rq_fpml_product_equityoption.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_equityoption.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_equityoption.h"
#include <stdlib.h>
#include <string.h>

/* -- structures --------------------------------------------------- */
struct rq_fpml_product_equityoption {
    const char *underlying_instrument_id;
    double strike_price;
    long number_of_options;
    double option_entitlement;
};

/* -- globals ------------------------------------------------------ */
const char *rq_fpml_product_equityoption_product_type = "equityOption";

/* -- code --------------------------------------------------------- */
static void 
rq_fpml_product_equityoption_free(void *product_data)
{
    struct rq_fpml_product_equityoption *p = 
        (struct rq_fpml_product_equityoption *)product_data;
    if (p->underlying_instrument_id)
        free((char *)p->underlying_instrument_id);
    free(p);
}

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

    rq_stream_write_string(output_stream, "<equityOption>");
    rq_stream_write_string(output_stream, "<productType>americanCallStock</productType>");
    rq_stream_write_string(output_stream, "<buyerParty>");
    rq_stream_write_string(output_stream, "<partyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "</buyerParty>");
    rq_stream_write_string(output_stream, "<sellerParty>");
    rq_stream_write_string(output_stream, "<partyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "</sellerParty>");
    rq_stream_write_string(output_stream, "<optionType>Call</optionType>");
    rq_stream_write_string(output_stream, "<underlying>");
    rq_stream_write_string(output_stream, "<description>STMicroelectronics N.V. ordinary shares</description>");
    rq_stream_write_string(output_stream, "<instrumentId instrumentIdScheme=\"\">STM FP</instrumentId>");
    rq_stream_write_string(output_stream, "<clearanceSystem>SICOVAM</clearanceSystem>");
    rq_stream_write_string(output_stream, "</underlying>");
    rq_stream_write_string(output_stream, "<strike>");
    rq_stream_write_string(output_stream, "<strikePrice>32</strikePrice>");
    rq_stream_write_string(output_stream, "</strike>");
    rq_stream_write_string(output_stream, "<numberOfOptions>150000</numberOfOptions>");
    rq_stream_write_string(output_stream, "<optionEntitlement>1.00</optionEntitlement>");
    rq_stream_write_string(output_stream, "<equityExercise>");
    rq_stream_write_string(output_stream, "<equityAmericanExercise>");
    rq_stream_write_string(output_stream, "<commencementDate>");
    rq_stream_write_string(output_stream, "<adjustableDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-07-13</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>NONE</businessDayConvention>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</adjustableDate>");
    rq_stream_write_string(output_stream, "</commencementDate>");
    rq_stream_write_string(output_stream, "<expirationDate>");
    rq_stream_write_string(output_stream, "<adjustableDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-09-27</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>NONE</businessDayConvention>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</adjustableDate>");
    rq_stream_write_string(output_stream, "</expirationDate>");
    rq_stream_write_string(output_stream, "<latestExerciseTime>");
    rq_stream_write_string(output_stream, "<hourMinuteTime>17:15</hourMinuteTime>");
    rq_stream_write_string(output_stream, "<businessCenter>GBLO</businessCenter>");
    rq_stream_write_string(output_stream, "</latestExerciseTime>");
    rq_stream_write_string(output_stream, "<latestExerciseTimeType>Other</latestExerciseTimeType>");
    rq_stream_write_string(output_stream, "<equityExpirationTimeType>Close</equityExpirationTimeType>");
    rq_stream_write_string(output_stream, "<!--(%FpML_EquityAmericanExercise)-->");
    rq_stream_write_string(output_stream, "<equityMultipleExercise>");
    rq_stream_write_string(output_stream, "<!--(%FpML_EquityMultipleExercise)-->");
    rq_stream_write_string(output_stream, "<integralMultipleExercise>1</integralMultipleExercise>");
    rq_stream_write_string(output_stream, "<minimumNumberOfOptions>1</minimumNumberOfOptions>");
    rq_stream_write_string(output_stream, "<maximumNumberOfOptions>150000</maximumNumberOfOptions>");
    rq_stream_write_string(output_stream, "</equityMultipleExercise>");
    rq_stream_write_string(output_stream, "</equityAmericanExercise>");
    rq_stream_write_string(output_stream, "<automaticExerciseApplicable>true</automaticExerciseApplicable>");
    rq_stream_write_string(output_stream, "<equityValuation>");
    rq_stream_write_string(output_stream, "<valuationTimeType>Close</valuationTimeType>");
    rq_stream_write_string(output_stream, "</equityValuation>");
    rq_stream_write_string(output_stream, "<settlementCurrency>EUR</settlementCurrency>");
    rq_stream_write_string(output_stream, "<settlementPriceSource>OfficialClose</settlementPriceSource>");
    rq_stream_write_string(output_stream, "<settlementType>Physical</settlementType>");
    rq_stream_write_string(output_stream, "<failureToDeliverApplicable>true</failureToDeliverApplicable>");
    rq_stream_write_string(output_stream, "</equityExercise>");
    rq_stream_write_string(output_stream, "<equityPremium>");
    rq_stream_write_string(output_stream, "<payerPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<receiverPartyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "<paymentAmount>");
    rq_stream_write_string(output_stream, "<currency>EUR</currency>");
    rq_stream_write_string(output_stream, "<amount>405000</amount>");
    rq_stream_write_string(output_stream, "</paymentAmount>");
    rq_stream_write_string(output_stream, "<paymentDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-07-17</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>NONE</businessDayConvention>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</paymentDate>");
    rq_stream_write_string(output_stream, "<pricePerOption>2.70</pricePerOption>");
    rq_stream_write_string(output_stream, "</equityPremium>");
    rq_stream_write_string(output_stream, "<methodOfAdjustment>CalculationAgent</methodOfAdjustment>");
    rq_stream_write_string(output_stream, "<extraordinaryEvents>");
    rq_stream_write_string(output_stream, "<mergerEvents>");
    rq_stream_write_string(output_stream, "<shareForShare>AlternativeObligation</shareForShare>");
    rq_stream_write_string(output_stream, "<shareForOther>CancellationAndPayment</shareForOther>");
    rq_stream_write_string(output_stream, "<shareForCombined>CancellationAndPayment</shareForCombined>");
    rq_stream_write_string(output_stream, "</mergerEvents>");
    rq_stream_write_string(output_stream, "<nationalisationOrInsolvency>CancellationAndPayment</nationalisationOrInsolvency>");
    rq_stream_write_string(output_stream, "</extraordinaryEvents>");
    rq_stream_write_string(output_stream, "</equityOption>");

    return status;
}

rq_fpml_product_t 
rq_fpml_product_equityoption_alloc()
{
    struct rq_fpml_product_equityoption *p = 
        (struct rq_fpml_product_equityoption *)calloc(1, sizeof(struct rq_fpml_product_equityoption));
    rq_fpml_product_t product = _rq_fpml_product_alloc(
        rq_fpml_product_equityoption_product_type,
        p,
        rq_fpml_product_equityoption_write_xml,
        rq_fpml_product_equityoption_free
        );
    return product;
}