TrfsClearingPriceParameter Class Reference

Public Member Functions
BusinessDayType::Enum	businessDayType () const
bool	annualCalendarDays (UInt32 &value) const
bool	remainingCalendarDays (Int32 &value) const
bool	overnightInterestRate (Decimal &value) const
bool	overnightInterestRateName (StringRef &id) const
bool	currentPaymentParameter (Decimal &value) const
bool	accruedPaymentParameter (Decimal &value) const
bool	relatedIndexValue (Decimal &value) const
bool	currentCollectionParameter (Decimal &value) const
bool	accruedCollectionParameter (Decimal &value) const
bool	currentAccruedInterestAmt (Decimal &value) const
bool	relatedClosePrice (Decimal &value) const

Friends
class	TypedGroup< TrfsClearingPriceParameter >

Detailed Description

Definition at line 71 of file TotalReturnFuturesStatus.h.

Member Function Documentation

bool accruedCollectionParameter ( Decimal &  value ) const

inline

Accrued distribution, accumulated from the daily distributions since the product launch. Used for the trade price conversion from trading to clearing notation.

Definition at line 135 of file TotalReturnFuturesStatus.h.

bool accruedPaymentParameter ( Decimal &  value ) const

inline

Accrued funding, accumulated from the daily fundings since the product launch. Used for the trade price conversion from trading to clearing notation.

Definition at line 116 of file TotalReturnFuturesStatus.h.

bool annualCalendarDays ( UInt32 &  value ) const

inline

Annualisation Factor, a constant value that represents the number of calendar days during one year as applied in the calculations.

Definition at line 82 of file TotalReturnFuturesStatus.h.

BusinessDayType::Enum businessDayType ( ) const

inline

Business date type.

Definition at line 76 of file TotalReturnFuturesStatus.h.

bool currentAccruedInterestAmt ( Decimal &  value ) const

inline

Coupon payment, for which the coupon period is ongoing, multiplied by the ratio of the already passed time of the coupon periodand the entire coupon period.

Definition at line 141 of file TotalReturnFuturesStatus.h.

bool currentCollectionParameter ( Decimal &  value ) const

inline

Daily distribution, calculated from the difference between the current and the previous day distribution index.

Definition at line 128 of file TotalReturnFuturesStatus.h.

bool currentPaymentParameter ( Decimal &  value ) const

inline

Daily funding, calculated from the funding rate applied to the previous day underlying index.

Definition at line 108 of file TotalReturnFuturesStatus.h.

bool overnightInterestRate ( Decimal &  value ) const

inline

Funding rate, used for the funding calculation of the current day. Represents the overnight or the periodic interest rate established on the previous day. Becomes available in the morning before trading starts.

Definition at line 96 of file TotalReturnFuturesStatus.h.

bool overnightInterestRateName ( StringRef &  id ) const

inline

Name of the Funding Rate used for the funding calculation of the current day.

Definition at line 102 of file TotalReturnFuturesStatus.h.

bool relatedClosePrice ( Decimal &  value ) const

inline

The previous day�s underlying index close value.

Definition at line 147 of file TotalReturnFuturesStatus.h.

bool relatedIndexValue ( Decimal &  value ) const

inline

Distribution index, defined for the current day. Becomes available in the morning before trading starts.

Definition at line 122 of file TotalReturnFuturesStatus.h.

bool remainingCalendarDays ( Int32 &  value ) const

inline

Days to maturity, number of calendar days between the current day settlement date and the instrument expiration settlement date. Used for the trade price conversion from trading to clearing notation.

Definition at line 89 of file TotalReturnFuturesStatus.h.

Friends And Related Function Documentation

friend class TypedGroup< TrfsClearingPriceParameter >

friend

Definition at line 154 of file TotalReturnFuturesStatus.h.