Package cdm.product.asset

Interface VarianceReturnTerms

All Superinterfaces:

ReturnTermsBase, com.rosetta.model.lib.RosettaModelObject

All Known Subinterfaces:

VarianceReturnTerms.VarianceReturnTermsBuilder

All Known Implementing Classes:

VarianceReturnTerms.VarianceReturnTermsBuilderImpl, VarianceReturnTerms.VarianceReturnTermsImpl

@RosettaDataType(value="VarianceReturnTerms",
                 builder=VarianceReturnTermsBuilderImpl.class,
                 version="5.30.0")
@RuneDataType(value="VarianceReturnTerms",
              model="cdm",
              builder=VarianceReturnTermsBuilderImpl.class,
              version="5.30.0")
public interface VarianceReturnTerms
extends ReturnTermsBase

Version:

5.30.0

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static interface	VarianceReturnTerms.VarianceReturnTermsBuilder	Builder Interface
static class	VarianceReturnTerms.VarianceReturnTermsBuilderImpl	Builder Implementation of VarianceReturnTerms
static class	VarianceReturnTerms.VarianceReturnTermsImpl	Immutable Implementation of VarianceReturnTerms

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

ReturnTermsBase.ReturnTermsBaseBuilder, ReturnTermsBase.ReturnTermsBaseBuilderImpl, ReturnTermsBase.ReturnTermsBaseImpl

Field Summary

Fields

Modifier and Type	Field	Description
static final VarianceReturnTermsMeta	metaData

Method Summary

Modifier and Type	Method	Description
VarianceReturnTerms	build()	Build Methods
static VarianceReturnTerms.VarianceReturnTermsBuilder	builder()
Observable	getExchangeTradedContractNearest()	Specification of the exchange traded contract nearest.
default Class<? extends VarianceReturnTerms>	getType()
VarianceCapFloor	getVarianceCapFloor()	Contains possible barriers for variance products, both variance-based and underlier price based
Price	getVarianceStrikePrice()	Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.
NonNegativeQuantitySchedule	getVegaNotionalAmount()	Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol).
VolatilityCapFloor	getVolatilityCapFloor()	Contains containing volatility-based barriers
Price	getVolatilityStrikePrice()	Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.
default com.rosetta.model.lib.meta.RosettaMetaData<? extends VarianceReturnTerms>	metaData()	Utility Methods
default void	process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
VarianceReturnTerms.VarianceReturnTermsBuilder	toBuilder()

Methods inherited from interface cdm.product.asset.ReturnTermsBase

getAnnualizationFactor, getDividendApplicability, getEquityUnderlierProvisions, getExpectedN, getInitialLevel, getInitialLevelSource, getMeanAdjustment, getPerformance, getSharePriceDividendAdjustment, getValuationTerms

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

processRosetta, processRosetta

Field Details

metaData

static final VarianceReturnTermsMeta metaData

Method Details

getVarianceStrikePrice

Price getVarianceStrikePrice()

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

getVolatilityStrikePrice

Price getVolatilityStrikePrice()

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

getVarianceCapFloor

VarianceCapFloor getVarianceCapFloor()

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

getVolatilityCapFloor

VolatilityCapFloor getVolatilityCapFloor()

Contains containing volatility-based barriers

getVegaNotionalAmount

NonNegativeQuantitySchedule getVegaNotionalAmount()

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.

getExchangeTradedContractNearest

Observable getExchangeTradedContractNearest()

Specification of the exchange traded contract nearest.

build

VarianceReturnTerms build()

Build Methods

Specified by:

build in interface ReturnTermsBase

Specified by:

build in interface com.rosetta.model.lib.RosettaModelObject

toBuilder

VarianceReturnTerms.VarianceReturnTermsBuilder toBuilder()

Specified by:

toBuilder in interface ReturnTermsBase

Specified by:

toBuilder in interface com.rosetta.model.lib.RosettaModelObject

builder

static VarianceReturnTerms.VarianceReturnTermsBuilder builder()

metaData

default com.rosetta.model.lib.meta.RosettaMetaData<? extends VarianceReturnTerms> metaData()

Utility Methods

Specified by:

metaData in interface ReturnTermsBase

Specified by:

metaData in interface com.rosetta.model.lib.RosettaModelObject

getType

@RuneAttribute("@type")
default Class<? extends VarianceReturnTerms> getType()

Specified by:

getType in interface ReturnTermsBase

Specified by:

getType in interface com.rosetta.model.lib.RosettaModelObject

process

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

Specified by:

process in interface ReturnTermsBase

Specified by:

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