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Public Member Functions | List of all members
FxAsianOption Class Reference
+ Inheritance diagram for FxAsianOption:

Public Member Functions

 AsianOption (const string &tradeType)
 
 AsianOption (const Envelope &env, const string &tradeType, const double quantity, const TradeStrike &strike, const OptionData &option, const ScheduleData &observationDates, const boost::shared_ptr< Underlying > &underlying, const Date &settlementDate, const std::string &currency)
 
- Public Member Functions inherited from AsianOption
 AsianOption (const string &tradeType)
 
 AsianOption (const Envelope &env, const string &tradeType, const double quantity, const TradeStrike &strike, const OptionData &option, const ScheduleData &observationDates, const boost::shared_ptr< Underlying > &underlying, const Date &settlementDate, const std::string &currency)
 
void build (const boost::shared_ptr< EngineFactory > &) override
 Build QuantLib/QuantExt instrument, link pricing engine.
 
QuantLib::Real notional () const override
 Trade interface.
 
string notionalCurrency () const override
 
virtual void fromXML (XMLNode *node) override
 
virtual XMLNodetoXML (XMLDocument &doc) override
 
const string & asset () const
 
const TradeStrikestrike () const
 
double quantity () const
 
const OptionDataoption () const
 
const ScheduleDataobservationDates () const
 
const Date & settlementDate () const
 
const string & payCurrency () const
 
const string & indexName () const
 
const boost::shared_ptr< Underlying > & underlying () const
 
std::map< AssetClass, std::set< std::string > > underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
 
- 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, std::set< QuantLib::Date > > fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
 
const RequiredFixingsrequiredFixings () 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.
 
Envelopeenvelope ()
 Set the envelope with counterparty and portfolio info.
 
TradeActionstradeActions ()
 Set the trade actions.
 
const string & id () const
 
const string & tradeType () const
 
const Envelopeenvelope () const
 
const set< string > & portfolioIds () const
 
const TradeActionstradeActions () 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
 
const Date & maturity () const
 
const string & issuer () const
 
template<typename 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.
 

Additional Inherited Members

- Protected Member Functions inherited from AsianOption
void populateIndexName () const
 
- 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 AsianOption
double quantity_ = 0.0
 
TradeStrike tradeStrike_
 
OptionData option_
 
ScheduleData observationDates_
 
boost::shared_ptr< Underlyingunderlying_
 
Date settlementDate_
 
string currency_
 
string assetName_
 
boost::shared_ptr< TradedelegatingBuilderTrade_
 
string indexName_
 
- Protected Attributes inherited from Trade
string tradeType_
 
boost::shared_ptr< InstrumentWrapperinstrument_
 
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_