ClearingPriceParameter Class Reference

#include <OnixS/Eurex/MarketData/VarianceFuturesStatus.h>

Public Member Functions
BusinessDayType::Enum	businessDayType () const
bool	clearingPriceOffset (Decimal &value) const
bool	vegaMultiplier (UInt64 &value) const
bool	annualTradingBusinessDays (UInt32 &value) const
bool	totalTradingBusinessDays (UInt32 &value) const
bool	tradingBusinessDays (UInt32 &value) const
bool	standardVariance (Decimal &value) const
bool	relatedClosePrice (Decimal &value) const
bool	realisedVariance (Decimal &value) const
bool	volatility (Decimal &value) const
bool	settlPrice (Decimal &value) const
CalculationMethodType::Enum	calculationMethod () const

Friends
class	TypedGroup< ClearingPriceParameter >

Detailed Description

Definition at line 67 of file VarianceFuturesStatus.h.

Member Function Documentation

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::Enum businessDayType ( ) const

inline

Business date type.

Definition at line 72 of file VarianceFuturesStatus.h.

CalculationMethodType::Enum calculationMethod ( ) const

inline

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.

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.

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.

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.

bool settlPrice ( Decimal &  value ) const

inline

Settlement price in clearing notation. Only provided for previous day.

Definition at line 132 of file VarianceFuturesStatus.h.

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.

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.

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.

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.

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.

Friends And Related Function Documentation

friend class TypedGroup< ClearingPriceParameter >

friend

Definition at line 144 of file VarianceFuturesStatus.h.

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The documentation for this class was generated from the following file:

• include/OnixS/Eurex/MarketData/VarianceFuturesStatus.h