Definition at line 67 of file VarianceFuturesStatus.h.
◆ annualTradingBusinessDays()
| bool annualTradingBusinessDays |
( |
UInt32 & | value | ) |
const |
|
inline |
Approximate number of trading days during one year defined as a constant on the product level and used for the calculation of RealisedVariance (28853).
Definition at line 90 of file VarianceFuturesStatus.h.
◆ businessDayType()
◆ calculationMethod()
Indicates whether the automatic calculation of the parameters has been disabled and parameters have been manually defined. Intraday update is possible at any time.
Definition at line 138 of file VarianceFuturesStatus.h.
◆ clearingPriceOffset()
| bool clearingPriceOffset |
( |
Decimal & | value | ) |
const |
|
inline |
Price constant defined on the instrument level and used for the clearing price conversion.
Definition at line 78 of file VarianceFuturesStatus.h.
◆ realisedVariance()
| bool realisedVariance |
( |
Decimal & | value | ) |
const |
|
inline |
Calculated from all underlying closing prices since the introduction of the instrument adjusted by AnnualTradingBusinessDays. Also provided for previous day.
Definition at line 120 of file VarianceFuturesStatus.h.
◆ relatedClosePrice()
| bool relatedClosePrice |
( |
Decimal & | value | ) |
const |
|
inline |
Closing price of the underlying on the product level and used to calculate the realised variance. Also provided for previous day.
Definition at line 114 of file VarianceFuturesStatus.h.
◆ settlPrice()
| bool settlPrice |
( |
Decimal & | value | ) |
const |
|
inline |
◆ standardVariance()
| bool standardVariance |
( |
Decimal & | value | ) |
const |
|
inline |
Used as a variance reference for the trading price conversion and the settlement price calculation.
Definition at line 108 of file VarianceFuturesStatus.h.
◆ totalTradingBusinessDays()
| bool totalTradingBusinessDays |
( |
UInt32 & | value | ) |
const |
|
inline |
Total number of trading days of the instrument, including the first and the last trading day, which is one day before the expiration.
Definition at line 96 of file VarianceFuturesStatus.h.
◆ tradingBusinessDays()
| bool tradingBusinessDays |
( |
UInt32 & | value | ) |
const |
|
inline |
Total number of trading days already passed since the introduction of the instrument.
Definition at line 102 of file VarianceFuturesStatus.h.
◆ vegaMultiplier()
| bool vegaMultiplier |
( |
UInt64 & | value | ) |
const |
|
inline |
Constant multiplier of the Notional Vega defined on the product level and used for the clearing quantity conversion.
Definition at line 84 of file VarianceFuturesStatus.h.
◆ volatility()
| bool volatility |
( |
Decimal & | value | ) |
const |
|
inline |
Accumulated return on modified variation margin represents the economic cost of the variation margin from one trading day to the next. Also provided for previous day.
Definition at line 126 of file VarianceFuturesStatus.h.
◆ TypedGroup< ClearingPriceParameter >
