Classes
struct	EventsEntry
struct	RelatedInstrumentsEntry
struct	SecurityAltIDEntry

Public Types
typedef BinaryGroupEntry< GroupSize::BlockLength >	Base
typedef BinaryGroup< SecurityAltIDEntry, GroupSize, MessageSize >	SecurityAltID
typedef BinaryGroup< RelatedInstrumentsEntry, GroupSize, MessageSize >	RelatedInstruments
typedef BinaryGroup< EventsEntry, GroupSize, MessageSize >	Events
Public Types inherited from BinaryGroupEntry< GroupSize::BlockLength >
typedef GroupSize::BlockLength	BodySize

Public Member Functions
	Entry ()
	Entry (const void *data, EncodedLength length, SchemaVersion version)
CHAR	updateAction () const
CHAR	entryType () const
UInt32	rptSeq () const
bool	entryPx (Decimal &value) const
bool	openCloseSettlFlag (UInt8 &value) const
SettlPriceType	settlPriceType () const
bool	calFutPx (Decimal &value) const
bool	referenceId (StrRef &value) const
bool	entrySize (UInt64 &value) const
bool	symbol (StrRef &value) const
bool	securityGroup (StrRef &value) const
bool	product (UInt8 &value) const
bool	securityType (StrRef &value) const
StrRef	securityExchange () const
bool	maturityDate (Timestamp &value) const
bool	couponRate (Decimal &value) const
bool	tradeDate (Timestamp &value) const
bool	fairCouponPct (Decimal &value) const
bool	legPurchaseRate (Decimal &value) const
bool	fixedNPV (Decimal &value) const
bool	floatNPV (Decimal &value) const
bool	npv (Decimal &value) const
bool	accruedCoupons (Decimal &value) const
bool	dailyIncrementalErisPAI (Decimal &value) const
bool	erisPAI (Decimal &value) const
bool	fedFundsRate (Decimal &value) const
bool	minPriceIncrement (Decimal &value) const
bool	fixedPayment (Decimal &value) const
bool	floatingPayment (Decimal &value) const
bool	nextFixedPaymentDate (Timestamp &value) const
bool	nextFixedPaymentAmount (Decimal &value) const
bool	nextFloatingPaymentAmount (Decimal &value) const
bool	tradingReferenceDate (Timestamp &value) const
bool	previousErisPAI (Decimal &value) const
bool	fedFundsDate (Timestamp &value) const
bool	accrualDays (UInt32 &value) const
bool	minal (UInt64 &value) const
bool	legCreditRating (StrRef &value) const
bool	legContractMultiplier (Decimal &value) const
bool	nextFloatingPaymentDate (Timestamp &value) const
bool	pV01 (Decimal &value) const
bool	dV01 (Decimal &value) const
bool	settlementNPV (Decimal &value) const
bool	finalSettlementFuturesPrice (Decimal &value) const
bool	securityDescription (StrRef &value) const
SecurityAltID	securityAltId () const
RelatedInstruments	relatedInstruments () const
Events	events () const
Entry	next (SchemaVersion) const
Public Member Functions inherited from BinaryGroupEntry< GroupSize::BlockLength >
	BinaryGroupEntry ()
	BinaryGroupEntry (const void *body, BodySize size, SchemaVersion version)
	BinaryGroupEntry (const BinaryGroupEntry &other)
	operator bool () const
const void *	body () const
BodySize	bodySize () const
SchemaVersion	version () const
BinaryGroupEntry &	operator= (const BinaryGroupEntry &other)

Static Public Member Functions
static BlockLength	blockLength (SchemaVersion)
static const Char *	className ()

Additional Inherited Members
Protected Types inherited from BinaryGroupEntry< GroupSize::BlockLength >
typedef BinaryGroupList< MessageSize >	GroupList
Protected Member Functions inherited from BinaryGroupEntry< GroupSize::BlockLength >
GroupList	groups () const
Protected Member Functions inherited from BinaryFields< Block, BlockSize >
	BinaryFields ()
	~BinaryFields ()
template<class FieldValue>
const FieldValue &	ordinary (BlockSize offset) const
template<class FieldValue, class NullValue>
bool	ordinary (FieldValue &value, BlockSize offset, const NullValue &null) const
template<class Value>
Decimal	decimal (BlockSize offset) const
template<class NullValue>
bool	decimal (Decimal &value, BlockSize offset, const NullValue &null) const
template<class FieldValue, class NullValue>
bool	ordinary (FieldValue &value, BlockSize offset, const NullValue &null, SchemaVersion since) const
template<class Enumeration>
Enumeration::Enum	enumeration (BlockSize offset) const
template<class Enumeration, class NullValue>
bool	enumeration (typename Enumeration::Enum &value, BlockSize offset, const NullValue &null) const
template<class Enumeration, class NullValue>
bool	enumeration (typename Enumeration::Enum &value, BlockSize offset, const NullValue &null, SchemaVersion since) const
template<BlockSize Size>
StrRef	fixedStr (BlockSize offset) const
template<BlockSize Size>
StrRef	fixedStr (BlockSize offset, SchemaVersion since) const
template<BlockSize Size>
bool	fixedStr (StrRef &value, BlockSize offset) const

Detailed Description

Entry of Entry repeating group.

Definition at line 200 of file Messages.h.

Member Typedef Documentation

◆ Base

typedef BinaryGroupEntry< GroupSize::BlockLength > Base

Aliases base class type.

Definition at line 212 of file Messages.h.

◆ Events

typedef BinaryGroup<EventsEntry, GroupSize, MessageSize> Events

Repeating group containing EventsEntry entries.

Definition at line 459 of file Messages.h.

◆ RelatedInstruments

typedef BinaryGroup<RelatedInstrumentsEntry, GroupSize, MessageSize> RelatedInstruments

Repeating group containing RelatedInstrumentsEntry entries.

Definition at line 385 of file Messages.h.

◆ SecurityAltID

typedef BinaryGroup<SecurityAltIDEntry, GroupSize, MessageSize> SecurityAltID

Repeating group containing SecurityAltIDEntry entries.

Definition at line 303 of file Messages.h.

Constructor & Destructor Documentation

◆ Entry() [1/2]

Entry ( )

inline

Initializes blank instance.

Definition at line 215 of file Messages.h.

◆ Entry() [2/2]

Entry	(	const void *	data,
		EncodedLength	length,
		SchemaVersion	version )

inline

Initializes instance of given version over given memory block.

Definition at line 221 of file Messages.h.

Member Function Documentation

◆ accrualDays()

bool accrualDays ( UInt32 & value ) const

inline

How many days have passed since settlement price was last calculated.

Definition at line 853 of file Messages.h.

◆ accruedCoupons()

bool accruedCoupons ( Decimal & value ) const

inline

This value represents accumulated fixed and floating amounts.

Definition at line 694 of file Messages.h.

◆ blockLength()

BlockLength blockLength ( SchemaVersion )

inlinestatic

Returns size of entry body in bytes for given version of message template.

Definition at line 992 of file Messages.h.

◆ calFutPx()

bool calFutPx ( Decimal & value ) const

inline

Calculated Futures Price using Swap NPV, Historical fixed and floating amounts and synthetic interest on variation margin.

Definition at line 517 of file Messages.h.

◆ className()

const Char * className ( )

inlinestatic

Entity class name.

Definition at line 1009 of file Messages.h.

◆ couponRate()

bool couponRate ( Decimal & value ) const

inline

The rate of the fixed leg.

Definition at line 611 of file Messages.h.

◆ dailyIncrementalErisPAI()

bool dailyIncrementalErisPAI ( Decimal & value ) const

inline

This number represents the day over day variation margin for 1 contract for this instrument ID or Eris PAI.

Definition at line 705 of file Messages.h.

◆ dV01()

bool dV01 ( Decimal & value ) const

inline

Present value of on basis points change in value if yield curve shifts 1bp.

Definition at line 923 of file Messages.h.

◆ entryPx()

bool entryPx ( Decimal & value ) const

inline

Price of the Market Data Entry.

Definition at line 486 of file Messages.h.

◆ entrySize()

bool entrySize ( UInt64 & value ) const

inline

Quantity or volume represented by the Market Data Entry.

Definition at line 536 of file Messages.h.

◆ entryType()

CHAR entryType ( ) const

inline

Indicates the type of Market Data entry.

Definition at line 470 of file Messages.h.

◆ erisPAI()

bool erisPAI ( Decimal & value ) const

inline

This is the cumulative daily interest adjustment.

Definition at line 715 of file Messages.h.

◆ events()

Events events ( ) const

inline

Returns instance of Events repeating group.

Definition at line 980 of file Messages.h.

◆ fairCouponPct()

bool fairCouponPct ( Decimal & value ) const

inline

Shows the coupon rate that would result in a zero-NPV swap.

Definition at line 639 of file Messages.h.

◆ fedFundsDate()

bool fedFundsDate ( Timestamp & value ) const

inline

The date that the for which the fed funds date was published.

Definition at line 834 of file Messages.h.

◆ fedFundsRate()

bool fedFundsRate ( Decimal & value ) const

inline

The Fed Funds Rate published for the Fed Funds Date by the New York Federal Reserve.

Definition at line 726 of file Messages.h.

◆ finalSettlementFuturesPrice()

bool finalSettlementFuturesPrice ( Decimal & value ) const

inline

Final Settlement Futures Prices.

Definition at line 943 of file Messages.h.

◆ fixedNPV()

bool fixedNPV ( Decimal & value ) const

inline

The NPV (Net Present Value) for the fixed leg of the trade, calculated that day.

NPV is per 100 notional.

Definition at line 661 of file Messages.h.

◆ fixedPayment()

bool fixedPayment ( Decimal & value ) const

inline

Fixed payment that occurs on the Evaluation Date.

Definition at line 747 of file Messages.h.

◆ floatingPayment()

bool floatingPayment ( Decimal & value ) const

inline

Floating Payment that occurs on the Evaulation Date.

Definition at line 757 of file Messages.h.

◆ floatNPV()

bool floatNPV ( Decimal & value ) const

inline

The NPV (Net Present Value) for the floating leg of the trade, calculated that day.

NPV is per 100 notional.

Definition at line 672 of file Messages.h.

◆ legContractMultiplier()

bool legContractMultiplier ( Decimal & value ) const

inline

Multiplier that when applied on longer rate results in PreviousFixingRate.

Definition at line 884 of file Messages.h.

◆ legCreditRating()

bool legCreditRating ( StrRef & value ) const

inline

Description of Float Rate.

Definition at line 874 of file Messages.h.

◆ legPurchaseRate()

bool legPurchaseRate ( Decimal & value ) const

inline

The date the floating rate was set for the next floating payment.

Definition at line 650 of file Messages.h.

◆ maturityDate()

bool maturityDate ( Timestamp & value ) const

inline

Maturity date of instrument.

Definition at line 593 of file Messages.h.

◆ minal()

bool minal ( UInt64 & value ) const

inline

This is the notional value used to calculate NPV and Fixed and Floating Payment amounts.

Definition at line 864 of file Messages.h.

◆ minPriceIncrement()

bool minPriceIncrement ( Decimal & value ) const

inline

Minimum tick for a product (only sent if not eligible for VTT).

Definition at line 737 of file Messages.h.

◆ next()

Entry next ( SchemaVersion ) const

inline

Returns reference to the next item.

Definition at line 998 of file Messages.h.

◆ nextFixedPaymentAmount()

bool nextFixedPaymentAmount ( Decimal & value ) const

inline

The next fixed payment amount.

Definition at line 785 of file Messages.h.

◆ nextFixedPaymentDate()

bool nextFixedPaymentDate ( Timestamp & value ) const

inline

The date the next fixed payment will be made.

Definition at line 767 of file Messages.h.

◆ nextFloatingPaymentAmount()

bool nextFloatingPaymentAmount ( Decimal & value ) const

inline

The next floating payment amount.

Definition at line 795 of file Messages.h.

◆ nextFloatingPaymentDate()

bool nextFloatingPaymentDate ( Timestamp & value ) const

inline

The date the next floating payment will be made.

Definition at line 894 of file Messages.h.

◆ npv()

bool npv ( Decimal & value ) const

inline

The NPV represents net present value of the future cash flows at time t.

Definition at line 683 of file Messages.h.

◆ openCloseSettlFlag()

bool openCloseSettlFlag ( UInt8 & value ) const

inline

Flag that identifies a market data entry.

Definition at line 496 of file Messages.h.

◆ previousErisPAI()

bool previousErisPAI ( Decimal & value ) const

inline

The Eris PAI on the Previous Settlement Date.

Definition at line 823 of file Messages.h.

◆ product()

bool product ( UInt8 & value ) const

inline

Indicates the type of product the instrument is associated with in the message.

Definition at line 565 of file Messages.h.

◆ pV01()

bool pV01 ( Decimal & value ) const

inline

The present value of a 1bp change in the fixed rate.

Definition at line 912 of file Messages.h.

◆ referenceId()

bool referenceId ( StrRef & value ) const

inline

For future use.

Definition at line 527 of file Messages.h.

◆ relatedInstruments()

RelatedInstruments relatedInstruments ( ) const

inline

Returns instance of RelatedInstruments repeating group.

Definition at line 971 of file Messages.h.

◆ rptSeq()

UInt32 rptSeq ( ) const

inline

Sequence number per Index update.

Definition at line 478 of file Messages.h.

◆ securityAltId()

SecurityAltID securityAltId ( ) const

inline

Returns instance of SecurityAltID repeating group.

Definition at line 963 of file Messages.h.

◆ securityDescription()

bool securityDescription ( StrRef & value ) const

inline

Ticker symbol.

Common, "human understood" representation of the security.

Definition at line 954 of file Messages.h.

◆ securityExchange()

StrRef securityExchange ( ) const

inline

Market used to help identify an instrument.

Definition at line 584 of file Messages.h.

◆ securityGroup()

bool securityGroup ( StrRef & value ) const

inline

Indicates the product code for the instrument.

Definition at line 555 of file Messages.h.

◆ securityType()

bool securityType ( StrRef & value ) const

inline

Indicates type of security.

Definition at line 575 of file Messages.h.

◆ settlementNPV()

bool settlementNPV ( Decimal & value ) const

inline

Final Settlement Price in NPV terms.

Definition at line 933 of file Messages.h.

◆ settlPriceType()

SettlPriceType settlPriceType ( ) const

inline

Indicates reference price as calculated, final or preliminary settle.

Definition at line 507 of file Messages.h.

◆ symbol()

bool symbol ( StrRef & value ) const

inline

Instrument, Index, Swap Name.

Definition at line 546 of file Messages.h.

◆ tradeDate()

bool tradeDate ( Timestamp & value ) const

inline

Pricing date.

Definition at line 621 of file Messages.h.

◆ tradingReferenceDate()

bool tradingReferenceDate ( Timestamp & value ) const

inline

Indicates the business date for previous settlement price.

Definition at line 805 of file Messages.h.

◆ updateAction()

CHAR updateAction ( ) const

inline

Indicates the type of Market Data update action.

Definition at line 462 of file Messages.h.

Classes

Public Types

Public Member Functions

Static Public Member Functions

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ Base

◆ Events

◆ RelatedInstruments

◆ SecurityAltID

Constructor & Destructor Documentation

◆ Entry() [1/2]

◆ Entry() [2/2]

Member Function Documentation

◆ accrualDays()

◆ accruedCoupons()

◆ blockLength()

◆ calFutPx()

◆ className()

◆ couponRate()

◆ dailyIncrementalErisPAI()

◆ dV01()

◆ entryPx()

◆ entrySize()

◆ entryType()

◆ erisPAI()

◆ events()

◆ fairCouponPct()

◆ fedFundsDate()

◆ fedFundsRate()

◆ finalSettlementFuturesPrice()

◆ fixedNPV()

◆ fixedPayment()

◆ floatingPayment()

◆ floatNPV()

◆ legContractMultiplier()

◆ legCreditRating()

◆ legPurchaseRate()

◆ maturityDate()

◆ minal()

◆ minPriceIncrement()

◆ next()

◆ nextFixedPaymentAmount()

◆ nextFixedPaymentDate()

◆ nextFloatingPaymentAmount()

◆ nextFloatingPaymentDate()

◆ npv()

◆ openCloseSettlFlag()

◆ previousErisPAI()

◆ product()

◆ pV01()

◆ referenceId()

◆ relatedInstruments()

◆ rptSeq()

◆ securityAltId()

◆ securityDescription()

◆ securityExchange()

◆ securityGroup()

◆ securityType()

◆ settlementNPV()

◆ settlPriceType()

◆ symbol()

◆ tradeDate()

◆ tradingReferenceDate()

◆ updateAction()