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  • #6747

    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?


    Roland Lichters

    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.


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