commodity_instrument Struct Reference

Commodity instrument economics for all commodity ORE product types. More...

#include <commodity_instrument.hpp>

Collaboration diagram for commodity_instrument:

Public Attributes
int	version = 0
	Version number for optimistic locking and change tracking.
utility::uuid::tenant_id	tenant_id = utility::uuid::tenant_id::system()
	Tenant identifier for multi-tenancy isolation.
boost::uuids::uuid	id
	UUID uniquely identifying this commodity instrument.
std::string	trade_type_code
	ORE product type code (CommodityForward, CommodityOption, etc.).
std::string	commodity_code
	Commodity identifier code (e.g. NGAS, WTI, GOLD).
std::string	currency
	ISO 4217 currency code.
double	quantity = 0.0
	Contract quantity. Must be positive.
std::string	unit
	Unit of measure for the commodity (e.g. BBL, MMBTU, MT).
std::string	start_date
	Start date for swaps, forwards, and strips.
std::string	maturity_date
	Maturity/expiry date.
std::optional< double >	fixed_price
	Fixed price for forwards and fixed-leg swaps. Nullopt if not applicable.
std::string	option_type
	Option type: 'Call' or 'Put'. Empty for non-option products.
std::optional< double >	strike_price
	Option strike price. Nullopt for non-option products.
std::string	exercise_type
	Exercise type: 'European' or 'American'.
std::string	average_type
	Averaging type for Asian options: 'Arithmetic' or 'Geometric'.
std::string	averaging_start_date
	Start of the averaging window for Asian options.
std::string	averaging_end_date
	End of the averaging window for Asian options.
std::string	spread_commodity_code
	Second commodity code for spread options.
std::optional< double >	spread_amount
	Spread amount for spread options. Nullopt when not applicable.
std::string	strip_frequency_code
	Strip frequency code for option strips (e.g. Monthly, Quarterly).
std::optional< double >	variance_strike
	Strike variance for variance swap products. Nullopt when not applicable.
std::optional< double >	accumulation_amount
	Per-fixing accumulation amount for accumulator products.
std::optional< double >	knock_out_barrier
	Knock-out barrier level for accumulator products.
std::string	barrier_type
	Barrier type: e.g. 'UpIn', 'UpOut', 'DownIn', 'DownOut'.
std::optional< double >	lower_barrier
	Lower barrier level. Nullopt when not applicable.
std::optional< double >	upper_barrier
	Upper barrier level. Nullopt when not applicable.
std::string	basket_json
	JSON array of {code, weight} constituents for basket products.
std::string	day_count_code
	Day count fraction code for swap products.
std::string	payment_frequency_code
	Payment frequency code for swap products.
std::string	swaption_expiry_date
	Swaption expiry date for CommoditySwaption products.
std::string	description
	Optional free-text description.
std::string	modified_by
	Username of the person who last modified this record.
std::string	performed_by
	Username of the account that performed this action.
std::string	change_reason_code
	Code identifying the reason for the change.
std::string	change_commentary
	Free-text commentary explaining the change.
std::chrono::system_clock::time_point	recorded_at
	Timestamp when this version of the record was recorded.

Detailed Description

Commodity instrument economics for all commodity ORE product types.

Discriminated by trade_type_code. Optional fields are empty/zero when not applicable to the specific sub-type: option_type/strike_price/exercise_type: CommodityOption* products barrier_type/lower_barrier/upper_barrier: barrier option products average_type/averaging_start_date/averaging_end_date: Asian/average-price spread_commodity_code/spread_amount: CommoditySpreadOption strip_frequency_code: CommodityOptionStrip variance_strike: CommodityVarianceSwap and variants accumulation_amount/knock_out_barrier: CommodityAccumulator, CommodityTaRF basket_json: CommodityBasketOption, CommodityRainbowOption, CommodityWorstOfBasketSwap day_count_code/payment_frequency_code: CommoditySwap swaption_expiry_date: CommoditySwaption