Package cdm.product.asset

Interface VarianceReturnTerms.VarianceReturnTermsBuilder

All Superinterfaces:

ReturnTermsBase, ReturnTermsBase.ReturnTermsBaseBuilder, com.rosetta.model.lib.RosettaModelObject, com.rosetta.model.lib.RosettaModelObjectBuilder, VarianceReturnTerms

All Known Implementing Classes:

VarianceReturnTerms.VarianceReturnTermsBuilderImpl

Enclosing interface:

VarianceReturnTerms

public static interface VarianceReturnTerms.VarianceReturnTermsBuilder
extends VarianceReturnTerms, ReturnTermsBase.ReturnTermsBaseBuilder

Builder Interface

Nested Class Summary

Nested classes/interfaces inherited from interface cdm.product.asset.ReturnTermsBase

ReturnTermsBase.ReturnTermsBaseBuilder, ReturnTermsBase.ReturnTermsBaseBuilderImpl, ReturnTermsBase.ReturnTermsBaseImpl

Nested classes/interfaces inherited from interface cdm.product.asset.VarianceReturnTerms

VarianceReturnTerms.VarianceReturnTermsBuilder, VarianceReturnTerms.VarianceReturnTermsBuilderImpl, VarianceReturnTerms.VarianceReturnTermsImpl

Field Summary

Fields inherited from interface cdm.product.asset.ReturnTermsBase

metaData

Fields inherited from interface cdm.product.asset.VarianceReturnTerms

metaData

Method Summary

Modifier and Type	Method	Description
Observable.ObservableBuilder	getExchangeTradedContractNearest()	Specification of the exchange traded contract nearest.
Observable.ObservableBuilder	getOrCreateExchangeTradedContractNearest()
VarianceCapFloor.VarianceCapFloorBuilder	getOrCreateVarianceCapFloor()
Price.PriceBuilder	getOrCreateVarianceStrikePrice()
NonNegativeQuantitySchedule.NonNegativeQuantityScheduleBuilder	getOrCreateVegaNotionalAmount()
VolatilityCapFloor.VolatilityCapFloorBuilder	getOrCreateVolatilityCapFloor()
Price.PriceBuilder	getOrCreateVolatilityStrikePrice()
VarianceCapFloor.VarianceCapFloorBuilder	getVarianceCapFloor()	Contains possible barriers for variance products, both variance-based and underlier price based
Price.PriceBuilder	getVarianceStrikePrice()	Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.
NonNegativeQuantitySchedule.NonNegativeQuantityScheduleBuilder	getVegaNotionalAmount()	Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol).
VolatilityCapFloor.VolatilityCapFloorBuilder	getVolatilityCapFloor()	Contains containing volatility-based barriers
Price.PriceBuilder	getVolatilityStrikePrice()	Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.
default void	process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.BuilderProcessor processor)
VarianceReturnTerms.VarianceReturnTermsBuilder	prune()
VarianceReturnTerms.VarianceReturnTermsBuilder	setAnnualizationFactor(Integer annualizationFactor)
VarianceReturnTerms.VarianceReturnTermsBuilder	setDividendApplicability(DividendApplicability dividendApplicability)
VarianceReturnTerms.VarianceReturnTermsBuilder	setEquityUnderlierProvisions(EquityUnderlierProvisions equityUnderlierProvisions)
VarianceReturnTerms.VarianceReturnTermsBuilder	setExchangeTradedContractNearest(Observable exchangeTradedContractNearest)
VarianceReturnTerms.VarianceReturnTermsBuilder	setExpectedN(Integer expectedN)
VarianceReturnTerms.VarianceReturnTermsBuilder	setInitialLevel(BigDecimal initialLevel)
VarianceReturnTerms.VarianceReturnTermsBuilder	setInitialLevelSource(DeterminationMethodEnum initialLevelSource)
VarianceReturnTerms.VarianceReturnTermsBuilder	setMeanAdjustment(Boolean meanAdjustment)
VarianceReturnTerms.VarianceReturnTermsBuilder	setPerformance(String performance)
VarianceReturnTerms.VarianceReturnTermsBuilder	setSharePriceDividendAdjustment(Boolean sharePriceDividendAdjustment)
VarianceReturnTerms.VarianceReturnTermsBuilder	setValuationTerms(ValuationTerms valuationTerms)
VarianceReturnTerms.VarianceReturnTermsBuilder	setVarianceCapFloor(VarianceCapFloor varianceCapFloor)
VarianceReturnTerms.VarianceReturnTermsBuilder	setVarianceStrikePrice(Price varianceStrikePrice)
VarianceReturnTerms.VarianceReturnTermsBuilder	setVegaNotionalAmount(NonNegativeQuantitySchedule vegaNotionalAmount)
VarianceReturnTerms.VarianceReturnTermsBuilder	setVolatilityCapFloor(VolatilityCapFloor volatilityCapFloor)
VarianceReturnTerms.VarianceReturnTermsBuilder	setVolatilityStrikePrice(Price volatilityStrikePrice)

Methods inherited from interface cdm.product.asset.ReturnTermsBase

getAnnualizationFactor, getExpectedN, getInitialLevel, getInitialLevelSource, getMeanAdjustment, getPerformance, getSharePriceDividendAdjustment

Methods inherited from interface cdm.product.asset.ReturnTermsBase.ReturnTermsBaseBuilder

getDividendApplicability, getEquityUnderlierProvisions, getOrCreateDividendApplicability, getOrCreateEquityUnderlierProvisions, getOrCreateValuationTerms, getValuationTerms

Methods inherited from interface com.rosetta.model.lib.RosettaModelObject

processRosetta, processRosetta

Methods inherited from interface com.rosetta.model.lib.RosettaModelObjectBuilder

getIndex, hasData, merge, processRosetta, processRosetta

Methods inherited from interface cdm.product.asset.VarianceReturnTerms

build, getType, metaData, process, toBuilder

Method Details

getOrCreateVarianceStrikePrice

Price.PriceBuilder getOrCreateVarianceStrikePrice()

getVarianceStrikePrice

Price.PriceBuilder getVarianceStrikePrice()

Description copied from interface: VarianceReturnTerms

Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.

Specified by:

getVarianceStrikePrice in interface VarianceReturnTerms

getOrCreateVolatilityStrikePrice

Price.PriceBuilder getOrCreateVolatilityStrikePrice()

getVolatilityStrikePrice

Price.PriceBuilder getVolatilityStrikePrice()

Description copied from interface: VarianceReturnTerms

Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.

Specified by:

getVolatilityStrikePrice in interface VarianceReturnTerms

getOrCreateVarianceCapFloor

VarianceCapFloor.VarianceCapFloorBuilder getOrCreateVarianceCapFloor()

getVarianceCapFloor

VarianceCapFloor.VarianceCapFloorBuilder getVarianceCapFloor()

Description copied from interface: VarianceReturnTerms

Contains possible barriers for variance products, both variance-based and underlier price based

Specified by:

getVarianceCapFloor in interface VarianceReturnTerms

getOrCreateVolatilityCapFloor

VolatilityCapFloor.VolatilityCapFloorBuilder getOrCreateVolatilityCapFloor()

getVolatilityCapFloor

VolatilityCapFloor.VolatilityCapFloorBuilder getVolatilityCapFloor()

Description copied from interface: VarianceReturnTerms

Contains containing volatility-based barriers

Specified by:

getVolatilityCapFloor in interface VarianceReturnTerms

getOrCreateVegaNotionalAmount

NonNegativeQuantitySchedule.NonNegativeQuantityScheduleBuilder getOrCreateVegaNotionalAmount()

getVegaNotionalAmount

NonNegativeQuantitySchedule.NonNegativeQuantityScheduleBuilder getVegaNotionalAmount()

Description copied from interface: VarianceReturnTerms

Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade.

Specified by:

getVegaNotionalAmount in interface VarianceReturnTerms

getOrCreateExchangeTradedContractNearest

Observable.ObservableBuilder getOrCreateExchangeTradedContractNearest()

getExchangeTradedContractNearest

Observable.ObservableBuilder getExchangeTradedContractNearest()

Description copied from interface: VarianceReturnTerms

Specification of the exchange traded contract nearest.

Specified by:

getExchangeTradedContractNearest in interface VarianceReturnTerms

setValuationTerms

VarianceReturnTerms.VarianceReturnTermsBuilder setValuationTerms(ValuationTerms valuationTerms)

Specified by:

setValuationTerms in interface ReturnTermsBase.ReturnTermsBaseBuilder

setAnnualizationFactor

VarianceReturnTerms.VarianceReturnTermsBuilder setAnnualizationFactor(Integer annualizationFactor)

Specified by:

setAnnualizationFactor in interface ReturnTermsBase.ReturnTermsBaseBuilder

setDividendApplicability

VarianceReturnTerms.VarianceReturnTermsBuilder setDividendApplicability(DividendApplicability dividendApplicability)

Specified by:

setDividendApplicability in interface ReturnTermsBase.ReturnTermsBaseBuilder

setEquityUnderlierProvisions

VarianceReturnTerms.VarianceReturnTermsBuilder setEquityUnderlierProvisions(EquityUnderlierProvisions equityUnderlierProvisions)

Specified by:

setEquityUnderlierProvisions in interface ReturnTermsBase.ReturnTermsBaseBuilder

setSharePriceDividendAdjustment

VarianceReturnTerms.VarianceReturnTermsBuilder setSharePriceDividendAdjustment(Boolean sharePriceDividendAdjustment)

Specified by:

setSharePriceDividendAdjustment in interface ReturnTermsBase.ReturnTermsBaseBuilder

setExpectedN

VarianceReturnTerms.VarianceReturnTermsBuilder setExpectedN(Integer expectedN)

Specified by:

setExpectedN in interface ReturnTermsBase.ReturnTermsBaseBuilder

setInitialLevel

VarianceReturnTerms.VarianceReturnTermsBuilder setInitialLevel(BigDecimal initialLevel)

Specified by:

setInitialLevel in interface ReturnTermsBase.ReturnTermsBaseBuilder

setInitialLevelSource

VarianceReturnTerms.VarianceReturnTermsBuilder setInitialLevelSource(DeterminationMethodEnum initialLevelSource)

Specified by:

setInitialLevelSource in interface ReturnTermsBase.ReturnTermsBaseBuilder

setMeanAdjustment

VarianceReturnTerms.VarianceReturnTermsBuilder setMeanAdjustment(Boolean meanAdjustment)

Specified by:

setMeanAdjustment in interface ReturnTermsBase.ReturnTermsBaseBuilder

setPerformance

VarianceReturnTerms.VarianceReturnTermsBuilder setPerformance(String performance)

Specified by:

setPerformance in interface ReturnTermsBase.ReturnTermsBaseBuilder

setVarianceStrikePrice

VarianceReturnTerms.VarianceReturnTermsBuilder setVarianceStrikePrice(Price varianceStrikePrice)

setVolatilityStrikePrice

VarianceReturnTerms.VarianceReturnTermsBuilder setVolatilityStrikePrice(Price volatilityStrikePrice)

setVarianceCapFloor

VarianceReturnTerms.VarianceReturnTermsBuilder setVarianceCapFloor(VarianceCapFloor varianceCapFloor)

setVolatilityCapFloor

VarianceReturnTerms.VarianceReturnTermsBuilder setVolatilityCapFloor(VolatilityCapFloor volatilityCapFloor)

setVegaNotionalAmount

VarianceReturnTerms.VarianceReturnTermsBuilder setVegaNotionalAmount(NonNegativeQuantitySchedule vegaNotionalAmount)

setExchangeTradedContractNearest

VarianceReturnTerms.VarianceReturnTermsBuilder setExchangeTradedContractNearest(Observable exchangeTradedContractNearest)

process

default void process(com.rosetta.model.lib.path.RosettaPath path,
 com.rosetta.model.lib.process.BuilderProcessor processor)

Specified by:

process in interface ReturnTermsBase.ReturnTermsBaseBuilder

Specified by:

process in interface com.rosetta.model.lib.RosettaModelObjectBuilder

prune

VarianceReturnTerms.VarianceReturnTermsBuilder prune()

Specified by:

prune in interface ReturnTermsBase.ReturnTermsBaseBuilder

Specified by:

prune in interface com.rosetta.model.lib.RosettaModelObjectBuilder