fx_variance_swap_instrument Struct Reference

FX Variance Swap instrument. More...

#include <fx_variance_swap_instrument.hpp>

Collaboration diagram for fx_variance_swap_instrument:

Public Attributes
int	version = 0
utility::uuid::tenant_id	tenant_id = utility::uuid::tenant_id::system()
boost::uuids::uuid	instrument_id
	UUID uniquely identifying this FX variance swap instrument.
boost::uuids::uuid	party_id
std::optional< boost::uuids::uuid >	trade_id
std::string	trade_type_code
	ORE product type code: FxVarianceSwap.
std::string	start_date
	Variance observation start date (ISO 8601 date string).
std::string	end_date
	Variance observation end date (ISO 8601 date string).
std::string	currency
	Settlement currency.
std::string	underlying_code
	FX pair or index identifier (e.g. TR20H-EUR-USD).
std::string	long_short
	Position direction: Long or Short.
double	strike = 0.0
	Fixed variance or volatility strike. Must be positive.
double	notional = 0.0
	Notional amount for PnL scaling. Must be positive.
std::string	moment_type
	Whether the product is a Variance or Volatility swap.
std::string	description
std::string	modified_by
std::string	performed_by
std::string	change_reason_code
std::string	change_commentary
std::chrono::system_clock::time_point	recorded_at

Detailed Description

FX Variance Swap instrument.

Routes ORE product type: FxVarianceSwap. moment_type distinguishes Variance swaps from Volatility swaps.

Member Data Documentation

end_date

std::string end_date

Variance observation end date (ISO 8601 date string).

Must be after start_date.