product

Type Members

1. trait Asset extends AnyRef

   

   An virtufin.finance.product.Asset may have a monetary value expressed in terms of a virtufin.finance.scenario.Quote.

2. type Buy[A <: Instrument] = Exchange[Currency, A]

   

3. type Cash = Position[Currency]

   

4. case class Cashflows(currency: Currency, amounts: Iterable[Pair[Time, Double]]) extends Asset with Product with Serializable

   

   A set of virtufin.finance.product.Payments sharing the same virtufin.finance.product.Currency and virtufin.finance.product.Transfer.sourcePortfolio or virtufin.finance.product.Transfer.targetPortfolio

5. trait CreditReference extends AnyRef

   

6. final class Currency extends Instrument

   

7. type CurrencyExchange = Exchange[Currency, Currency]

   

8. sealed trait DayCountFraction extends AnyRef

   

9. case class EuropeanPlainVanillaOption(notional: Cash, callPut: CallPut, strike: Double, underlying: MarketObservable[Double], settlementDate: Time, buyerPortfolio: PortfolioIdentifier, sellerPortfolio: PortfolioIdentifier) extends Instrument with EuropeanOption with SingleFixingDerivative[Double] with Striking with Product with Serializable

   

10. final case class Exchange[A <: Instrument, B <: Instrument](payPosition: Position[A], receivePosition: Position[B], sourcePortfolio: PortfolioIdentifier, targetPortfolio: PortfolioIdentifier) extends PortfolioTransaction with Product with Serializable

    

11. trait Feature extends AnyRef

    

    Describe some static properties, such as the strike, maturity, underlying of a financial product.

    Describe some static properties, such as the strike, maturity, underlying of a financial product. A financial product can them represented as a case class extending some Features. For instance:

    case class MyInstrument(notional:Notional, maturityDate:Time) extends Instrument with Notional with Maturing

    The dynamic behaviour of a Feature is expressed by implementing it's sub-trait virtufin.finance.simulation.SimulatedFeature.

12. trait FeatureInfoExtractor[+F <: Feature] extends AnyRef

    

13. case class FixedLeg(notional: Cash, fixedRate: FixedRate, fixedRateAmount: Double, tenor: util.Term[Time], startDate: Time, buyerPortfolio: PortfolioIdentifier, sellerPortfolio: PortfolioIdentifier) extends Instrument with BilateralContract with FixedPositionTransfers with Notional with Starting with Maturing with Accruing with Product with Serializable

    

14. final case class FixedRate(tenor: Term, dayCountFraction: DayCountFraction) extends InterestRate with Product with Serializable

    

15. case class FloatingLeg(notional: Cash, floatingRate: FloatingRate, tenor: util.Term[Time], startDate: Time, buyerPortfolio: PortfolioIdentifier, sellerPortfolio: PortfolioIdentifier) extends Instrument with BilateralContract with Notional with SingleMarketObservableDerivative[Double] with Accruing with Starting with Maturing with CashSettled with Product with Serializable

    

16. final case class FloatingRate(tenor: Term, yieldReference: YieldReference, dayCountFraction: DayCountFraction) extends InterestRate with MarketObservable[Double] with Product with Serializable

    

17. trait ForwardContract extends Instrument with BilateralContract with SingleSettling

    

18. trait Instrument extends Asset

    

    An virtufin.finance.product.Instrument is a legal agreement, which refers to some Assets.

    An virtufin.finance.product.Instrument is a legal agreement, which refers to some Assets. Typically virtufin.finance.product.Instrument are either equity, debt or foreign exchange rate based. Counter-examples of virtufin.finance.product.Assets .

19. trait InterestRate extends AnyRef

    

20. type Payment = Transfer[Currency]

    

21. case class PhysicallySettledForwardContract[A <: Instrument](assetPosition: Position[A], payment: Cash, settlementDate: Time, buyerPortfolio: PortfolioIdentifier, sellerPortfolio: PortfolioIdentifier) extends ForwardContract with FixedPositionTransfers with PhysicallySettled with Product with Serializable

    

    Exchange at maturity date a asset position with a cash position, i.e.

    Exchange at maturity date a asset position with a cash position, i.e. buy an asset at maturity at a pre-determined price.

    A

    type of the asset

    assetPosition

    the asset position being bought (when Buy) or sold (when Sell)

    payment

    the amount being paid (when Buy) or received (when Sell)

    settlementDate

    date at which settlement occurs

    buyerPortfolio

    portfolio of the party, which buys the Asset and sells the Cash if the asset position is positive

    sellerPortfolio

    portfolio of the party, which sells the Asset and buys the Cash if the asset position is positive

22. case class PlainVanillaInterestRateSwap(notional: Cash, fixedRate: FixedRate, fixedRateAmount: Double, floatingRate: FloatingRate, tenor: util.Term[Time], startDate: Time, buyerPortfolio: PortfolioIdentifier, sellerPortfolio: PortfolioIdentifier) extends Instrument with BilateralContract with FixedPositionTransfers with Notional with Starting with Maturing with Accruing with CashSettled with SingleMarketObservableDerivative[Double] with Product with Serializable

    

23. trait PortfolioHierarchy extends AnyRef

    

24. sealed trait PortfolioHierarchyNode extends Tree[PortfolioIdentifier]

    

25. case class PortfolioIdentifier(name: String) extends Product with Serializable

    

26. final case class PortfolioNode(identifier: PortfolioIdentifier, children: Iterable[PortfolioHierarchyNode]) extends PortfolioHierarchyNode with Node[PortfolioHierarchyNode, PortfolioIdentifier] with Product with Serializable

    

27. trait PortfolioTransaction extends Transaction

    

28. case class Position[+A <: Instrument](amount: Double, asset: A) extends Instrument with Product with Serializable

    

29. final case class PositionNode[A <: Instrument](identifier: PortfolioIdentifier, position: Position[A]) extends PortfolioHierarchyNode with Leaf[PortfolioHierarchyNode, PortfolioIdentifier] with Product with Serializable

    

30. type Sell[A <: Instrument] = Exchange[A, Currency]

    

31. case class Stock(name: String) extends Instrument with Product with Serializable

    

32. trait Trade extends AnyRef

    

33. trait Transaction extends AnyRef

    

34. final case class Transfer[A <: Instrument](position: Position[A], sourcePortfolio: PortfolioIdentifier, targetPortfolio: PortfolioIdentifier) extends PortfolioTransaction with Product with Serializable

    

35. case class TransferContract[A <: Instrument](transfer: Transfer[A], settlementDate: Time) extends Instrument with BilateralContract with SingleSettling with FixedPositionTransfers with Product with Serializable

    

    Perform at a predetermined data a Transfer of some predefined Position from a source to a target portfolio

    Perform at a predetermined data a Transfer of some predefined Position from a source to a target portfolio

    A

    type of the Asset transferred

    transfer

    the Transfer transaction

    settlementDate

    day, when Transfer occurs

36. trait YieldReference extends MarketObservable[YieldCurve]

    

37. trait YieldReferenceMapper[A <: Asset] extends AnyRef