Series of call and put options with different strike sharing the same attributes of expiration, last trading day, spc, multiplies, etc. More...

#include <OptionSeries.hpp>

Public Member Functions
	OptionSeries ()=default
	Default constructor for the OptionSeries class.

std::int32_t	getExpiration () const
	Returns day id of expiration.

std::int32_t	getLastTrade () const
	Returns day id of last trading day.

double	getMultiplier () const
	Returns market value multiplier.

double	getSPC () const
	Returns shares per contract for options.

const std::string &	getAdditionalUnderlyings () const
	Returns additional underlyings for options, including additional cash.

const std::string &	getMMY () const
	Returns maturity month-year as provided for corresponding FIX tag (200).

const std::string &	getOptionType () const
	Returns type of option.

const std::string &	getExpirationStyle () const
	Returns expiration cycle style, such as "Weeklys", "Quarterlys".

const std::string &	getSettlementStyle () const
	Returns settlement price determination style, such as "Open", "Close".

const std::string &	getCFI () const
	Returns Classification of Financial Instruments code.

const std::map< double, std::shared_ptr< T > > &	getCalls () const
	Returns a sorted map of all calls from strike to a corresponding option instrument.

const std::map< double, std::shared_ptr< T > > &	getPuts () const
	Returns a sorted map of all puts from strike to a corresponding option instrument.

const std::vector< double > &	getStrikes () const
	Returns a list of all strikes in ascending order.

std::vector< double >	getNStrikesAround (std::size_t n, double strike) const
	Returns n strikes which are centered around a specified strike value.

std::string	toString () const
	Returns a string representation of the current object.

Friends
class	OptionChainsBuilder< T >

Detailed Description

template<typename T>
class OptionSeries< T >

Series of call and put options with different strike sharing the same attributes of expiration, last trading day, spc, multiplies, etc.

Threads and locks

This class is NOT thread-safe and cannot be used from multiple threads without external synchronization.

Template Parameters

T	The type of option instrument instances.

Constructor & Destructor Documentation

◆ OptionSeries()

template<typename T>

OptionSeries< T >::OptionSeries ( )

default

Default constructor for the OptionSeries class.

Returns: A default-initialized instance of OptionSeries.

Member Function Documentation

◆ getAdditionalUnderlyings()

template<typename T>

const std::string & OptionSeries< T >::getAdditionalUnderlyings ( ) const

inline

Returns additional underlyings for options, including additional cash.

It shall use following format:

<VALUE> ::= <empty> | <LIST>
<LIST> ::= <AU> | <AU> <semicolon> <space> <LIST>
<AU> ::= <UNDERLYING> <space> <SPC>

The list shall be sorted by <UNDERLYING>. Example: "SE 50", "FIS 53; US$ 45.46".

Returns: The additional underlyings for options, including additional cash.

◆ getCalls()

template<typename T>

const std::map< double, std::shared_ptr< T > > & OptionSeries< T >::getCalls ( ) const

inline

Returns a sorted map of all calls from strike to a corresponding option instrument.

Returns: A sorted map of all calls from strike to a corresponding option instrument.

◆ getCFI()

template<typename T>

const std::string & OptionSeries< T >::getCFI ( ) const

inline

Returns Classification of Financial Instruments code.

It is a mandatory field for OPTION instruments as it is the only way to distinguish Call/Put type, American/European exercise, Cash/Physical delivery. It shall use six-letter CFI code from ISO 10962 standard. It is allowed to use 'X' extensively and to omit trailing letters (assumed to be 'X'). See ISO 10962 on Wikipedia. Example: "ESNTPB", "ESXXXX", "ES" , "OPASPS".

Returns: The CFI code.

◆ getExpiration()

template<typename T>

std::int32_t OptionSeries< T >::getExpiration ( ) const

inline

Returns day id of expiration.

Example: day_util::#getDayIdByYearMonthDay() "dxfcpp::day_util::getDayIdByYearMonthDay"(20090117).

Returns: day id of expiration.

◆ getExpirationStyle()

template<typename T>

const std::string & OptionSeries< T >::getExpirationStyle ( ) const

inline

Returns expiration cycle style, such as "Weeklys", "Quarterlys".

Returns: The expiration cycle style.

◆ getLastTrade()

template<typename T>

std::int32_t OptionSeries< T >::getLastTrade ( ) const

inline

Returns day id of last trading day.

Example: day_util::#getDayIdByYearMonthDay() "dxfcpp::day_util::getDayIdByYearMonthDay"(20090116).

Returns: The day id of last trading day.

◆ getMMY()

template<typename T>

const std::string & OptionSeries< T >::getMMY ( ) const

inline

Returns maturity month-year as provided for corresponding FIX tag (200).

It can use several different formats depending on data source:

YYYYMM – if only year and month are specified
YYYYMMDD – if full date is specified
YYYYMMwN – if week number (within a month) is specified

Returns: The maturity month-year as provided for corresponding FIX tag (200).

◆ getMultiplier()

template<typename T>

double OptionSeries< T >::getMultiplier ( ) const

inline

Returns market value multiplier.

Example: 100, 33.2.

Returns: The market value multiplier.

◆ getNStrikesAround()

template<typename T>

std::vector< double > OptionSeries< T >::getNStrikesAround	(	std::size_t	n,
		double	strike ) const

inline

Returns n strikes which are centered around a specified strike value.

Parameters

n	The maximal number of strikes to return.
strike	The center strike.

Returns: n strikes which are centered around a specified strike value.

◆ getOptionType()

template<typename T>

const std::string & OptionSeries< T >::getOptionType ( ) const

inline

Returns type of option.

It shall use one of following values:

STAN = Standard Options
LEAP = Long-term Equity AnticiPation Securities
SDO = Special Dated Options
BINY = Binary Options
FLEX = FLexible EXchange Options
VSO = Variable Start Options
RNGE = Range

Returns: The type of option.

◆ getPuts()

template<typename T>

const std::map< double, std::shared_ptr< T > > & OptionSeries< T >::getPuts ( ) const

inline

Returns a sorted map of all puts from strike to a corresponding option instrument.

Returns: A sorted map of all puts from strike to a corresponding option instrument.

◆ getSettlementStyle()

template<typename T>

const std::string & OptionSeries< T >::getSettlementStyle ( ) const

inline

Returns settlement price determination style, such as "Open", "Close".

Returns: The settlement price determination style.

◆ getSPC()

template<typename T>

double OptionSeries< T >::getSPC ( ) const

inline

Returns shares per contract for options.

Example: 1, 100.

Returns: The shares per contract for options.

◆ getStrikes()

template<typename T>

const std::vector< double > & OptionSeries< T >::getStrikes ( ) const

inline

Returns a list of all strikes in ascending order.

Returns: A list of all strikes in ascending order.

◆ toString()

template<typename T>

std::string OptionSeries< T >::toString ( ) const

inline

Returns a string representation of the current object.

Returns: A string representation.

Public Member Functions

Friends

Detailed Description

Threads and locks

Constructor & Destructor Documentation

◆ OptionSeries()

Member Function Documentation

◆ getAdditionalUnderlyings()

◆ getCalls()

◆ getCFI()

◆ getExpiration()

◆ getExpirationStyle()

◆ getLastTrade()

◆ getMMY()

◆ getMultiplier()

◆ getNStrikesAround()

◆ getOptionType()

◆ getPuts()

◆ getSettlementStyle()

◆ getSPC()

◆ getStrikes()

◆ toString()