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 |
Definition at line 45 of file SMP.Classes.CMF_BASIS.h.
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inline |
Definition at line 48 of file SMP.Classes.CMF_BASIS.h.
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inlinevirtual |
Definition at line 54 of file SMP.Classes.CMF_BASIS.h.
| size_t deserialize | ( | const void * | buf, |
| size_t | inLen ) |
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inlinevirtual |
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inlinevirtual |
Implements Class.
Definition at line 148 of file SMP.Classes.CMF_BASIS.h.
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virtual |
Provides string presentation.
Implements Class.
| 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.
