com.opengamma.strata.pricer.bond

Class BondFuturesUtils

java.lang.Object

com.opengamma.strata.pricer.bond.BondFuturesUtils

public class BondFuturesUtils
extends Object

Utilities related to bond futures.

Field Summary

Fields

Modifier and Type	Field and Description
static DiscountingFixedCouponBondProductPricer	PRICER_BOND The bond pricer
static Rounding	ROUNDING_CME_US The rounding conventions for conversion factors: CME United States.
static Rounding	ROUNDING_EUREX_DE The rounding conventions for conversion factors: EUREX Germany.
static Rounding	ROUNDING_ICE_UK The rounding conventions for conversion factors: ICE United Kingdom.

Method Summary

Modifier and Type	Method and Description
static double	conversionFactorCmeUsLong(ResolvedFixedCouponBond bond, LocalDate deliveryDate, double notionalCoupon) Returns the ICE bond futures conversion factor for a given U.S.
static double	conversionFactorCmeUsShort(ResolvedFixedCouponBond bond, LocalDate deliveryDate, double notionalCoupon) Returns the CME bond futures conversion factor for a given U.S.
static double	conversionFactorEurexDE(ResolvedFixedCouponBond bond, LocalDate deliveryDate, double notionalCoupon) Returns the EUREX bond futures conversion factor for a given German bond.
static double	priceFactorIceUK(ResolvedFixedCouponBond bond, LocalDate deliveryDate, double notionalCoupon) Returns the ICE bond futures conversion factor for a given U.K.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

PRICER_BOND

public static final DiscountingFixedCouponBondProductPricer PRICER_BOND

The bond pricer

ROUNDING_EUREX_DE

public static final Rounding ROUNDING_EUREX_DE

The rounding conventions for conversion factors: EUREX Germany.

ROUNDING_ICE_UK

public static final Rounding ROUNDING_ICE_UK

The rounding conventions for conversion factors: ICE United Kingdom.

ROUNDING_CME_US

public static final Rounding ROUNDING_CME_US

The rounding conventions for conversion factors: CME United States.

Method Detail

conversionFactorEurexDE

public static double conversionFactorEurexDE(ResolvedFixedCouponBond bond,
                                             LocalDate deliveryDate,
                                             double notionalCoupon)

Returns the EUREX bond futures conversion factor for a given German bond.

Parameters:

bond - the bond

deliveryDate - the delivery date

notionalCoupon - the notional coupon for the futures; typically 6%

Returns:

the factor

priceFactorIceUK

public static double priceFactorIceUK(ResolvedFixedCouponBond bond,
                                      LocalDate deliveryDate,
                                      double notionalCoupon)

Returns the ICE bond futures conversion factor for a given U.K. bond.

Parameters:

bond - the bond

deliveryDate - the delivery date

notionalCoupon - the notional coupon for the futures; typically 4%

Returns:

the factor

conversionFactorCmeUsShort

public static double conversionFactorCmeUsShort(ResolvedFixedCouponBond bond,
                                                LocalDate deliveryDate,
                                                double notionalCoupon)

Returns the CME bond futures conversion factor for a given U.S. short bond (i.e. underlying of TU, 3YR, FV).

The factor depends on the number of whole months between n-year after delivery and the maturity, with n the number of whole years from the first day of the delivery month to the maturity (or call) date of the bond or note.

Parameters:

bond - the bond

deliveryDate - the first day of the delivery month

notionalCoupon - the notional coupon for the futures; typically 6%

Returns:

the factor

conversionFactorCmeUsLong

public static double conversionFactorCmeUsLong(ResolvedFixedCouponBond bond,
                                               LocalDate deliveryDate,
                                               double notionalCoupon)

Returns the ICE bond futures conversion factor for a given U.S. long bond (i.e. underlying of US, TY).

The factor depends on the number of whole months between n-year after delivery and the maturity rounded down to the nearest quarter, with n the number of whole years from the first day of the delivery month to the maturity (or call) date of the bond or note.

Parameters:

bond - the bond

deliveryDate - the delivery date

notionalCoupon - the notional coupon for the futures; typically 6%

Returns:

the factor