CliquetOption Class Reference

Serializable Equity Cliquet Option. More...

#include <ored/portfolio/cliquetoption.hpp>

Inheritance diagram for CliquetOption:

Public Member Functions
	CliquetOption (const std::string &tradeType)
	Default constructor.
	CliquetOption (const std::string &tradeType, ore::data::Envelope &env, const QuantLib::ext::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 QuantLib::ext::shared_ptr< ore::data::EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine.
Inspectors
const std::string &	name () const
const QuantLib::ext::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 QuantLib::ext::shared_ptr< EngineFactory > &)=0
virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
const RequiredFixings &	requiredFixings () const
virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::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.
void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info.
void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)
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 QuantLib::ext::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
virtual bool	isExpired (const Date &d)
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
const std::string &	sensitivityTemplate () const
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) const
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString () const
	Parse from XML string.

Serialisation
virtual void	fromXML (ore::data::XMLNode *node) override
virtual ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument >> &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)
void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const
void	setSensitivityTemplate (const EngineBuilder &builder)
void	setSensitivityTemplate (const std::string &id)
Protected Attributes inherited from Trade
string	tradeType_
QuantLib::ext::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_
string	sensitivityTemplate_
bool	sensitivityTemplateSet_ = false
std::size_t	savedNumberOfPricings_ = 0
boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0
RequiredFixings	requiredFixings_
std::map< std::string, boost::any >	additionalData_

Detailed Description

Serializable Equity Cliquet Option.