Loading...
Home / Compound Instrument Type

Home Forums Development Compound Instrument Type

Viewing 2 posts - 1 through 2 (of 2 total)
  • Author
    Posts
  • #6747
    rkapl
    Participant

    Dear All!

    I would like to add a compound instrument type to collect lots of simple FX-Options into one instrument (PV, flows, etc.)
    My idea to realize this would be to utilize the already existing additionalInstruments_ property in the InstrumentWrapper class, however adding a separate method “addComponentTrade” instead of the addPayment method.
    The flows should at least provide the exchanged flows at the exercise date, for this I understand that a legs property is needed.
    Ideally this new instrument type should be able to handle a variety of (simple) instruments, which at least for the PV calculation seems possible to me.

    What do you think of this?

    -regards,
    Roland

    #6773
    Roland Lichters
    Keymaster

    Hi Roland,

    that’s very useful, we have come up with a compound trade type for similar reasons. Let us chat offline how to take this forward and what version to add to ORE in the next release.

    Regards,
    Roland

Viewing 2 posts - 1 through 2 (of 2 total)
  • You must be logged in to reply to this topic.