Serializable Equity Cliquet Option. More...
#include <ored/portfolio/cliquetoption.hpp>
Public Member Functions | |
CliquetOption (const std::string &tradeType) | |
Default constructor. | |
CliquetOption (const std::string &tradeType, ore::data::Envelope &env, const boost::shared_ptr< ore::data::Underlying > &underlying, std::string currency, QuantLib::Real notional, std::string longShort, std::string callPut, ore::data::ScheduleData scheduleData, QuantLib::Real moneyness=1.0, QuantLib::Real localCap=QuantLib::Null< QuantLib::Real >(), QuantLib::Real localFloor=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalCap=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalFloor=QuantLib::Null< QuantLib::Real >(), QuantLib::Size settlementDays=0, QuantLib::Real premium=0.0, std::string premiumCcy="", std::string premiumPayDate="") | |
Constructor. | |
void | build (const boost::shared_ptr< ore::data::EngineFactory > &) override |
Build QuantLib/QuantExt instrument, link pricing engine. | |
Inspectors | |
const std::string & | name () const |
const boost::shared_ptr< ore::data::Underlying > & | underlying () const |
const std::string & | currency () const |
const std::string & | longShort () const |
const std::string & | callPut () const |
const ore::data::ScheduleData & | scheduleData () const |
const QuantLib::Real & | moneyness () const |
const QuantLib::Real & | localCap () const |
const QuantLib::Real & | localFloor () const |
const QuantLib::Real & | globalCap () const |
const QuantLib::Real & | globalFloor () const |
QuantLib::Size | settlementDays () const |
QuantLib::Real | premium () const |
const std::string & | premiumCcy () const |
const std::string & | premiumPayDate () const |
Public Member Functions inherited from Trade | |
Trade () | |
Default constructor. | |
Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions()) | |
Base class constructor. | |
virtual | ~Trade () |
Default destructor. | |
virtual void | build (const boost::shared_ptr< EngineFactory > &)=0 |
virtual std::map< std::string, std::set< QuantLib::Date > > | fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const |
const RequiredFixings & | requiredFixings () const |
virtual std::map< AssetClass, std::set< std::string > > | underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const |
void | reset () |
Reset trade, clear all base class data. This does not reset accumulated timings for this trade. | |
void | resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0) |
Reset accumulated timings to given values. | |
string & | id () |
Set the trade id. | |
Envelope & | envelope () |
Set the envelope with counterparty and portfolio info. | |
TradeActions & | tradeActions () |
Set the trade actions. | |
const string & | id () const |
const string & | tradeType () const |
const Envelope & | envelope () const |
const set< string > & | portfolioIds () const |
const TradeActions & | tradeActions () const |
const boost::shared_ptr< InstrumentWrapper > & | instrument () const |
const std::vector< QuantLib::Leg > & | legs () const |
const std::vector< string > & | legCurrencies () const |
const std::vector< bool > & | legPayers () const |
const string & | npvCurrency () const |
virtual QuantLib::Real | notional () const |
Return the current notional in npvCurrency. See individual sub-classes for the precise definition. | |
virtual string | notionalCurrency () const |
const Date & | maturity () const |
const string & | issuer () const |
template<typename T > | |
T | additionalDatum (const std::string &tag) const |
returns any additional datum. | |
virtual const std::map< std::string, boost::any > & | additionalData () const |
returns all additional data returned by the trade once built | |
void | validate () const |
Utility to validate that everything that needs to be set in this base class is actually set. | |
virtual bool | hasCashflows () const |
boost::timer::nanosecond_type | getCumulativePricingTime () const |
Get cumulative timing spent on pricing. | |
std::size_t | getNumberOfPricings () const |
Get number of pricings. | |
Public Member Functions inherited from XMLSerializable | |
void | fromFile (const std::string &filename) |
void | toFile (const std::string &filename) |
void | fromXMLString (const std::string &xml) |
Parse from XML string. | |
std::string | toXMLString () |
Parse from XML string. | |
Serialisation | |
virtual void | fromXML (ore::data::XMLNode *node) override |
virtual ore::data::XMLNode * | toXML (ore::data::XMLDocument &doc) override |
Additional Inherited Members | |
Protected Member Functions inherited from Trade | |
Date | addPremiums (std::vector< boost::shared_ptr< Instrument >> &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const boost::shared_ptr< EngineFactory > &factory, const string &configuration) |
void | setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const |
Protected Attributes inherited from Trade | |
string | tradeType_ |
boost::shared_ptr< InstrumentWrapper > | instrument_ |
std::vector< QuantLib::Leg > | legs_ |
std::vector< string > | legCurrencies_ |
std::vector< bool > | legPayers_ |
string | npvCurrency_ |
QuantLib::Real | notional_ |
string | notionalCurrency_ |
Date | maturity_ |
string | issuer_ |
std::size_t | savedNumberOfPricings_ = 0 |
boost::timer::nanosecond_type | savedCumulativePricingTime_ = 0 |
RequiredFixings | requiredFixings_ |
std::map< std::string, boost::any > | additionalData_ |
Serializable Equity Cliquet Option.