CMF_BASIS Class Reference

#include <OnixS/MTS/Cash/SDP/Classes/SMP.Classes.CMF_BASIS.h>

Public Member Functions
	CMF_BASIS ()
virtual	~CMF_BASIS ()
virtual ClassId::Enum	id () const
size_t	deserialize (const void *buf, size_t inLen)
virtual std::string	toString () const
virtual size_t	serializationBufSize () const
virtual CMF_BASIS *	clone () const
virtual CMF_BASIS *	clone (void *) const
Public Member Functions inherited from Class
virtual	~Class ()
size_t	getMaxMessageSize () const

Public Attributes
UInt32	instrumentId
std::string	instrumentCode
std::string	instrumentDesc
UInt32	firstLegId
UInt32	secondLegId
UInt32	instrumentClassId
Double	lotValue
Double	incrementQty
Double	minOrderQty
Double	minFASQty
Double	minProposalQty
Double	minBasisTick
UInt16	accIntPrecision
Double	priceFactor
TI_FLAG::Enum	deliverableFlag
TI_FLAG::Enum	ctdFlag
TI_FLAG::Enum	firstLegGreyMarketFlag
UInt32	firstLegGreyMarketEndDate
UInt32	settlDate
UInt32	sortNumber
Double	hedgeRatio
Double	irr
Double	minYieldTick
Double	minStrikerQtyCap
Double	minStrikerQuoteQty
Double	minStrikerOrderQty

Detailed Description

Definition at line 45 of file SMP.Classes.CMF_BASIS.h.

Constructor & Destructor Documentation

CMF_BASIS ( )

inline

Definition at line 48 of file SMP.Classes.CMF_BASIS.h.

virtual ~CMF_BASIS ( )

inlinevirtual

Definition at line 54 of file SMP.Classes.CMF_BASIS.h.

Member Function Documentation

virtual CMF_BASIS* clone ( ) const

virtual

Implements Class.

virtual CMF_BASIS* clone ( void *  ) const

virtual

Implements Class.

size_t deserialize	(	const void *	buf,
		size_t	inLen
	)

virtual ClassId::Enum id ( ) const

inlinevirtual

Class id.

Implements Class.

Definition at line 57 of file SMP.Classes.CMF_BASIS.h.

virtual size_t serializationBufSize ( ) const

inlinevirtual

Implements Class.

Definition at line 148 of file SMP.Classes.CMF_BASIS.h.

virtual std::string toString ( ) const

virtual

Provides string presentation.

Implements Class.

Member Data Documentation

UInt16 accIntPrecision

Number of decimals to be used (precision) in the calculations to be made for settlement purposes.

Definition at line 100 of file SMP.Classes.CMF_BASIS.h.

TI_FLAG::Enum ctdFlag

Flag indicating whether the bond is the CTD (cheapest to deliver) or not.

Definition at line 109 of file SMP.Classes.CMF_BASIS.h.

TI_FLAG::Enum deliverableFlag

Flag indicating whether the bond is deliverable or not.

Definition at line 106 of file SMP.Classes.CMF_BASIS.h.

UInt32 firstLegGreyMarketEndDate

End date for trading the bond on the Grey Market.

Definition at line 115 of file SMP.Classes.CMF_BASIS.h.

TI_FLAG::Enum firstLegGreyMarketFlag

Flag indicating whether the bond belongs to the Grey Market.

Definition at line 112 of file SMP.Classes.CMF_BASIS.h.

UInt32 firstLegId

Unique ID of the financial instrument (Bond) in the TI_INSTRUMENT class (external reference key)

Definition at line 73 of file SMP.Classes.CMF_BASIS.h.

Double hedgeRatio

Used to define the number of futures relating the nominal quantity of the basis.

Definition at line 124 of file SMP.Classes.CMF_BASIS.h.

Double incrementQty

Minimum quantity increment - applies to FAS,AON and FAK orders,to double-sided proposals and to RFQs. (This parameter also defines the minimum tradable quantity on the system)

Definition at line 85 of file SMP.Classes.CMF_BASIS.h.

UInt32 instrumentClassId

Unique ID of the instrument class.

Definition at line 79 of file SMP.Classes.CMF_BASIS.h.

std::string instrumentCode

Alphanumeric code of the Basis product (tradable instrument)

Definition at line 67 of file SMP.Classes.CMF_BASIS.h.

std::string instrumentDesc

Description of the Basis product (tradable instrument)

Definition at line 70 of file SMP.Classes.CMF_BASIS.h.

UInt32 instrumentId

Unique ID of the Basis product (tradable instrument)

Definition at line 64 of file SMP.Classes.CMF_BASIS.h.

Double irr

Implied Repo Rate (not significant for non-deliverable bonds)

Definition at line 127 of file SMP.Classes.CMF_BASIS.h.

Double lotValue

Unit value of the lot.

Definition at line 82 of file SMP.Classes.CMF_BASIS.h.

Double minBasisTick

Minimum price variation that users will be able to express in double sided proposals,FAS orders,RFQs and FAK/AON orders.

Definition at line 97 of file SMP.Classes.CMF_BASIS.h.

Double minFASQty

Minimum FAS order quantity (relates to cash bond (1st) leg)

Definition at line 91 of file SMP.Classes.CMF_BASIS.h.

Double minOrderQty

Minimum FAK and AON order quantity (relates to cash bond (1st) leg). If MinOrderQty >= IncrementQty order will be compliant. If MinOrderQty < IncrementQty order will be non-compliant,resulting in manual acceptance.

Definition at line 88 of file SMP.Classes.CMF_BASIS.h.

Double minProposalQty

Minimum double sided proposal quantity (relates to cash bond (1st) leg)

Definition at line 94 of file SMP.Classes.CMF_BASIS.h.

Double minStrikerOrderQty

Minimum quantity for striker orders.

Definition at line 139 of file SMP.Classes.CMF_BASIS.h.

Double minStrikerQtyCap

Maximum value that can be specified for the minimum striker quantity in FAS orders and double sided quotes.

Definition at line 133 of file SMP.Classes.CMF_BASIS.h.

Double minStrikerQuoteQty

Minimum quantity for striker quotes.

Definition at line 136 of file SMP.Classes.CMF_BASIS.h.

Double minYieldTick

Minimum yield variation.

Definition at line 130 of file SMP.Classes.CMF_BASIS.h.

Double priceFactor

Multiply factor.

Definition at line 103 of file SMP.Classes.CMF_BASIS.h.

UInt32 secondLegId

Unique ID of the financial instrument (Future Delivery) in the TI_FUTURE_DELIVERY class (external reference key)

Definition at line 76 of file SMP.Classes.CMF_BASIS.h.

UInt32 settlDate

Date of settlement for the Basis product.

Definition at line 118 of file SMP.Classes.CMF_BASIS.h.

UInt32 sortNumber

Instrument sorting number.

Definition at line 121 of file SMP.Classes.CMF_BASIS.h.

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

• include/OnixS/MTS/Cash/SDP/Classes/SMP.Classes.CMF_BASIS.h