rq_fpml_product_fxbarrieroption.c

风险财务控制库 Risk Quantify is an open source financial library, with a focus on managing the risk of fi

/*
** rq_fpml_product_fxbarrieroption.c
**
** Written by Brett Hutley - [e-mail]
**
** Copyright (C) 2001 Brett Hutley
**
** This file is part of the Risk Quantify Library
**
** Risk Quantify is free software; you can redistribute it and/or
** modify it under the terms of the GNU Library General Public
** License as published by the Free Software Foundation; either
** version 2 of the License, or (at your option) any later version.
**
** Risk Quantify is distributed in the hope that it will be useful,
** but WITHOUT ANY WARRANTY; without even the implied warranty of
** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
** Library General Public License for more details.
**
** You should have received a copy of the GNU Library General Public
** License along with Risk Quantify; if not, write to the Free
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
*/
#include "fpml/rq_fpml_product_fxbarrieroption.h"
#include <stdlib.h>
#include <string.h>

/* -- structures --------------------------------------------------- */
struct rq_fpml_product_fxbarrieroption {
};

/* -- globals ------------------------------------------------------ */
const char *rq_fpml_product_fxbarrieroption_product_type = "fxbarrieroption";

/* -- code --------------------------------------------------------- */
static void 
rq_fpml_product_fxbarrieroption_free(void *product_data)
{
    struct rq_fpml_product_fxbarrieroption *p = 
        (struct rq_fpml_product_fxbarrieroption *)product_data;
    free(p);
}

int
rq_fpml_product_fxbarrieroption_write_xml(void *product_data, rq_stream_t output_stream)
{
    struct rq_fpml_product_fxbarrieroption *p = 
        (struct rq_fpml_product_fxbarrieroption *)product_data;
    int status = 0;

    rq_stream_write_string(output_stream, "<fxBarrierOption>");        
    rq_stream_write_string(output_stream, "<buyerPartyReference href = \"#DB\"/>");
    rq_stream_write_string(output_stream, "<sellerPartyReference href = \"#CHASE\"/>"); 
    rq_stream_write_string(output_stream, "<expiryDateTime>"); 
    rq_stream_write_string(output_stream, "<expiryDate>2002-02-06</expiryDate>"); 
    rq_stream_write_string(output_stream, "<hourMinuteTime>10:00</hourMinuteTime>"); 
    rq_stream_write_string(output_stream, "<businessCenter>USNY</businessCenter>");
    rq_stream_write_string(output_stream, "</expiryDateTime>"); 
    rq_stream_write_string(output_stream, "<exerciseStyle>EUROPEAN</exerciseStyle>"); 
    rq_stream_write_string(output_stream, "<fxOptionPremium>");  
    rq_stream_write_string(output_stream, "<payerPartyReference href = \"#DB\"/>");  
    rq_stream_write_string(output_stream, "<receiverPartyReference href = \"#CHASE\"/>"); 
    rq_stream_write_string(output_stream, "<premiumAmount type = \"Money\">"); 
    rq_stream_write_string(output_stream, "<currency>USD</currency>"); 
    rq_stream_write_string(output_stream, "<amount>45000</amount>"); 
    rq_stream_write_string(output_stream, "</premiumAmount>");  
    rq_stream_write_string(output_stream, "<premiumSettlementDate>2001-11-06</premiumSettlementDate>");     
    rq_stream_write_string(output_stream, "</fxOptionPremium>"); 
    rq_stream_write_string(output_stream, "<valueDate>2002-02-08</valueDate>");
    rq_stream_write_string(output_stream, "<putCurrencyAmount>"); 
    rq_stream_write_string(output_stream, "<currency>USD</currency>"); 
    rq_stream_write_string(output_stream, "<amount>4500000</amount>"); 
    rq_stream_write_string(output_stream, "</putCurrencyAmount>"); 
    rq_stream_write_string(output_stream, "<callCurrencyAmount>"); 
    rq_stream_write_string(output_stream, "<currency>EUR</currency>"); 
    rq_stream_write_string(output_stream, "<amount>5000000</amount>"); 
    rq_stream_write_string(output_stream, "</callCurrencyAmount>");
    rq_stream_write_string(output_stream, "<fxStrikePrice>");  
    rq_stream_write_string(output_stream, "<rate>0.9</rate>");  
    rq_stream_write_string(output_stream, "<strikeQuoteBasis>PUTCURRENCYPERCALLCURRENCY</strikeQuoteBasis>");
    rq_stream_write_string(output_stream, "</fxStrikePrice>"); 
    rq_stream_write_string(output_stream, "<spotRate>0.8935</spotRate>"); 
    rq_stream_write_string(output_stream, "<fxBarrier>");
    rq_stream_write_string(output_stream, "<fxBarrierType>KNOCKIN</fxBarrierType>");
    rq_stream_write_string(output_stream, "<quotedCurrencyPair>");
    rq_stream_write_string(output_stream, "<currency1>EUR</currency1>");
    rq_stream_write_string(output_stream, "<currency2>USD</currency2>");
    rq_stream_write_string(output_stream, "<quoteBasis>CURRENCY2PERCURRENCY1</quoteBasis>");
    rq_stream_write_string(output_stream, "</quotedCurrencyPair>");        
    rq_stream_write_string(output_stream, "<triggerRate>0.8975</triggerRate>");  
    rq_stream_write_string(output_stream, "<informationSource>");    
    rq_stream_write_string(output_stream, "<rateSource>Reuters</rateSource>");
    rq_stream_write_string(output_stream, "<rateSourcePage>EUR=</rateSourcePage>");  
    rq_stream_write_string(output_stream, "</informationSource>");  
    rq_stream_write_string(output_stream, "</fxBarrier>"); 
    rq_stream_write_string(output_stream, "</fxBarrierOption>"); 

    return status;
}

rq_fpml_product_t 
rq_fpml_product_fxbarrieroption_alloc()
{
    struct rq_fpml_product_fxbarrieroption *p = 
        (struct rq_fpml_product_fxbarrieroption *)calloc(1, sizeof(struct rq_fpml_product_fxbarrieroption));
    rq_fpml_product_t product = _rq_fpml_product_alloc(
        rq_fpml_product_fxbarrieroption_product_type,
        p,
        rq_fpml_product_fxbarrieroption_write_xml,
        rq_fpml_product_fxbarrieroption_free
        );
    return product;
}