValue(underlyingFutureId);
if (!(security instanceof IborFutureSecurity)) {
throw new ClassCastException(Messages.format(
"{} underlying future '{}' resolved to '{}' when '{}' was expected",
IborFutureOptionSecurity.class.getSimpleName(),
underlyingFutureId,
security.getClass().getSimpleName(),
IborFutureSecurity.class.getSimpleName()));
}
IborFutureSecurity futureSec = (IborFutureSecurity) security;
IborFuture underlying = futureSec.createProduct(refData);
return new IborFutureOption(
getSecurityId(), putCall, strikePrice, expiryDate, expiryTime, expiryZone, premiumStyle, rounding, underlying);
}
@Override
public IborFutureOptionTrade createTrade(
TradeInfo info,
double quantity,
double tradePrice,
ReferenceData refData) {
return new IborFutureOptionTrade(info, createProduct(refData), quantity, tradePrice);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code IborFutureOptionSecurity}.
* @return the meta-bean, not null
*/
public static IborFutureOptionSecurity.Meta meta() {
return IborFutureOptionSecurity.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(IborFutureOptionSecurity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static IborFutureOptionSecurity.Builder builder() {
return new IborFutureOptionSecurity.Builder();
}
private IborFutureOptionSecurity(
SecurityInfo info,
Currency currency,
PutCall putCall,
double strikePrice,
LocalDate expiryDate,
LocalTime expiryTime,
ZoneId expiryZone,
FutureOptionPremiumStyle premiumStyle,
Rounding rounding,
SecurityId underlyingFutureId) {
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(expiryDate, "expiryDate");
JodaBeanUtils.notNull(expiryTime, "expiryTime");
JodaBeanUtils.notNull(expiryZone, "expiryZone");
JodaBeanUtils.notNull(premiumStyle, "premiumStyle");
JodaBeanUtils.notNull(rounding, "rounding");
JodaBeanUtils.notNull(underlyingFutureId, "underlyingFutureId");
this.info = info;
this.currency = currency;
this.putCall = putCall;
this.strikePrice = strikePrice;
this.expiryDate = expiryDate;
this.expiryTime = expiryTime;
this.expiryZone = expiryZone;
this.premiumStyle = premiumStyle;
this.rounding = rounding;
this.underlyingFutureId = underlyingFutureId;
validate();
}
@Override
public IborFutureOptionSecurity.Meta metaBean() {
return IborFutureOptionSecurity.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets the standard security information.
* <p>
* This includes the security identifier.
* @return the value of the property, not null
*/
@Override
public SecurityInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the currency that the option is traded in.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets whether the option is put or call.
* <p>
* A call gives the owner the right, but not obligation, to buy the underlying at
* an agreed price in the future. A put gives a similar option to sell.
* @return the value of the property
*/
public PutCall getPutCall() {
return putCall;
}
//-----------------------------------------------------------------------
/**
* Gets the strike price, in decimal form.
* <p>
* This is the price at which the option applies and refers to the price of the underlying future.
* The rate implied by the strike can take negative values.
* <p>
* Strata uses <i>decimal prices</i> for Ibor 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.
* @return the value of the property
*/
public double getStrikePrice() {
return strikePrice;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry date of the option.
* <p>
* The expiry date is related to the expiry time and time-zone.
* The date must not be after last trade date of the underlying future.
* @return the value of the property, not null
*/
public LocalDate getExpiryDate() {
return expiryDate;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry time of the option.
* <p>
* The expiry time is related to the expiry date and time-zone.
* @return the value of the property, not null
*/
public LocalTime getExpiryTime() {
return expiryTime;
}
//-----------------------------------------------------------------------
/**
* Gets the time-zone of the expiry time.
* <p>
* The expiry time-zone is related to the expiry date and time.
* @return the value of the property, not null
*/
public ZoneId getExpiryZone() {
return expiryZone;
}
//-----------------------------------------------------------------------
/**
* Gets the style of the option premium.
* <p>
* The two options are daily margining and upfront premium.
* @return the value of the property, not null
*/
public FutureOptionPremiumStyle getPremiumStyle() {
return premiumStyle;
}
//-----------------------------------------------------------------------
/**
* Gets the definition of how to round the option price, defaulted to no rounding.
* <p>
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* @return the value of the property, not null
*/
public Rounding getRounding() {
return rounding;
}
//-----------------------------------------------------------------------
/**
* Gets the identifier of the underlying future.
* @return the value of the property, not null
*/
public SecurityId getUnderlyingFutureId() {
return underlyingFutureId;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IborFutureOptionSecurity other = (IborFutureOptionSecurity) obj;
return JodaBeanUtils.equal(info, other.info) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(putCall, other.putCall) &&
JodaBeanUtils.equal(strikePrice, other.strikePrice) &&
JodaBeanUtils.equal(expiryDate, other.expiryDate) &&
JodaBeanUtils.equal(expiryTime, other.expiryTime) &&
JodaBeanUtils.equal(expiryZone, other.expiryZone) &&
JodaBeanUtils.equal(premiumStyle, other.premiumStyle) &&
JodaBeanUtils.equal(rounding, other.rounding) &&
JodaBeanUtils.equal(underlyingFutureId, other.underlyingFutureId);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(info);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(putCall);
hash = hash * 31 + JodaBeanUtils.hashCode(strikePrice);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryDate);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryTime);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryZone);
hash = hash * 31 + JodaBeanUtils.hashCode(premiumStyle);
hash = hash * 31 + JodaBeanUtils.hashCode(rounding);
hash = hash * 31 + JodaBeanUtils.hashCode(underlyingFutureId);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("IborFutureOptionSecurity{");
buf.append("info").append('=').append(info).append(',').append(' ');
buf.append("currency").append('=').append(currency).append(',').append(' ');
buf.append("putCall").append('=').append(putCall).append(',').append(' ');
buf.append("strikePrice").append('=').append(strikePrice).append(',').append(' ');
buf.append("expiryDate").append('=').append(expiryDate).append(',').append(' ');
buf.append("expiryTime").append('=').append(expiryTime).append(',').append(' ');
buf.append("expiryZone").append('=').append(expiryZone).append(',').append(' ');
buf.append("premiumStyle").append('=').append(premiumStyle).append(',').append(' ');
buf.append("rounding").append('=').append(rounding).append(',').append(' ');
buf.append("underlyingFutureId").append('=').append(JodaBeanUtils.toString(underlyingFutureId));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborFutureOptionSecurity}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code info} property.
*/
private final MetaProperty<SecurityInfo> info = DirectMetaProperty.ofImmutable(
this, "info", IborFutureOptionSecurity.class, SecurityInfo.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty<Currency> currency = DirectMetaProperty.ofImmutable(
this, "currency", IborFutureOptionSecurity.class, Currency.class);
/**
* The meta-property for the {@code putCall} property.
*/
private final MetaProperty<PutCall> putCall = DirectMetaProperty.ofImmutable(
this, "putCall", IborFutureOptionSecurity.class, PutCall.class);
/**
* The meta-property for the {@code strikePrice} property.
*/
private final MetaProperty<Double> strikePrice = DirectMetaProperty.ofImmutable(
this, "strikePrice", IborFutureOptionSecurity.class, Double.TYPE);
/**
* The meta-property for the {@code expiryDate} property.
*/
private final MetaProperty<LocalDate> expiryDate = DirectMetaProperty.ofImmutable(
this, "expiryDate", IborFutureOptionSecurity.class, LocalDate.class);
/**
* The meta-property for the {@code expiryTime} property.
*/
private final MetaProperty<LocalTime> expiryTime = DirectMetaProperty.ofImmutable(
this, "expiryTime", IborFutureOptionSecurity.class, LocalTime.class);
/**
* The meta-property for the {@code expiryZone} property.
*/
private final MetaProperty<ZoneId> expiryZone = DirectMetaProperty.ofImmutable(
this, "expiryZone", IborFutureOptionSecurity.class, ZoneId.class);
/**
* The meta-property for the {@code premiumStyle} property.
*/
private final MetaProperty<FutureOptionPremiumStyle> premiumStyle = DirectMetaProperty.ofImmutable(
this, "premiumStyle", IborFutureOptionSecurity.class, FutureOptionPremiumStyle.class);
/**
* The meta-property for the {@code rounding} property.
*/
private final MetaProperty<Rounding> rounding = DirectMetaProperty.ofImmutable(
this, "rounding", IborFutureOptionSecurity.class, Rounding.class);
/**
* The meta-property for the {@code underlyingFutureId} property.
*/
private final MetaProperty<SecurityId> underlyingFutureId = DirectMetaProperty.ofImmutable(
this, "underlyingFutureId", IborFutureOptionSecurity.class, SecurityId.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"info",
"currency",
"putCall",
"strikePrice",
"expiryDate",
"expiryTime",
"expiryZone",
"premiumStyle",
"rounding",
"underlyingFutureId");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case 575402001: // currency
return currency;
case -219971059: // putCall
return putCall;
case 50946231: // strikePrice
return strikePrice;
case -816738431: // expiryDate
return expiryDate;
case -816254304: // expiryTime
return expiryTime;
case -816069761: // expiryZone
return expiryZone;
case -1257652838: // premiumStyle
return premiumStyle;
case -142444: // rounding
return rounding;
case -109104965: // underlyingFutureId
return underlyingFutureId;
}
return super.metaPropertyGet(propertyName);
}
@Override
public IborFutureOptionSecurity.Builder builder() {
return new IborFutureOptionSecurity.Builder();
}
@Override
public Class<? extends IborFutureOptionSecurity> beanType() {
return IborFutureOptionSecurity.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code info} property.
* @return the meta-property, not null
*/
public MetaProperty<SecurityInfo> info() {
return info;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty<Currency> currency() {
return currency;
}
/**
* The meta-property for the {@code putCall} property.
* @return the meta-property, not null
*/
public MetaProperty<PutCall> putCall() {
return putCall;
}
/**
* The meta-property for the {@code strikePrice} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> strikePrice() {
return strikePrice;
}
/**
* The meta-property for the {@code expiryDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> expiryDate() {
return expiryDate;
}
/**
* The meta-property for the {@code expiryTime} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalTime> expiryTime() {
return expiryTime;
}
/**
* The meta-property for the {@code expiryZone} property.
* @return the meta-property, not null
*/
public MetaProperty<ZoneId> expiryZone() {
return expiryZone;
}
/**
* The meta-property for the {@code premiumStyle} property.
* @return the meta-property, not null
*/
public MetaProperty<FutureOptionPremiumStyle> premiumStyle() {
return premiumStyle;
}
/**
* The meta-property for the {@code rounding} property.
* @return the meta-property, not null
*/
public MetaProperty<Rounding> rounding() {
return rounding;
}
/**
* The meta-property for the {@code underlyingFutureId} property.
* @return the meta-property, not null
*/
public MetaProperty<SecurityId> underlyingFutureId() {
return underlyingFutureId;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3237038: // info
return ((IborFutureOptionSecurity) bean).getInfo();
case 575402001: // currency
return ((IborFutureOptionSecurity) bean).getCurrency();
case -219971059: // putCall
return ((IborFutureOptionSecurity) bean).getPutCall();
case 50946231: // strikePrice
return ((IborFutureOptionSecurity) bean).getStrikePrice();
case -816738431: // expiryDate
return ((IborFutureOptionSecurity) bean).getExpiryDate();
case -816254304: // expiryTime
return ((IborFutureOptionSecurity) bean).getExpiryTime();
case -816069761: // expiryZone
return ((IborFutureOptionSecurity) bean).getExpiryZone();
case -1257652838: // premiumStyle
return ((IborFutureOptionSecurity) bean).getPremiumStyle();
case -142444: // rounding
return ((IborFutureOptionSecurity) bean).getRounding();
case -109104965: // underlyingFutureId
return ((IborFutureOptionSecurity) bean).getUnderlyingFutureId();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code IborFutureOptionSecurity}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<IborFutureOptionSecurity> {
private SecurityInfo info;
private Currency currency;
private PutCall putCall;
private double strikePrice;
private LocalDate expiryDate;
private LocalTime expiryTime;
private ZoneId expiryZone;
private FutureOptionPremiumStyle premiumStyle;
private Rounding rounding;
private SecurityId underlyingFutureId;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(IborFutureOptionSecurity beanToCopy) {
this.info = beanToCopy.getInfo();
this.currency = beanToCopy.getCurrency();
this.putCall = beanToCopy.getPutCall();
this.strikePrice = beanToCopy.getStrikePrice();
this.expiryDate = beanToCopy.getExpiryDate();
this.expiryTime = beanToCopy.getExpiryTime();
this.expiryZone = beanToCopy.getExpiryZone();
this.premiumStyle = beanToCopy.getPremiumStyle();
this.rounding = beanToCopy.getRounding();
this.underlyingFutureId = beanToCopy.getUnderlyingFutureId();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case 575402001: // currency
return currency;
case -219971059: // putCall
return putCall;
case 50946231: // strikePrice
return strikePrice;
case -816738431: // expiryDate
return expiryDate;
case -816254304: // expiryTime
return expiryTime;
case -816069761: // expiryZone
return expiryZone;
case -1257652838: // premiumStyle
return premiumStyle;
case -142444: // rounding
return rounding;
case -109104965: // underlyingFutureId
return underlyingFutureId;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3237038: // info
this.info = (SecurityInfo) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case -219971059: // putCall
this.putCall = (PutCall) newValue;
break;
case 50946231: // strikePrice
this.strikePrice = (Double) newValue;
break;
case -816738431: // expiryDate
this.expiryDate = (LocalDate) newValue;
break;
case -816254304: // expiryTime
this.expiryTime = (LocalTime) newValue;
break;
case -816069761: // expiryZone
this.expiryZone = (ZoneId) newValue;
break;
case -1257652838: // premiumStyle
this.premiumStyle = (FutureOptionPremiumStyle) newValue;
break;
case -142444: // rounding
this.rounding = (Rounding) newValue;
break;
case -109104965: // underlyingFutureId
this.underlyingFutureId = (SecurityId) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty<?> property, Object value) {
super.set(property, value);
return this;
}
@Override
public Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public IborFutureOptionSecurity build() {
return new IborFutureOptionSecurity(
info,
currency,
putCall,
strikePrice,
expiryDate,
expiryTime,
expiryZone,
premiumStyle,
rounding,
underlyingFutureId);
}
//-----------------------------------------------------------------------
/**
* Sets the standard security information.
* <p>
* This includes the security identifier.
* @param info the new value, not null
* @return this, for chaining, not null
*/
public Builder info(SecurityInfo info) {
JodaBeanUtils.notNull(info, "info");
this.info = info;
return this;
}
/**
* Sets the currency that the option is traded in.
* @param currency the new value, not null
* @return this, for chaining, not null
*/
public Builder currency(Currency currency) {
JodaBeanUtils.notNull(currency, "currency");
this.currency = currency;
return this;
}
/**
* Sets whether the option is put or call.
* <p>
* A call gives the owner the right, but not obligation, to buy the underlying at
* an agreed price in the future. A put gives a similar option to sell.
* @param putCall the new value
* @return this, for chaining, not null
*/
public Builder putCall(PutCall putCall) {
this.putCall = putCall;
return this;
}
/**
* Sets the strike price, in decimal form.
* <p>
* This is the price at which the option applies and refers to the price of the underlying future.
* The rate implied by the strike can take negative values.
* <p>
* Strata uses <i>decimal prices</i> for Ibor 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.
* @param strikePrice the new value
* @return this, for chaining, not null
*/
public Builder strikePrice(double strikePrice) {
this.strikePrice = strikePrice;
return this;
}
/**
* Sets the expiry date of the option.
* <p>
* The expiry date is related to the expiry time and time-zone.
* The date must not be after last trade date of the underlying future.
* @param expiryDate the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryDate(LocalDate expiryDate) {
JodaBeanUtils.notNull(expiryDate, "expiryDate");
this.expiryDate = expiryDate;
return this;
}
/**
* Sets the expiry time of the option.
* <p>
* The expiry time is related to the expiry date and time-zone.
* @param expiryTime the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryTime(LocalTime expiryTime) {
JodaBeanUtils.notNull(expiryTime, "expiryTime");
this.expiryTime = expiryTime;
return this;
}
/**
* Sets the time-zone of the expiry time.
* <p>
* The expiry time-zone is related to the expiry date and time.
* @param expiryZone the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryZone(ZoneId expiryZone) {
JodaBeanUtils.notNull(expiryZone, "expiryZone");
this.expiryZone = expiryZone;
return this;
}
/**
* Sets the style of the option premium.
* <p>
* The two options are daily margining and upfront premium.
* @param premiumStyle the new value, not null
* @return this, for chaining, not null
*/
public Builder premiumStyle(FutureOptionPremiumStyle premiumStyle) {
JodaBeanUtils.notNull(premiumStyle, "premiumStyle");
this.premiumStyle = premiumStyle;
return this;
}
/**
* Sets the definition of how to round the option price, defaulted to no rounding.
* <p>
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* @param rounding the new value, not null
* @return this, for chaining, not null
*/
public Builder rounding(Rounding rounding) {
JodaBeanUtils.notNull(rounding, "rounding");
this.rounding = rounding;
return this;
}
/**
* Sets the identifier of the underlying future.
* @param underlyingFutureId the new value, not null
* @return this, for chaining, not null
*/
public Builder underlyingFutureId(SecurityId underlyingFutureId) {
JodaBeanUtils.notNull(underlyingFutureId, "underlyingFutureId");
this.underlyingFutureId = underlyingFutureId;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("IborFutureOptionSecurity.Builder{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("putCall").append('=').append(JodaBeanUtils.toString(putCall)).append(',').append(' ');
buf.append("strikePrice").append('=').append(JodaBeanUtils.toString(strikePrice)).append(',').append(' ');
buf.append("expiryDate").append('=').append(JodaBeanUtils.toString(expiryDate)).append(',').append(' ');
buf.append("expiryTime").append('=').append(JodaBeanUtils.toString(expiryTime)).append(',').append(' ');
buf.append("expiryZone").append('=').append(JodaBeanUtils.toString(expiryZone)).append(',').append(' ');
buf.append("premiumStyle").append('=').append(JodaBeanUtils.toString(premiumStyle)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding)).append(',').append(' ');
buf.append("underlyingFutureId").append('=').append(JodaBeanUtils.toString(underlyingFutureId));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}