Option.Definition
Summary
The method is used to create the Definition for a Option.
Methods
Definition(instrumentCode: string)
Allows to create an Option data Definition object
Parameter:
| Name | Is Optional | Default Value | Tupe | Description |
|---|---|---|---|---|
| instrumentCode | No | - | string | It is passed as parameter and will be used as instrumentCode from Option.Params |
Returned value: a Definition object
Definition(params: Option.Params)
Allows to create an Option data Definition object
Option.Params properties:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| underlyingType | No | - | enum | The underlying types of the option. See Option.UnderlyingType |
| instrumentCode | Yes | - | string | RIC of an option, used to retrieve the option contract description. If null, instrumentCode of UnderlyingDefinition must be provided. |
| instrumentTag | Yes | - | string | A tag which describes specific instrument. It is provided by the user and will be included into the response. Max length: 40 characters. Only alphabetic, numeric and '- _.#=@' characters are allowed. |
| strike | Yes | - | number | Option strike. |
| buySell | Yes | - | enum | The side of the deal. See Option.BuySell |
| callPut | Yes | - | enum | Defines the type of an option. See Option.CallPut |
| exerciseStyle | Yes | - | enum | Defines the exercise style of the option. See Option.ExerciseStyle |
| endDate | true | - | Yes | Option expiry date. |
| underlyingDefinition | Yes | - | EtiUnderlyingDefinition/FxUnderlyingDefinition | Details of the underlying. Can be used to define data of the underlying. See Option.EtiUnderlyingDefinition bellow. See Option.FxUnderlyingDefinition bellow |
| barrierDefinition | Yes | - | EtiOptionBarrierDefinition/FxOptionBarrierDefinition | Details of the barrier option. See Option.EtiOptionBarrierDefinition bellow. See Option.FxOptionBarrierDefinition bellow |
| doubleBarriersDefinition | Yes | - | Option.FxOptionDoubleBarriersDefinition[] | Details of double barriers option. See Option.FxOptionDoubleBarriersDefinition bellow |
| binaryDefinition | Yes | - | EtiOptionBinaryDefinition/FxOptionBinaryDefinition | Details of the binary option. See Option.EtiOptionBinaryDefinition bellow. See Option.FxOptionBinaryDefinition bellow |
| doubleBinaryDefinition | Yes | - | Option.FxOptionDoubleBinaryDefinition[] | Details of the double binary options. See Option.FxOptionDoubleBinaryDefinition bellow |
| cBBCDefinition | Yes | - | Option.EtiOptionCBBCDefinition[] | Details for CBBC (Call Bear/Bull Contract) option. See Option.EtiOptionCBBCDefinition bellow |
| lotSize | Yes | - | number | The lot size (the number of options bought or sold in one transaction). |
| dealContract | Yes | - | number | Number of contracts bought or sold in the deal. |
| tenor | true | - | Yes | The tenor of the option (if expiry is not defined). |
| deliveryDate | Yes | - | string | The delivery date of the option. |
| notionalAmount | Yes | - | number | The unsigned amount of traded currency actually bought or sold. |
| notionalCcy | Yes | - | string | The ISO code of the traded currency. If the option is a EURGBP Call option, the deal currency can be in EUR or GBP. |
| dualCurrencyDefinition | Yes | - | Option.FxDualCurrencyDefinition[] | Details for dual currency option. See Option.FxDualCurrencyDefinition bellow |
| pricingParameters | Yes | - | Option.PricingParameters[] | See Option.PricingParameters bellow |
| fields | Yes | - | string [] | - |
| outputs | Yes | - | enum | See Option.Outputs |
| extendedParams | Yes | - | {[key: string]: any} | Specifies the parameters that will be merged with the request |
Option.EtiUnderlyingDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| instrumentCode | false | - | string | Underlying RIC. |
Option.FxUnderlyingDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| fxCrossCode | false | - | string | Currency pair |
Option.EtiOptionBarrierDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| level | false | - | number | Specifies the level of the barrier. |
| upOrDown | true | - | enum | Specifies the type of barrier option. See Option.UpOrDown |
| inOrOut | true | - | enum | Specifies the type of barrier option. See Option.InOrOut |
Option.FxOptionBarrierDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| level | false | - | number | Specifies the level of the barrier. |
| barrierMode | true | - | enum | The enumerate that specifies the type of barrier of the option. See Option.BarrierMode |
| upOrDown | true | - | enum | Specifies the type of barrier option. See Option.UpOrDown |
| inOrOut | true | - | enum | Specifies the type of barrier option. See Option.InOrOut |
| windowStartDate | true | - | string | Specifies the window start date for the window barrier. |
| windowEndDate | true | - | string | Specifies the window end date for the window barrier. |
| rebateAmount | true | - | number | Rebate amount of the barrier option. |
Option.FxOptionDoubleBarriersDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| barrierUp | false | - | Option.DoubleBarrierInfo[] | Barrier Information for the upper barrier. See Option.DoubleBarrierInfo bellow |
| barrierDown | false | - | Option.DoubleBarrierInfo | Barrier Information for the lower barrier. See Option.DoubleBarrierInfo bellow |
| barrierMode | true | - | enum | The enumerate that specifies the types of option barrier. See Option.BarrierMode |
Option.EtiOptionBinaryDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| binaryType | false | - | enum | See Option.BinaryType |
| level | false | - | number | - |
| upOrDown | true | - | enum | See Option.UpOrDown |
| notionalAmount | true | - | number | - |
Option.FxOptionBinaryDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| binaryType | false | - | enum | Specifies the type of binary option. See Option.BinaryType |
| trigger | false | - | number | Specifies the trigger of the binary option. |
| settlementType | true | - | enum | Specifies the delivery type for the binary option. See Option.SettlementType |
| payoutAmount | true | - | number | Specify the payout of the binary option. |
| payoutCcy | true | - | string | ISO code of the traded currency. |
Option.FxOptionDoubleBinaryDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| doublebinaryType | false | - | enum | Specifies the type of binary option. See Option.DoubleBinaryType |
| triggerUp | false | - | number | Specifies the trigger up of the binary option. |
| triggerDown | false | - | number | Specifies the trigger down of the binary option. |
| settlementType | true | - | enum | Specifies the delivery type for the binary option. See Option.SettlementType |
| payoutAmount | true | - | number | Specify the payout of the binary option. |
| payoutCcy | true | - | string | The ISO code of the traded currency (for ex., EUR ). |
Option.EtiOptionCBBCDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| level | false | - | number | Specifies the level of the barrier. |
| conversionRatio | true | - | number | Specifies the level of the barrier. |
Option.FxDualCurrencyDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| depositStartDate | true | - | string | Deposit Start Date for the DualCurrencyDeposit option. |
| marginPercent | true | - | number | Margin percent for the Dual currency Option. |
Option.DoubleBarrierInfo
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| level | false | - | number | Specifies the level of the barrier. |
| rebateAmount | true | - | number | Specifies the rebate amount of the barrier option. |
| inOrOut | true | - | enum | Specifies the type of barrier option. See Option.InOrOut |
Option.PricingParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| valuationDate | true | - | string | The valuation date for pricing. |
| marketDataDate | true | - | string | The market data date for pricing. |
| reportCcy | true | - | string | The report currency. Pricing data is computed in deal currency. If a report currency is set, pricing data is also computed in report currency. |
| marketValueInDealCcy | true | - | number | User defined marketValueInDealCcy used to compute volatilityPercent. Note that the marketValueInDealCcy takes priority over the volatilityPercent input. |
| pricingModelType | true | - | enum | The enumerate that specifies the model type of pricing. See Option.PricingModelType |
| dividendType | true | - | enum | The enumerate that specifies the type of dividend. See Option.DividendType |
| dividendYieldPercent | true | - | number | Percentage value of the dividend. |
| volatilityPercent | true | - | number | User defined volatility (in %) used for calculation. Note that if marketValueInDealCcy is defined, volatilityPercent is not taken into account. |
| riskFreeRatePercent | true | - | number | User defined riskFreeRatePercent used to calculate other outputs of an option. |
| underlyingPrice | true | - | number | User defined UnderlyingPrice used to calculate other outputs of an option. |
| volatilityType | true | - | enum | The type of volatility for the option's pricing. See Option.VolatilityType |
| optionPriceSide | true | - | enum | Quoted option's price side to use for pricing analysis. See Option.PriceSide |
| optionTimeStamp | true | - | enum | Defines how the timestamp of the option is selected. See Option.TimeStamp |
| underlyingPriceSide | true | - | enum | Quoted price side to use for pricing Analysis. See Option.PriceSide |
| underlyingTimeStamp | true | - | enum | Defines the timestamp of the underlying. See Option.TimeStamp |
| priceSide | true | - | enum | The enumerate that specifies whether Bid, Ask or Mid is used to price the Fx option. See Option.PriceSide |
| volatilityModel | true | - | enum | The enumerate that specifies the volatility models used to build the surface. See Option.VolatilityModel |
| fxSwapCalculationMethod | true | - | enum | The enumerate that specifies the methods used to price outrights using or not implied deposits. See Option.FxSwapCalculationMethod |
| fxSpotObject | true | - | Option.BidAskMid[] | User defined Spot Prices. Note that Bid, Ask, and Mid are the properties of an object. See Option.BidAskMid bellow |
| atmVolatilityObject | true | - | Option.BidAskMid[] | User defined Volatility at the money at expiry. See Option.BidAskMid bellow |
| riskReversal10DObject | true | - | Option.BidAskMid[] | User defined RR10D at the money at expiry.See Option.BidAskMid bellow |
| riskReversal25DObject | true | - | Option.BidAskMid[] | User defined RR25D at the money at expiry. See Option.BidAskMid bellow |
| butterfly10DObject | true | - | Option.BidAskMid[] | User defined BF10D at the money at expiry. See Option.BidAskMid bellow |
| forwardPointsObject | true | - | Option.BidAskMid[] | User defined Forward Points at the money at expiry. See Option.BidAskMid bellow |
| foreignDepositRatePercentObject | true | - | Option.BidAskMid[] | User defined Foreign Deposit Rate at the money at expiry. See Option.BidAskMid bellow |
| domesticDepositRatePercentObject | true | - | Option.BidAskMid[] | User defined Domestic Deposit Rate at the money at expiry. See Option.BidAskMid bellow |
| impliedVolatilityObject | true | - | Option.BidAskMid[] | User defined Implied Volatility in BS pricing. See Option.BidAskMid bellow |
| cutoffTimeZone | true | - | enum | The cutoff time zone. See Option.TimeZone |
| cutoffTime | true | - | string | The cutoff time. format (hhmmXX where XX==AM/PM). For example, 1000AM, 1730PM. |
Option.BidAskMid
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| bid | false | - | number | - |
| ask | false | - | number | - |
| mid | false | - | number | - |
Returned value: a Definition object
getData(session: Session)
Sends a request to the data platform to retrieve the data described by the Definition object.
Parameters:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| session | No | - | Session | Session instance |
Returned value: a ContentResponse.
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