Variance.h

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/*
* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
*
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* and international copyright treaties.
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* Access to and use of the software is governed by the terms of the applicable ONIXS Software
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* a non-assignable, non-transferable and non-exclusive license to use the software
* for it's own data processing purposes under the terms defined in the Agreement.
*
* Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
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*/

#pragma once

#include <vector>

#include <OnixS/CboeCFE/MarketData/Pitch/ABI.h>
#include <OnixS/CboeCFE/MarketData/Pitch/Defines.h>
#include <OnixS/CboeCFE/MarketData/Pitch/Enumerations.h>
#include <OnixS/CboeCFE/MarketData/Pitch/BinaryMessage.h>


namespace OnixS {
namespace CboeCFE {
namespace MarketData {
namespace Pitch {

    /// Variance Block
    struct Variance : public BinaryMessage
    {
        /// Realized Variance to date (signed 64-bit decimal with 8 implied decimal places)
        SignedBinary8 realizedVariance() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<SignedBinary8>(0);
        }

        /// Number of expected SP500 prices to be used for calculating returns during the life of the contract
        Binary2 numExpectedPrices() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary2>(8);
        }

        /// Number of returns elapsed as of the beginning of the trading day
        Binary2 numElapsedReturns() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary2>(10);
        }

        /// Previous day Settlement Value
        BinaryPrice previousSettlement() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<BinaryPrice>(12);
        }

        /// Discount Factor (signed 64-bit decimal with 16 implied decimal places)
        SignedBinary8 discountFactor() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<SignedBinary8>(20);
        }

        /// Initial strike
        BinaryPrice initialStrike() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<BinaryPrice>(28);
        }

        /// ARMVM that was used to adjust the  previous day settlement price (signed 64-bit decimal value with 6
        /// implied decimal places)
        SignedBinary8 previousARMVM() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<SignedBinary8>(36);
        }

        /// Fed Funds rate of prior day (signed 64-bit number with 6 implied decimal places)
        SignedBinary8 fedFundsRate() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<SignedBinary8>(44);
        }

        /// Total message size.
        static ONIXS_BATS_PITCH_CONST_OR_CONSTEXPR MessageSize messageSize_ = 54;

        /// Check the given size.
        static void validateSize(MessageSize size)
        {
            if (ONIXS_BATS_PITCH_CHECK_EXPECT((size < messageSize_), false))
                throwIncorrectSize("Variance", size, messageSize_);
        }

        /// Initializes instance over given memory block.
        Variance(const void* data, MessageSize size)
        ONIXS_BATS_PITCH_NOTHROW
            : BinaryMessage(data, size)
        {
        }
    };

    /// Serializes object into string.
    ONIXS_CBOECFE_PITCH_API void toStr(std::string&, const Variance&);

    /// Serializes object into string.
    inline std::string toStr(const Variance& msg)
    {
        std::string str;
        toStr(str, msg);
        return str;
    }

}
}
}
}