Reference manual - version ored_version
Serializable EQ Futures Option. More...
#include <ored/portfolio/equityfuturesoption.hpp>
Inheritance diagram for EquityFutureOption:Public Member Functions | |
| EquityFutureOption () | |
| Default constructor. | |
| EquityFutureOption (Envelope &env, OptionData option, const string ¤cy, Real quantity, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, TradeStrike strike, QuantLib::Date forwardDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="") | |
| Constructor. | |
| void | build (const QuantLib::ext::shared_ptr< 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 |
| Public Member Functions inherited from VanillaOptionTrade | |
| void | build (const QuantLib::ext::shared_ptr< EngineFactory > &) override |
| Build QuantLib/QuantExt instrument, link pricing engine. | |
| void | setNotionalAndCurrencies () |
| const OptionData & | option () const |
| const string & | asset () const |
| const string & | currency () const |
| TradeStrike | strike () const |
| double | quantity () const |
| const QuantLib::Date | forwardDate () const |
| const QuantLib::Date | paymentDate () 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 std::map< std::string, RequiredFixings::FixingDates > | fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const |
| const RequiredFixings & | requiredFixings () 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 (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) const override |
| std::map< AssetClass, std::set< std::string > > | underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override |
| Add underlying Equity names. | |
Additional Inherited Members | |
| Protected Member Functions inherited from VanillaOptionTrade | |
| VanillaOptionTrade (AssetClass assetClassUnderlying) | |
| VanillaOptionTrade (const Envelope &env, AssetClass assetClassUnderlying, OptionData option, string assetName, string currency, double quantity, TradeStrike strike, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="", QuantLib::Date forwardDate=QuantLib::Date()) | |
| 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 VanillaOptionTrade | |
| AssetClass | assetClassUnderlying_ |
| OptionData | option_ |
| string | assetName_ |
| string | currency_ |
| Currency | underlyingCurrency_ |
| double | quantity_ |
| TradeStrike | strike_ |
| QuantLib::ext::shared_ptr< QuantLib::Index > | index_ |
| An index is needed if the option is to be automatically exercised on expiry. | |
| std::string | indexName_ |
| Hold the external index name if needed e.g. in the case of an FX index. | |
| QuantLib::Date | expiryDate_ |
| Store the option expiry date. | |
| QuantLib::Date | forwardDate_ |
| Store the (optional) forward date. | |
| QuantLib::Date | paymentDate_ |
| Store the (optional) payment date. | |
| 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_ |
Serializable EQ Futures Option.
