OnixS C++ Eurex T7 Market and Reference Data (EMDI, MDI, RDI, EOBI) Handlers  13.1.0
API documentation
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


class TypedGroup< ClearingPriceParameter >

Detailed Description

Definition at line 67 of file VarianceFuturesStatus.h.

Member Function Documentation

bool annualTradingBusinessDays ( UInt32 value) const

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

Business date type.

Definition at line 72 of file VarianceFuturesStatus.h.

CalculationMethodType::Enum calculationMethod ( ) const

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

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

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

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

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

Definition at line 132 of file VarianceFuturesStatus.h.

bool standardVariance ( Decimal value) const

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

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

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

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

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 >

Definition at line 144 of file VarianceFuturesStatus.h.

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