rq_fpml_fx_average_rate_option.h

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_fx_average_rate_option.h
**
** Written by Brett Hutley - [e-mail]
**
** Copyright (C) 2002 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
*/
#ifndef rq_fpml_fx_average_rate_option_h
#define rq_fpml_fx_average_rate_option_h

/* -- includes ----------------------------------------------------- */
#include "rq_config.h"
#include "fpml/rq_fpml_observed_rates.h"
#include "fpml/rq_fpml_fx_average_rate_observation_date.h"
#include "fpml/rq_fpml_fx_average_rate_observation_schedule.h"
#include "fpml/rq_fpml_business_center_time.h"
#include "fpml/rq_fpml_information_source.h"
#include "fpml/rq_fpml_fx_strike_price.h"
#include "fpml/rq_fpml_money.h"
#include "fpml/rq_fpml_fx_option_premium.h"
#include "fpml/rq_fpml_expiry_date_time.h"
#include "rq_stream.h"

/* -- structures --------------------------------------------------- */
/** either average_rate_observation_schedule or average_rate_observation_date */
struct rq_fpml_fx_average_rate_option {
	const char * product_type;
	const char * product_id;
	const char * buyer_party_id;
	const char * seller_party_id;
	struct rq_fpml_expiry_date_time expiry_date_time;
	enum rq_exercise_style exercise_style;
	struct rq_fpml_fx_option_premium fx_option_premium;
	rq_date value_date;
	struct rq_fpml_money put_currency_amount;
	struct rq_fpml_money call_currency_amount;
	struct rq_fpml_fx_strike_price fx_strike_price;
	const char * spot_rate;
	const char * payout_currency;
	const char * average_rate_quote_basis;
	unsigned int precision;
	const char * payout_formula;
	struct rq_fpml_information_source primary_rate_source;
	struct rq_fpml_information_source secondary_rate_source;
	struct rq_fpml_business_center_time fixing_time;
	struct rq_fpml_fx_average_rate_observation_schedule *average_rate_observation_schedule;
	struct rq_fpml_fx_average_rate_observation_date *average_rate_observation_date;
	struct rq_fpml_observed_rates observed_rates;
};

int rq_fpml_fx_average_rate_option_write_xml(struct rq_fpml_fx_average_rate_option *p, rq_stream_t output_stream);
void rq_fpml_fx_average_rate_option_init(struct rq_fpml_fx_average_rate_option *p);

void rq_fpml_fx_average_rate_option_clear(struct rq_fpml_fx_average_rate_option *p);


#endif