OnixS C++ Eurex T7 Market and Reference Data (EMDI, MDI, RDI, EOBI) Handlers 18.2.0
API documentation
Loading...
Searching...
No Matches
VarianceFuturesStatus.h
Go to the documentation of this file.
1/*
2* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
3*
4* This software owned by Onix Solutions Limited [OnixS] and is protected by copyright law
5* and international copyright treaties.
6*
7* Access to and use of the software is governed by the terms of the applicable OnixS Software
8* Services Agreement (the Agreement) and Customer end user license agreements granting
9* a non-assignable, non-transferable and non-exclusive license to use the software
10* for it's own data processing purposes under the terms defined in the Agreement.
11*
12* Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
13* of this source code or associated reference material to any other location for further reproduction
14* or redistribution, and any amendments to this copyright notice, are expressly prohibited.
15*
16* Any reproduction or redistribution for sale or hiring of the Software not in accordance with
17* the terms of the Agreement is a violation of copyright law.
18*/
19
20#pragma once
21
27
28namespace OnixS
29{
30 namespace Eurex
31 {
32 namespace MarketData
33 {
35 struct ONIXS_EUREX_EMDI_API BusinessDayType
36 {
37 enum Enum
38 {
41
44
47 };
48 };
49
51 struct ONIXS_EUREX_EMDI_API CalculationMethodType
52 {
53 enum Enum
54 {
57
60
62 Manual = 1,
63 };
64 };
65
67 class ONIXS_EUREX_EMDI_API ClearingPriceParameter : GroupInstance
68 {
69 public:
70
76
78 bool clearingPriceOffset (Decimal& value) const
79 {
80 return get (Tags::ClearingPriceOffset).toNumber (value);
81 }
82
84 bool vegaMultiplier (UInt64& value) const
85 {
86 return get (Tags::VegaMultiplier).toNumber (value);
87 }
88
91 {
92 return get (Tags::AnnualTradingBusinessDays).toNumber (value);
93 }
94
96 bool totalTradingBusinessDays (UInt32& value) const
97 {
98 return get (Tags::TotalTradingBusinessDays).toNumber (value);
99 }
100
102 bool tradingBusinessDays (UInt32& value) const
103 {
104 return get (Tags::TradingBusinessDays).toNumber (value);
105 }
106
108 bool standardVariance (Decimal& value) const
109 {
110 return get (Tags::StandardVariance).toNumber (value);
111 }
112
114 bool relatedClosePrice (Decimal& value) const
115 {
116 return get (Tags::RelatedClosePrice).toNumber (value);
117 }
118
120 bool realisedVariance (Decimal& value) const
121 {
122 return get (Tags::RealisedVariance).toNumber (value);
123 }
124
126 bool volatility (Decimal& value) const
127 {
128 return get (Tags::Volatility).toNumber (value);
129 }
130
132 bool settlPrice (Decimal& value) const
133 {
134 return get (Tags::ClearingSettlPrice).toNumber (value);
135 }
136
142
143 private:
145
146 ClearingPriceParameter (const GroupInstance& groupInstance)
147 : GroupInstance (groupInstance)
148 {
149 }
150 };
151
152 class ClearingPriceParameters : public TypedGroup<ClearingPriceParameter>
153 {
154 private:
155 explicit
156 ClearingPriceParameters (const Group& group)
158 {
159 }
160
162 };
163
165 class ONIXS_EUREX_EMDI_API VarianceFuturesStatus : public Message
166 {
167 public:
168
174
177 {
178 return getInt64 (Tags::SecurityID);
179 }
180
186
187 private:
189
190 VarianceFuturesStatus (const void* impl)
191 : Message (impl)
192 {
193 }
194 };
195 }
196 }
197}
bool volatility(Decimal &value) const
Accumulated return on modified variation margin represents the economic cost of the variation margin ...
bool standardVariance(Decimal &value) const
Used as a variance reference for the trading price conversion and the settlement price calculation.
bool settlPrice(Decimal &value) const
Settlement price in clearing notation. Only provided for previous day.
bool tradingBusinessDays(UInt32 &value) const
Total number of trading days already passed since the introduction of the instrument.
bool clearingPriceOffset(Decimal &value) const
Price constant defined on the instrument level and used for the clearing price conversion.
CalculationMethodType::Enum calculationMethod() const
Indicates whether the automatic calculation of the parameters has been disabled and parameters have b...
bool totalTradingBusinessDays(UInt32 &value) const
Total number of trading days of the instrument, including the first and the last trading day,...
bool realisedVariance(Decimal &value) const
Calculated from all underlying closing prices since the introduction of the instrument adjusted by An...
bool vegaMultiplier(UInt64 &value) const
Constant multiplier of the Notional Vega defined on the product level and used for the clearing quant...
BusinessDayType::Enum businessDayType() const
Business date type.
bool annualTradingBusinessDays(UInt32 &value) const
Approximate number of trading days during one year defined as a constant on the product level and use...
bool relatedClosePrice(Decimal &value) const
Closing price of the underlying on the product level and used to calculate the realised variance....
Decimal type for better precision.
Definition Numeric.h:66
UInt32 getUInt32(Tag tag) const
Group getGroup(Tag numberOfInstancesTag) const
FieldValueRef get(Tag tag) const
GroupInstance(const GroupInstance &other)
Initializes instance as reference to the other one.
Message(const Message &other)
ClearingPriceParameters clearingPriceParameters() const
Clearing price parameters.
MarketSegmentId marketSegmentId() const
Product identifier.
SecurityId securityId() const
Instrument identifier.
const Tag NoClearingPriceParameters
Definition Tags.h:159
const Tag AnnualTradingBusinessDays
Definition Tags.h:163
const Tag TotalTradingBusinessDays
Definition Tags.h:164
Enumeration::Enum getIntEnumFieldValue(const FieldSet &fieldSet, Tag tag)
Definition FieldSet.h:228
unsigned int UInt32
Definition Numeric.h:41
UInt32 MarketSegmentId
Alias for Market Segment ID type.
Definition Defines.h:40
Int64 SecurityId
Alias for Security Id type.
Definition Defines.h:51
Exposes list of available feed types.
@ Undefined
Used to identify absence of value.
Exposes list of available calculation method types.
@ Undefined
Used to identify absence of value.