Reference.h

Go to the documentation of this file.

/*
 * Copyright Onix Solutions Limited [OnixS]. All rights reserved.
 *
 * This software owned by Onix Solutions Limited [OnixS] and is protected by
 * copyright law and international copyright treaties.
 *
 * Access to and use of the software is governed by the terms of the applicable
 * ONIXS Software Services Agreement (the Agreement) and Customer end user
 * license agreements granting a non-assignable, non-transferable and
 * non-exclusive license to use the software for it's own data processing
 * purposes under the terms defined in the Agreement.
 *
 * Except as otherwise granted within the terms of the Agreement, copying or
 * reproduction of any part of this source code or associated reference material
 * to any other location for further reproduction or redistribution, and any
 * amendments to this copyright notice, are expressly prohibited.
 *
 * Any reproduction or redistribution for sale or hiring of the Software not in
 * accordance with the terms of the Agreement is a violation of copyright law.
 */

#pragma once

#include <OnixS/Senaf/MarketData/Enumerations.h>
#include <OnixS/Senaf/MarketData/Export.h>
#include <OnixS/Senaf/MarketData/Optional.h>
#include <OnixS/Senaf/MarketData/Time.h>

#include <iosfwd>
#include <string>
#include <vector>

namespace OnixS { namespace Senaf { namespace MarketData {

/// Reference.
struct ONIXS_BME_SENAF_EXPORT Reference
{
    /// Default constructor.
    Reference();

    /// Market.
    unsigned char market;

    /// Instrument Type.
    InstrumentType::Enum instrumentType;

    /// Reference.
    unsigned short reference;

    /// High price /rate possible.
    int highPriceRatePossible;

    /// Low price /rate possible.
    int lowPriceRatePossible;

    /// Trading Price Tick.
    unsigned short tradingPriceTick;

    /// Trading Yield/Rate Tick.
    unsigned short tradingYieldRateTick;

    /// Unitary Volume.
    unsigned int unitaryVolume;

    /// Minimum Trading / Delivery Volume.
    unsigned int minimumTradingDeliveryVolume;

    /// Hit Volume.
    unsigned int hitVolume;

    /// Compliance Spread.
    unsigned int complianceSpread;

    /// Compliance Volume.
    unsigned int complianceVolume;

    /// Reference Price / Rate in opening.
    int referencePriceRateInOpening;

    /// Currency.
    unsigned char currency;

    /// Market MIC.
    std::string marketMIC;

    /// Traded in Price or Rate.
    bool tradedInPriceOrRate;

    /// Trading Status.
    bool tradingStatus;

    /// Special / Normal.
    bool specialNormal;

    /// Standard windows.
    bool standardWindows;

    /// Liquid.
    bool liquid;

    /// Trading Obligation.
    bool tradingObligation;

    /// Original Request Number
    unsigned int originalRequestNumber;

    /// \name Bonds, Strips, Bills, GGB, Corporate New Issues, Cedulas and FROB
    /// Bonds (001, 002, 003, 009, 010, 011 and 012).
    //@{

    /// Reference name.
    Optional<std::string> referenceName;

    /// ISIN Code or Issuer Code.
    Optional<std::string> isinCode;

    /// CFI Code.
    Optional<std::string> cfiCode;

    /// FISN.
    Optional<std::string> fisn;

    /// Issuer LEI.
    Optional<std::string> issuerLEI;

    /// Product Type.
    Optional<unsigned char> productType;

    /// Contract Value.
    Optional<unsigned int> contractValue;

    /// Facial Value.
    Optional<unsigned int> facialValue;

    /// Maturity Price.
    Optional<unsigned int> maturityPrice;

    /// Value Date.
    Optional<Date> valueDate;

    /// Payment Start Date.
    Optional<Date> paymentStartDate;

    /// Next Payment Date.
    Optional<Date> nextPaymentDate;

    /// Maturity Date.
    Optional<Date> maturityDate;

    /// Settlement Price of previous session.
    Optional<int> settlementPriceOfPreviousSession;

    /// Segment.
    Optional<unsigned char> segment;

    /// Country.
    Optional<unsigned char> country;

    /// Issuer.
    Optional<std::string> issuer;

    /// Strippable (Yes/No).
    Optional<bool> strippable;

    /// Benchmark (Yes/No).
    Optional<bool> benchmark;

    /// Coupon Periodicity (in months).
    Optional<unsigned char> couponPeriodicityInMonths;

    //@}

    /// \name Treasury Repo MEFE (BME Clearing-Iberclear), Treasury Repo CNET
    /// (Clearnet-Iberclear), Bilateral Treasury Repo (No CCP-IberClear) and any
    /// other Repo instrument (Instrument Types 016 until 031 are reserved for
    /// other possible Repo instruments).
    //@{

    /// Term.
    Optional<std::string> term;

    /// Purchase leg Value Date.
    Optional<Date> purchaseLegValueDate;

    /// Repurchase leg Value Date.
    Optional<Date> repurchaseLegValueDate;

    /// Reference identifier of the underlying deliverable.
    Optional<unsigned short> referenceIdentifierOfTheUnderlyingDeliverable;

    /// Delivery restrictions.
    Optional<DeliveryRestrictions::Enum> deliveryRestrictions;

    //@}

    /// \name Repo deliverable (006)
    //@{

    /// Underlying instrument type.
    Optional<InstrumentType::Enum> underlyingInstrumentType;

    /// Starting Price.
    Optional<int> startingPrice;

    //@}

    /// \name Switches (007)
    //@{

    Optional<std::string> switchLongName;

    /// Leg definition for a Switch.
    struct SwitchLeg
    {
        /// Default constructor.
        SwitchLeg();

        /// Instrument type of Underlying / Delivery.
        InstrumentType::Enum instrumentTypeOfUnderlyingOrDelivery;

        /// Reference name.
        std::string referenceName;

        /// ISIN Code or Issuer Code.
        std::string isinCode;

        /// CFI Code.
        std::string cfiCode;

        /// FISN.
        std::string fisn;

        /// Issuer LEI.
        std::string issuerLEI;

        /// Facial Value.
        unsigned int facialValue;

        /// Maturity Price.
        unsigned int maturityPrice;

        /// Value Date.
        Date valueDate;

        /// Payment Start Date.
        Date paymentStartDate;

        /// Next Payment Date.
        Date nextPaymentDate;

        /// Maturity Date.
        Date maturityDate;

        /// Round Price Tick.
        unsigned short roundPriceTick;

        /// Round Yield / Rate Tick.
        unsigned short roundYield;

        /// Country.
        unsigned char country;

        /// Issuer.
        std::string issuer;

        /// Strippable.
        bool strippable;

        /// Benchmark.
        bool benchmark;

        /// Coupon Periodicity (in months).
        unsigned char couponPeriodicityInMonths;

        /// Returns string representation.
        std::string toString() const;
    };

    /// Alias for array of legs of a Switch.
    typedef std::vector<SwitchLeg> SwitchLegs;

    /// Legs of a Switch.
    Optional<SwitchLegs> switchLegs;

    //@}

    /// Returns string representation.
    std::string toString() const;
};

ONIXS_BME_SENAF_EXPORT std::ostream& operator<<(std::ostream&, const Reference&);

}}} // namespace OnixS::Senaf::MarketData