NAME
Quant::Framework::Utils::UnderlyingConfig
DESCRIPTION
This is a data-only module to store static data related to a symbol/underlying (e.g. Forex, Stocks, Indices, ...)
symbol
Symbol name (e.g. frxEURUSD)
system_symbol
The symbol used by the system to look up data. May be different from symbol, particularly on inverted forex pairs (EURUSD/USDEUR)
market_name
Name of the market. Can be one of: - forex - indices - commodities
market_prefer_discrete_dividend
Should this financial market use discrete dividend
quanto_only
Specifies if this underlying is quanto-only
rate_to_imply_from
Name of the underlying to imply interest rates from, when calculating implied interest rate
volatility_surface_type
Type of volatility surface (moneyness, delta, flat)
exchange_name
Name of the exchange
uses_implied_rate
Whether this underlying uses implied rate or no.
asset_symbol
Symbol name of the asset (Asset or Currency)
uses_implied_rate_for_asset
Can we use implied rate for asset symbol?
quoted_currency_symbol
Quoted currency of the underlying
uses_implied_rate_for_quoted_currency
Can we use implied rate from quoted currency symbol?
extra_vol_diff_by_delta
Volatility difference allowed for this symbol between two consecutive vol-surfaces. This is used when validating a volatility-surface for this underlying.
market_convention
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_rate
Default dividend of this underlying (If this is not set, Quant::Framework::Dividend will be used to lookup dividend)
default_volatility_duration
Default duration for this underlying when getting volatility.
asset_class
Type of asset for this underlying (can be either 'currency' or 'asset')