Quant::Framework::Utils::UnderlyingConfig
This is a data-only module to store static data related to a symbol/underlying (e.g. Forex, Stocks, Indices, ...)
Symbol name (e.g. frxEURUSD)
The symbol used by the system to look up data. May be different from symbol, particularly on inverted forex pairs (EURUSD/USDEUR)
Name of the market. Can be one of: - forex - indices - commodities
Should this financial market use discrete dividend
Specifies if this underlying is quanto-only
Name of the underlying to imply interest rates from, when calculating implied interest rate
Type of volatility surface (moneyness, delta, flat)
Name of the exchange
Whether this underlying uses implied rate or no.
Symbol name of the asset (Asset or Currency)
Can we use implied rate for asset symbol?
Quoted currency of the underlying
Can we use implied rate from quoted currency symbol?
Volatility difference allowed for this symbol between two consecutive vol-surfaces. This is used when validating a volatility-surface for this underlying.
Returns a hashref. Keys and possible values are:
atm_setting
Value can be one of: - atm_delta_neutral_straddle - atm_forward - atm_spot
delta_premium_adjusted
Value can be one of: - 1 - 0
delta_style
Value can be one of: - spot_delta - forward_delta
rr (Risk Reversal)
Value can be one of: - call-put - put-call
bf (Butterfly)
Value can be one of: - 2_vol
Default dividend of this underlying (If this is not set, Quant::Framework::Dividend will be used to lookup dividend)
Default duration for this underlying when getting volatility.
Type of asset for this underlying (can be either 'currency' or 'asset')
To install Quant::Framework, copy and paste the appropriate command in to your terminal.
cpanm
cpanm Quant::Framework
CPAN shell
perl -MCPAN -e shell install Quant::Framework
For more information on module installation, please visit the detailed CPAN module installation guide.