OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  8.1.0
API documentation
ClearingPriceParameter Class Reference

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

Collaboration diagram for ClearingPriceParameter:

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 riskFreeRate (Decimal &value) const
 
bool discountFactor (Decimal &value) const
 
bool overnightInterestRate (Decimal &value) const
 
bool accumulatedReturnModifiedVariationMargin (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 accumulatedReturnModifiedVariationMargin ( 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 144 of file VarianceFuturesStatus.h.

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 162 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 discountFactor ( Decimal value) const
inline

Calculated from the corresponding RiskFreeRate till expiration interpolated. Also provided for previous day.

Definition at line 132 of file VarianceFuturesStatus.h.

bool overnightInterestRate ( Decimal value) const
inline

Short term interest rate used for the calculation of the next day AccumulatedReturnModifiedVariationMargin. Only provided for previous day.

Definition at line 138 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 riskFreeRate ( Decimal value) const
inline

Interest rate till the instrument expiration interpolated from an interest curve.

Definition at line 126 of file VarianceFuturesStatus.h.

bool settlPrice ( Decimal value) const
inline

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

Definition at line 156 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 150 of file VarianceFuturesStatus.h.

Friends And Related Function Documentation

friend class TypedGroup< ClearingPriceParameter >
friend

Definition at line 168 of file VarianceFuturesStatus.h.


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