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Fix overnight future contract spec #2719

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Fix overnight future contract spec #2719

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64 changes: 60 additions & 4 deletions ...in/java/com/opengamma/strata/product/index/type/ImmutableOvernightFutureContractSpec.java
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Original file line number Diff line number Diff line change
Expand Up @@ -10,8 +10,10 @@

import java.io.Serializable;
import java.time.LocalDate;
import java.time.Period;
import java.time.YearMonth;
import java.util.NoSuchElementException;
import java.util.Optional;

import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
Expand Down Expand Up @@ -70,6 +72,13 @@ public final class ImmutableOvernightFutureContractSpec
*/
@PropertyDefinition(validate = "notNull")
private final DateSequence dateSequence;
/**
* The accrual period of the future.
* <p>
* This is the period of time over which the daily interest rate fixing is observed.
*/
@PropertyDefinition(get = "optional")
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@brianweller89 brianweller89 May 1, 2025 •
edited
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Would prefer to make this non-optional - but that would make this class non backwards compatible. The class is used in a couple of internal repos, but we could easily update the usages to add the Period

private final Period accrualPeriod;
/**
* The method of accruing Overnight interest.
*/
Expand Down Expand Up @@ -150,7 +159,7 @@ private OvernightFutureTrade createTrade(
LocalDate startDate,
ReferenceData refData) {

LocalDate nextReferenceDate = dateSequence.baseSequence().next(startDate);
LocalDate nextReferenceDate = getFinalReferenceDate(startDate);
double accrualFactor = startDate.withDayOfMonth(1).until(nextReferenceDate.withDayOfMonth(1), MONTHS) / 12d;
LocalDate endDate = endDateAdjustment.adjust(nextReferenceDate, refData);
LocalDate lastTradeDate = lastTradeDateAdjustment.adjust(nextReferenceDate, refData);
Expand Down Expand Up @@ -191,7 +200,7 @@ private OvernightFuturePosition createPosition(
LocalDate startDate,
ReferenceData refData) {

LocalDate nextReferenceDate = dateSequence.baseSequence().next(startDate);
LocalDate nextReferenceDate = getFinalReferenceDate(startDate);
double accrualFactor = startDate.withDayOfMonth(1).until(nextReferenceDate.withDayOfMonth(1), MONTHS) / 12d;
LocalDate endDate = endDateAdjustment.adjust(nextReferenceDate, refData);
LocalDate lastTradeDate = lastTradeDateAdjustment.adjust(nextReferenceDate, refData);
Expand All @@ -216,10 +225,19 @@ public LocalDate calculateReferenceDate(LocalDate tradeDate, SequenceDate sequen

@Override
public LocalDate calculateLastFixingDate(LocalDate referenceDate, ReferenceData refData) {
LocalDate nextReferenceDate = dateSequence.baseSequence().next(referenceDate);
LocalDate nextReferenceDate = getFinalReferenceDate(referenceDate);
return endDateAdjustment.adjust(nextReferenceDate, refData);
}

private LocalDate getFinalReferenceDate(LocalDate referenceDate) {
if (getAccrualPeriod().isPresent()) {
YearMonth finalReferenceMonth = YearMonth.from(referenceDate.plus(getAccrualPeriod().get()));
return dateSequence.dateMatching(finalReferenceMonth);
} else {
return dateSequence.baseSequence().next(referenceDate);
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If accrualPeriod is not optional then can remove this fallback

}
}

//-------------------------------------------------------------------------
@Override
public String toString() {
Expand All @@ -237,6 +255,7 @@ public String toString() {
"name",
"index",
"dateSequence",
"accrualPeriod",
"accrualMethod",
"startDateAdjustment",
"endDateAdjustment",
Expand All @@ -246,6 +265,7 @@ public String toString() {
b -> b.getName(),
b -> b.getIndex(),
b -> b.getDateSequence(),
b -> b.accrualPeriod,
b -> b.getAccrualMethod(),
b -> b.getStartDateAdjustment(),
b -> b.getEndDateAdjustment(),
Expand Down Expand Up @@ -281,6 +301,7 @@ private ImmutableOvernightFutureContractSpec(
String name,
OvernightIndex index,
DateSequence dateSequence,
Period accrualPeriod,
OvernightAccrualMethod accrualMethod,
BusinessDayAdjustment startDateAdjustment,
DaysAdjustment endDateAdjustment,
Expand All @@ -296,6 +317,7 @@ private ImmutableOvernightFutureContractSpec(
this.name = name;
this.index = index;
this.dateSequence = dateSequence;
this.accrualPeriod = accrualPeriod;
this.accrualMethod = accrualMethod;
this.startDateAdjustment = startDateAdjustment;
this.endDateAdjustment = endDateAdjustment;
Expand Down Expand Up @@ -343,6 +365,17 @@ public DateSequence getDateSequence() {
return dateSequence;
}

//-----------------------------------------------------------------------
/**
* Gets the accrual period of the future.
* <p>
* This is the period of time over which the daily interest rate fixing is observed.
* @return the optional value of the property, not null
*/
public Optional<Period> getAccrualPeriod() {
return Optional.ofNullable(accrualPeriod);
}

//-----------------------------------------------------------------------
/**
* Gets the method of accruing Overnight interest.
Expand Down Expand Up @@ -422,6 +455,7 @@ public boolean equals(Object obj) {
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(dateSequence, other.dateSequence) &&
JodaBeanUtils.equal(accrualPeriod, other.accrualPeriod) &&
JodaBeanUtils.equal(accrualMethod, other.accrualMethod) &&
JodaBeanUtils.equal(startDateAdjustment, other.startDateAdjustment) &&
JodaBeanUtils.equal(endDateAdjustment, other.endDateAdjustment) &&
Expand All @@ -437,6 +471,7 @@ public int hashCode() {
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(dateSequence);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualPeriod);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualMethod);
hash = hash * 31 + JodaBeanUtils.hashCode(startDateAdjustment);
hash = hash * 31 + JodaBeanUtils.hashCode(endDateAdjustment);
Expand All @@ -454,6 +489,7 @@ public static final class Builder extends DirectFieldsBeanBuilder<ImmutableOvern
private String name;
private OvernightIndex index;
private DateSequence dateSequence;
private Period accrualPeriod;
private OvernightAccrualMethod accrualMethod;
private BusinessDayAdjustment startDateAdjustment;
private DaysAdjustment endDateAdjustment;
Expand All @@ -474,6 +510,7 @@ private Builder(ImmutableOvernightFutureContractSpec beanToCopy) {
this.name = beanToCopy.getName();
this.index = beanToCopy.getIndex();
this.dateSequence = beanToCopy.getDateSequence();
this.accrualPeriod = beanToCopy.accrualPeriod;
this.accrualMethod = beanToCopy.getAccrualMethod();
this.startDateAdjustment = beanToCopy.getStartDateAdjustment();
this.endDateAdjustment = beanToCopy.getEndDateAdjustment();
Expand All @@ -491,6 +528,8 @@ public Object get(String propertyName) {
return index;
case -258065009: // dateSequence
return dateSequence;
case -1249900464: // accrualPeriod
return accrualPeriod;
case -1335729296: // accrualMethod
return accrualMethod;
case -1235962691: // startDateAdjustment
Expand Down Expand Up @@ -518,6 +557,9 @@ public Builder set(String propertyName, Object newValue) {
case -258065009: // dateSequence
this.dateSequence = (DateSequence) newValue;
break;
case -1249900464: // accrualPeriod
this.accrualPeriod = (Period) newValue;
break;
case -1335729296: // accrualMethod
this.accrualMethod = (OvernightAccrualMethod) newValue;
break;
Expand Down Expand Up @@ -552,6 +594,7 @@ public ImmutableOvernightFutureContractSpec build() {
name,
index,
dateSequence,
accrualPeriod,
accrualMethod,
startDateAdjustment,
endDateAdjustment,
Expand Down Expand Up @@ -599,6 +642,18 @@ public Builder dateSequence(DateSequence dateSequence) {
return this;
}

/**
* Sets the accrual period of the future.
* <p>
* This is the period of time over which the daily interest rate fixing is observed.
* @param accrualPeriod the new value
* @return this, for chaining, not null
*/
public Builder accrualPeriod(Period accrualPeriod) {
this.accrualPeriod = accrualPeriod;
return this;
}

/**
* Sets the method of accruing Overnight interest.
* @param accrualMethod the new value, not null
Expand Down Expand Up @@ -670,11 +725,12 @@ public Builder notional(double notional) {
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
StringBuilder buf = new StringBuilder(320);
buf.append("ImmutableOvernightFutureContractSpec.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("dateSequence").append('=').append(JodaBeanUtils.toString(dateSequence)).append(',').append(' ');
buf.append("accrualPeriod").append('=').append(JodaBeanUtils.toString(accrualPeriod)).append(',').append(' ');
buf.append("accrualMethod").append('=').append(JodaBeanUtils.toString(accrualMethod)).append(',').append(' ');
buf.append("startDateAdjustment").append('=').append(JodaBeanUtils.toString(startDateAdjustment)).append(',').append(' ');
buf.append("endDateAdjustment").append('=').append(JodaBeanUtils.toString(endDateAdjustment)).append(',').append(' ');
Expand Down
5 changes: 4 additions & 1 deletion ...in/java/com/opengamma/strata/product/index/type/StandardOvernightFutureContractSpecs.java
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Original file line number Diff line number Diff line change
Expand Up @@ -22,6 +22,8 @@
import static com.opengamma.strata.product.swap.OvernightAccrualMethod.AVERAGED_DAILY;
import static com.opengamma.strata.product.swap.OvernightAccrualMethod.COMPOUNDED;

import java.time.Period;

import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DaysAdjustment;

Expand Down Expand Up @@ -183,8 +185,9 @@ final class StandardOvernightFutureContractSpecs {
ImmutableOvernightFutureContractSpec.builder()
.name("USD-SOFR-3M-IMM-CME")
.index(USD_SOFR)
.dateSequence(QUARTERLY_IMM)
.dateSequence(QUARTERLY_IMM_6_SERIAL)
.accrualMethod(COMPOUNDED)
.accrualPeriod(Period.ofMonths(3))
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This should be populated for all constants in StandardOvernightFutureContractSpecs for consistency

.notional(1_000_000d)
.build();

Expand Down
15 changes: 15 additions & 0 deletions ...rc/test/java/com/opengamma/strata/product/index/type/OvernightFutureContractSpecTest.java
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Expand Up @@ -330,6 +330,21 @@ public void test_createPosition_usdFedFund1mCme() {
assertThat(trade.getProduct().getNotional()).isEqualTo(5_000_000d);
}

@Test
public void test_createPosition_usdSofr3mCme() {
OvernightFutureContractSpec test = OvernightFutureContractSpecs.USD_SOFR_3M_IMM_CME;
OvernightFuturePosition trade = test.createPosition(SecurityId.of("OG", "1"), YearMonth.of(2025, 7), 20, REF_DATA);
assertThat(trade.getCurrency()).isEqualTo(Currency.USD);
assertThat(trade.getQuantity()).isEqualTo(20);
assertThat(trade.getProduct().getIndex()).isEqualTo(USD_SOFR);
assertThat(trade.getProduct().getAccrualMethod()).isEqualTo(COMPOUNDED);
assertThat(trade.getProduct().getAccrualFactor()).isEqualTo(3 / 12d);
assertThat(trade.getProduct().getStartDate()).isEqualTo(date(2025, 7, 16));
assertThat(trade.getProduct().getEndDate()).isEqualTo(date(2025, 10, 14));
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This is the key thing that is changing. Prior to the change this test would have incorrectly returned a September date as the end date for the July future

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Does this PR cover all case?
Is the start date always interpretted as being at the start of the date sequence, or can it be part-way through? (ie. I think this PR works because 3 months < 6 serial, but will break in more complex cases)

assertThat(trade.getProduct().getLastTradeDate()).isEqualTo(date(2025, 10, 14));
assertThat(trade.getProduct().getNotional()).isEqualTo(1_000_000d);
}

//-------------------------------------------------------------------------
public static Object[][] data_name() {
return new Object[][] {
Expand Down