Jungians would explain sex dreams as a symbolic of the attraction to and urge to merge with polar opposites. So, it can refer to wholeness, psychological completion; union of different aspects of yourself. Frightening, oppressive or unpleasant sexual dreams often relate to repressed or unresolved spiritual problems.
Dreams of having sex and or orgasm are normal for both males and females. Although sexual dreams can pinpoint sexual or physical problems, they are just as likely to be symbolic of your own masculine or feminine aspects or attitudes. This kind of dream probably represents the intensity and possibly the newness and variety of your sexual passion. A serious of nightmarish dreams at this time, related to sexual experiences, may relate to fears about your changing identity. The pending experience may have stimulated anxieties from the past about fears of abandonment, rejection or intimacy. Dreams in which you are sexually rejected are common during recovery from divorce or separation.

Freudians would interpret sex dreams as some infantile sexual wish or attitude. Waking event will not enter your dreams unless related to deep-seated feelings or attitudes. Any conflicts about sexuality will be reflected in sex dreams. Many sex dreams are heavily disguised as other activities. For instance, going in or through a back door can represent anal intercourse.
Dreaming of having sex with a parent when this has never happened in waking life, may symbolize feminine or masculine aspects of yourself or of archetypes. Dreaming of sex with a male or female authority figure may represent a disguised parent substitute. Having a parent visible while you are having sex with someone else may relate to the sexual roles or mores that parent thought you, possibly an attempt to overcome them.

You can interpret dreams about sex as relating to an over sexual needs.
They can show you something about waking relationship issues with others. Or dreams about sex can reveal perceptions about your sexuality in the contest of your social or political society. They can reflect early feelings or teaching about sex, marriage, love and male or female roles.

How do you feel in the dream? Fear or happiness?

Some other things to consider are unfinished relationship issues and conflicts about a customary way of relating to other people.