About the Financial Contracts Option
An Option class allows to form the financial instrument from the instrument code and parameters.
IPA.FinancialContracts.Option.Definition object
Creates a Option.Definition object by providing as a parameter an object literal of type Option.Params.
Syntax
FinancialContracts.Option.Definition(params: FinancialContracts.option.Params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| params | An object literal of type FinancialContracts.Option.Params. | object | No | - |
Option.Params properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| underlyingType | The underlying types of the option (see Option.UnderlyingType). | enum | Yes | - |
| instrumentCode | RIC of an option, used to retrieve the option contract description. If null, the instrumentCode of the UnderlyingDefinition must be provided. | string | Yes | - |
| instrumentTag | A tag which describes the specific instrument. It is provided by the user and will be included in the response. Max length: 40 characters. Only alphabetic, numeric and '- _.#=@' characters are allowed. | string | Yes | - |
| strike | Option strike. | number | Yes | - |
| buySell | The side of the deal (see Option.BuySell). | enum | Yes | - |
| callPut | Defines the option type (see Option.CallPut). | enum | Yes | - |
| exerciseStyle | Defines the exercise style of the option (see Option.ExerciseStyle). | enum | Yes | - |
| endDate | Option expiry date. | string | Yes | - |
| startDate | The start date of the instrument. | string | Yes | - |
| underlyingDefinition | Details of the underlying. Can be used to define the data of the underlying (see Option.EtiUnderlyingDefinition or Option.FxUnderlyingDefinition below). | object | Yes | - |
| barrierDefinition | Details of the barrier option (see Option.EtiOptionBarrierDefinition or Option.FxOptionBarrierDefinition). | object | Yes | - |
| doubleBarriersDefinition | Details of the double barriers option (see Option.FxOptionDoubleBarriersDefinition below). | object | Yes | - |
| binaryDefinition | Details of the binary option (see Option.EtiOptionBinaryDefinition or Option.FxOptionBinaryDefinition). | object | Yes | - |
| doubleBinaryDefinition | Details of the double binary options (see Option.FxOptionDoubleBinaryDefinition below). | object | Yes | - |
| cBBCDefinition | Details for the CBBC (Call Bear/Bull Contract) option (see Option.EtiOptionCBBCDefinition below). | object | Yes | - |
| lotSize | The lot size (the number of options bought or sold in one transaction). | number | Yes | - |
| dealContract | Number of contracts bought or sold in the deal. | number | Yes | - |
| tenor | The tenor of the option (if the expiry is not defined). | string | Yes | - |
| deliveryDate | The delivery date of the option. | string | Yes | - |
| notionalAmount | The unsigned amount of traded currency actually bought or sold. | number | Yes | - |
| notionalCcy | The ISO code of the traded currency. If the option is a EURGBP Call option, the deal currency can be in EUR or GBP. | string | Yes | - |
| dualCurrencyDefinition | Details for dual currency option (see Option.FxDualCurrencyDefinition below). | object | Yes | - |
| pricingParameters | Pricing parameters to apply to the Option instrument (see Option.PricingParameters). | object | Yes | - |
| fields | A list of fields to return with the response. | string[] | Yes | - |
| outputs | The list of outputs which can be requested (see Option.Output). | enum[] | Yes | - |
| extendedParams | Additional parameters to apply to the request. | object | Yes | - |
Option.EtiUnderlyingDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrumentCode | Underlying RIC. | string | No | - |
Option.FxUnderlyingDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| fxCrossCode | Currency pair | string | No | - |
Option.EtiOptionBarrierDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| level | Specifies the level of the barrier. | number | No | - |
| upOrDown | Specifies the type of barrier option (see Option.UpOrDown). | enum | Yes | - |
| inOrOut | Specifies the type of barrier option (see Option.InOrOut). | enum | Yes | - |
Option.FxOptionBarrierDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| level | Specifies the level of the barrier. | number | No | - |
| barrierMode | The enumerate that specifies the type of barrier of the option (see Option.BarrierMode). | enum | Yes | - |
| upOrDown | Specifies the type of barrier option (see Option.UpOrDown). | enum | Yes | - |
| inOrOut | Specifies the type of barrier option (Option.InOrOut). | enum | Yes | - |
| windowStartDate | Specifies the window start date for the window barrier. | string | Yes | - |
| windowEndDate | Specifies the window end date for the window barrier. | string | Yes | - |
| rebateAmount | Rebate amount of the barrier option. | number | Yes | - |
Option.FxOptionDoubleBarriersDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| barrierUp | Barrier Information for the upper barrier (see Option.DoubleBarrierInfo below). | object | No | - |
| barrierDown | Barrier Information for the lower barrier (see Option.DoubleBarrierInfo below). | object | No | - |
| barrierMode | The enumerate that specifies the types of option barrier (see Option.BarrierMode). | enum | Yes | - |
Option.EtiOptionBinaryDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| binaryType | The type of a binary option (see Option.BinaryType). | enum | No | - |
| level | The price used as a barrier level. | number | No | - |
| upOrDown | The type of the barrier option based on the direction of the underlying asset price when it is activated or deactivated (see Option.UpOrDown). | enum | Yes | - |
| notionalAmount | The notional amount of the instrument. | number | Yes | - |
Option.FxOptionBinaryDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| binaryType | The type of a binary option (see Option.BinaryType). | enum | No | - |
| trigger | The trigger of the binary option. | number | No | - |
| settlementType | The settlement method for options when exercised (see Option.SettlementType). | enum | Yes | - |
| payoutAmount | The payout amount of the option. | number | Yes | - |
| payoutCcy | The trade currency, which is either a domestic or foreign currency. Either PayoutCcy or SettlementType can be used at a time. | string | Yes | - |
Option.FxOptionDoubleBinaryDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| doublebinaryType | The type of a double binary option (see Option.DoubleBinaryType). | enum | No | - |
| triggerUp | The upper trigger of the binary option. | number | No | - |
| triggerDown | The lower trigger of the binary option. | number | No | - |
| settlementType | The settlement method for options when exercised (see Option.SettlementType). | enum | Yes | - |
| payoutAmount | The payout amount of the option. | number | Yes | - |
| payoutCcy | The ISO code of the traded currency (for ex., EUR). | string | Yes | - |
Option.EtiOptionCBBCDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| level | The level of the barrier. | number | No | - |
| conversionRatio | Yhe conversion ratio. | number | Yes | - |
Option.FxDualCurrencyDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| depositStartDate | Deposit Start Date for the DualCurrencyDeposit option. | string | Yes | - |
| marginPercent | Margin percent for the Dual currency Option. | number | Yes | - |
Option.DoubleBarrierInfo properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| level | The level of the barrier. | number | No | - |
| rebateAmount | The rebate amount of the barrier option. | number | Yes | - |
| inOrOut | The type of barrier option (see Option.InOrOut). | enum | Yes | - |
Returned value
ContentDefinition object.
Usage
The following example demonstrates how to create a definition for financial contracts Option:
import { IPA } from '@lsegroup/data';
const definition = IPA.FinancialContracts.Option.Definition({
underlyingType: IPA.FinancialContracts.Option.UnderlyingType.Fx,
strike: 265,
underlyingDefinition: {
fxCrossCode: 'AUDUSD',
},
notionalCcy: 'AUD',
tenor: '5M',
pricingParameters: {
priceSide: IPA.FinancialContracts.Option.PriceSide.Mid,
valuationDate: '2018-08-06',
pricingModelType: IPA.FinancialContracts.Option.PricingModelType.BlackScholes,
fxSpotObject: { bid: 0.7387, ask: 0.7387, mid: 0.7387 },
},
outputs: [IPA.FinancialContracts.Option.Output.Data, IPA.FinancialContracts.Option.Output.Headers],
});
`