TotalReturnFuturesStatus.h

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/*
* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
*
* This software owned by Onix Solutions Limited [OnixS] and is protected by copyright law
* and international copyright treaties.
*
* Access to and use of the software is governed by the terms of the applicable OnixS Software
* Services Agreement (the Agreement) and Customer end user license agreements granting
* 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
* of this source code or associated reference material to any other location for further reproduction
* or redistribution, and any amendments to this copyright notice, are expressly prohibited.
*
* Any reproduction or redistribution for sale or hiring of the Software not in accordance with
* the terms of the Agreement is a violation of copyright law.
*/

#pragma once

#include <OnixS/Eurex/MarketData/Defines.h>
#include <OnixS/Eurex/MarketData/Message.h>
#include <OnixS/Eurex/MarketData/Group.h>
#include <OnixS/Eurex/MarketData/Tags.h>
#include <OnixS/Eurex/MarketData/InstrumentSnapshot.h>
#include <OnixS/Eurex/MarketData/VarianceFuturesStatus.h>

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            ///
            struct ONIXS_EUREX_EMDI_API ConversionMode
            {
                enum Enum
                {
                    /// Used to identify absence of value.
                    Undefined = -1,

                    ///
                    Initial = 0,

                    ///
                    Preliminary,

                    ///
                    Final
                };
            };

            ///
            struct ONIXS_EUREX_EMDI_API ConversionModeQualifier
            {
                enum Enum
                {
                    /// Used to identify absence of value.
                    Undefined = -1,

                    ///
                    Early = 0,

                    ///
                    Late
                };
            };

            /// Clearing price parameter for total return futures status message
            class ONIXS_EUREX_EMDI_API TrfsClearingPriceParameter : GroupInstance
            {
                public:

                    /// Business date type
                    BusinessDayType::Enum businessDayType() const
                    {
                        return getIntEnumFieldValue<BusinessDayType> (*this, Tags::BusinessDayType);
                    }

                    /// Annualisation Factor, a constant value that represents the number of calendar days during one year as applied in the calculations.
                    bool annualCalendarDays (UInt32& value) const
                    {
                        return get (Tags::AnnualCalendarDays).toNumber (value);
                    }

                    /// Days to maturity, number of calendar days between the current day settlement date and the
                    /// instrument expiration settlement date. Used for the trade price conversion from trading to clearing notation.
                    bool remainingCalendarDays (Int32& value) const
                    {
                        return get (Tags::RemainingCalendarDays).toNumber (value);
                    }

                    /// Funding rate, used for the funding calculation of the current day. Represents the overnight
                    /// or the periodic interest rate established on the previous day. Becomes available in the morning before trading starts.
                    bool overnightInterestRate (Decimal& value) const
                    {
                        return get (Tags::OvernightInterestRate).toNumber (value);
                    }

                    /// Name of the Funding Rate used for the funding calculation of the current day.
                    bool overnightInterestRateName(StringRef& id) const
                    {
                        return get(Tags::OvernightInterestRateName).toStringRef(id);
                    }

                    /// Daily funding, calculated from the funding rate applied to the previous day underlying index.
                    bool currentPaymentParameter (Decimal& value) const
                    {
                        return get (Tags::CurrentPaymentParameter).toNumber (value);
                    }

                    /// Accrued funding, accumulated from the daily fundings since
                    /// the product launch. Used for the trade price conversion from
                    /// trading to clearing notation.
                    bool accruedPaymentParameter (Decimal& value) const
                    {
                        return get (Tags::AccruedPaymentParameter).toNumber (value);
                    }

                    /// Distribution index, defined for the current day. Becomes available in the morning before trading starts.
                    bool relatedIndexValue (Decimal& value) const
                    {
                        return get (Tags::RelatedIndexValue).toNumber (value);
                    }

                    /// Daily distribution, calculated from the difference between the current and the previous day distribution index.
                    bool currentCollectionParameter (Decimal& value) const
                    {
                        return get (Tags::CurrentCollectionParameter).toNumber (value);
                    }

                    /// Accrued distribution, accumulated from the daily distributions since the product launch. Used for the trade price conversion
                    /// from trading to clearing notation.
                    bool accruedCollectionParameter (Decimal& value) const
                    {
                        return get (Tags::AccruedCollectionParameter).toNumber (value);
                    }

                    /// Coupon payment, for which the coupon period is ongoing, multiplied by the ratio of the already passed time of the coupon periodand the entire coupon period.
                    bool currentAccruedInterestAmt(Decimal& value) const
                    {
                        return get(Tags::CurrentAccruedInterestAmt).toNumber(value);
                    }

                    /// The previous day�s underlying index close value.
                    bool relatedClosePrice (Decimal& value) const
                    {
                        return get (Tags::RelatedClosePrice).toNumber (value);
                    }


                private:
                    friend class TypedGroup<TrfsClearingPriceParameter>;

                    TrfsClearingPriceParameter (const GroupInstance& groupInstance)
                        : GroupInstance (groupInstance)
                    {
                    }
            };

            class TrfsClearingPriceParameters : public TypedGroup<TrfsClearingPriceParameter>
            {
                private:
                    explicit
                    TrfsClearingPriceParameters (const Group& group)
                        : TypedGroup<TrfsClearingPriceParameter> (group)
                    {
                    }

                    friend class TotalReturnFuturesStatus;
            };

            /// Total return futures status message
            class ONIXS_EUREX_EMDI_API TotalReturnFuturesStatus : public Message
            {
                public:

                    /// Product identifier.
                    MarketSegmentId marketSegmentId() const
                    {
                        return getUInt32 (Tags::MarketSegmentID);
                    }

                    /// Instrument identifier.
                    SecurityId securityId() const
                    {
                        return getInt64 (Tags::SecurityID);
                    }

                    /// Type of security.
                    SecurityType::Enum securityType() const
                    {
                        return getIntEnumFieldValue<SecurityType> (*this, Tags::SecurityType);
                    }

                    /// Daily settlement price of the previous day in trading notation (TRF spread).
                    Decimal priorSettlPrice() const
                    {
                        return getDecimal(Tags::PriorSettlPrice);
                    }

                    /// Daily settlement price of the current day in trading notation (TRF spread).
                    bool settlPrice (Decimal& price) const
                    {
                        return get (Tags::SettlPrice).toNumber (price);
                    }


                    /// Clearing price parameters
                    TrfsClearingPriceParameters clearingPriceParameters() const
                    {
                        return TrfsClearingPriceParameters ( getGroup (Tags::NoClearingPriceParameters) );
                    }

                    ///
                    ConversionMode::Enum conversionMode() const
                    {
                        return getIntEnumFieldValue<ConversionMode> (*this, Tags::ConversionMode);
                    }

                    ///
                    ConversionModeQualifier::Enum conversionModeQualifier() const
                    {
                        return getIntEnumFieldValue<ConversionModeQualifier> (*this, Tags::ConversionModeQualifier);
                    }

            private:
                    friend class TotalReturnFuturesStatusWrapper;

                    TotalReturnFuturesStatus (const void* impl)
                        : Message (impl)
                    {
                    }
            };
        }
    }
}