Economic dependency required to price FX derivative products that contain optionality. FX Vol surface is a grid of implied volatilities for an array of strikes and tenors, derived from vanilla option prices in the market. More...
Public Member Functions | |
| FxVolDependency (string domesticCurrency=default(string), string foreignCurrency=default(string), string volType=default(string), DateTimeOffset date=default(DateTimeOffset), DependencyTypeEnum dependencyType=default(DependencyTypeEnum)) | |
| Initializes a new instance of the FxVolDependency class. More... | |
| override string | ToString () |
| Returns the string presentation of the object More... | |
| override string | ToJson () |
| Returns the JSON string presentation of the object More... | |
| override bool | Equals (object input) |
| Returns true if objects are equal More... | |
| bool | Equals (FxVolDependency input) |
| Returns true if FxVolDependency instances are equal More... | |
| override int | GetHashCode () |
| Gets the hash code More... | |
 Public Member Functions inherited from Lusid.Sdk.Model.EconomicDependency | |
| EconomicDependency (DependencyTypeEnum dependencyType=default(DependencyTypeEnum)) | |
| Initializes a new instance of the EconomicDependency class. More... | |
| override string | ToString () |
| Returns the string presentation of the object More... | |
| override bool | Equals (object input) |
| Returns true if objects are equal More... | |
| bool | Equals (EconomicDependency input) |
| Returns true if EconomicDependency instances are equal More... | |
| override int | GetHashCode () |
| Gets the hash code More... | |
Protected Member Functions | |
| FxVolDependency () | |
| Initializes a new instance of the FxVolDependency class. More... | |
| IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult > | BaseValidate (ValidationContext validationContext) |
| To validate all properties of the instance More... | |
| Protected Member Functions inherited from Lusid.Sdk.Model.EconomicDependency | |
| EconomicDependency () | |
| Initializes a new instance of the EconomicDependency class. More... | |
| IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult > | BaseValidate (ValidationContext validationContext) |
| To validate all properties of the instance More... | |
Properties | |
| string | DomesticCurrency [get, set] |
| DomesticCurrency is the first currency in a currency pair quote e.g. eur-gbp, eur is the domestic currency. More... | |
| string | ForeignCurrency [get, set] |
| ForeignCurrency is the second currency in a currency pair quote e.g. eur-gbp, gbp is the foreign currency. More... | |
| string | VolType [get, set] |
| Volatility type e.g. "LN" and "N" for log-normal and normal volatility. More... | |
| DateTimeOffset | Date [get, set] |
| The effectiveDate of the entity that this is a dependency for. Unless there is an obvious date this should be, like for a historic reset, then this is the valuation date. More... | |
| Properties inherited from Lusid.Sdk.Model.EconomicDependency | |
| DependencyTypeEnum | DependencyType [get, set] |
| The available values are: OpaqueDependency, CashDependency, DiscountingDependency, EquityCurveDependency, EquityVolDependency, FxDependency, FxForwardsDependency, FxVolDependency, IndexProjectionDependency, IrVolDependency, QuoteDependency, Vendor, CalendarDependency, InflationFixingDependency More... | |
Additional Inherited Members | |
| Public Types inherited from Lusid.Sdk.Model.EconomicDependency | |
| enum class | DependencyTypeEnum { OpaqueDependency = 1 , CashDependency = 2 , DiscountingDependency = 3 , EquityCurveDependency = 4 , EquityVolDependency = 5 , FxDependency = 6 , FxForwardsDependency = 7 , FxVolDependency = 8 , IndexProjectionDependency = 9 , IrVolDependency = 10 , QuoteDependency = 11 , Vendor = 12 , CalendarDependency = 13 , InflationFixingDependency = 14 } |
| The available values are: OpaqueDependency, CashDependency, DiscountingDependency, EquityCurveDependency, EquityVolDependency, FxDependency, FxForwardsDependency, FxVolDependency, IndexProjectionDependency, IrVolDependency, QuoteDependency, Vendor, CalendarDependency, InflationFixingDependency More... | |
Detailed Description
Economic dependency required to price FX derivative products that contain optionality. FX Vol surface is a grid of implied volatilities for an array of strikes and tenors, derived from vanilla option prices in the market.
Constructor & Destructor Documentation
◆ FxVolDependency() [1/2]
|
inlineprotected |
Initializes a new instance of the FxVolDependency class.
◆ FxVolDependency() [2/2]
|
inline |
Initializes a new instance of the FxVolDependency class.
- Parameters
-
domesticCurrency DomesticCurrency is the first currency in a currency pair quote e.g. eur-gbp, eur is the domestic currency. (required). foreignCurrency ForeignCurrency is the second currency in a currency pair quote e.g. eur-gbp, gbp is the foreign currency. (required). volType Volatility type e.g. "LN" and "N" for log-normal and normal volatility. (required). date The effectiveDate of the entity that this is a dependency for. Unless there is an obvious date this should be, like for a historic reset, then this is the valuation date. (required). dependencyType The available values are: OpaqueDependency, CashDependency, DiscountingDependency, EquityCurveDependency, EquityVolDependency, FxDependency, FxForwardsDependency, FxVolDependency, IndexProjectionDependency, IrVolDependency, QuoteDependency, Vendor, CalendarDependency, InflationFixingDependency (required) (default to "FxVolDependency").
Member Function Documentation
◆ BaseValidate()
|
inlineprotected |
To validate all properties of the instance
- Parameters
-
validationContext Validation context
- Returns
- Validation Result
◆ Equals() [1/2]
|
inline |
Returns true if FxVolDependency instances are equal
- Parameters
-
input Instance of FxVolDependency to be compared
- Returns
- Boolean
◆ Equals() [2/2]
|
inline |
Returns true if objects are equal
- Parameters
-
input Object to be compared
- Returns
- Boolean
◆ GetHashCode()
|
inline |
Gets the hash code
- Returns
- Hash code
◆ ToJson()
|
inlinevirtual |
Returns the JSON string presentation of the object
- Returns
- JSON string presentation of the object
Reimplemented from Lusid.Sdk.Model.EconomicDependency.
◆ ToString()
|
inline |
Returns the string presentation of the object
- Returns
- String presentation of the object
Property Documentation
◆ Date
|
getset |
The effectiveDate of the entity that this is a dependency for. Unless there is an obvious date this should be, like for a historic reset, then this is the valuation date.
The effectiveDate of the entity that this is a dependency for. Unless there is an obvious date this should be, like for a historic reset, then this is the valuation date.
◆ DomesticCurrency
|
getset |
DomesticCurrency is the first currency in a currency pair quote e.g. eur-gbp, eur is the domestic currency.
DomesticCurrency is the first currency in a currency pair quote e.g. eur-gbp, eur is the domestic currency.
◆ ForeignCurrency
|
getset |
ForeignCurrency is the second currency in a currency pair quote e.g. eur-gbp, gbp is the foreign currency.
ForeignCurrency is the second currency in a currency pair quote e.g. eur-gbp, gbp is the foreign currency.
◆ VolType
|
getset |
Volatility type e.g. "LN" and "N" for log-normal and normal volatility.
Volatility type e.g. "LN" and "N" for log-normal and normal volatility.
The documentation for this class was generated from the following file:
- /home/docs/checkouts/readthedocs.org/user_builds/lusid-sdk-csharp/checkouts/latest/sdk/Lusid.Sdk/Model/FxVolDependency.cs
