NAME
Finance::Underlying - Object representation of a financial asset
SYNOPSIS
use Finance::Underlying;
my $underlying = Finance::Underlying->by_symbol('frxEURUSD');
print $underlying->pip_size, "\n";
DESCRIPTION
Provides metadata on financial assets such as forex pairs.
CLASS METHODS
all_underlyings
Returns a list of all underlyings, ordered by symbol.
symbols
Return sorted list of all symbols.
by_symbol
Look up the underlying for the given symbol, returning a Finance::Underlying instance.
ATTRIBUTES
asset
The asset being quoted, for example USD
for the frxUSDJPY
underlying.
display_name
User-friendly English name used for display purposes.
exchange_name
The symbol of the exchange this underlying is traded on.
See Finance::Exchange for more details.
instrument_type
Categorises the underlying, available values are:
- commodities
- forex
- future
- individualstock
- smart_fx
- stockindex
- synthetic
market
The type of market for this underlying, for example forex
for foreign exchange.
This will be one of the following:
- commodities
- forex
- futures
- indices
- stocks
- volidx
market_convention
These should mirror Bloomberg's Composite vol data conventions.
For further information, see Foreign Exchange option pricing
, by Iain J Clark, pages
47 onwards.
Types of volatility conventions available:
atm_setting
There are three types:
- atm_delta_neutral_straddle - strike so that call delta = -put delta
- atm_forward - strike = forward price
- atm_spot - strike = spot
delta_premium_adjusted
There are two types:
- 1 for premium adjusted . Premium adjusted means the actual hedge quantity must be adjusted by the premium received if the premium is paid in foreign currency.
- 0 for no premium adjusted - for futher explanation please refer to Wystup
FX Volatility Smile Construction
April 2010 paper, pg 5 and 6.
delta_style
There are two delta convention available:
- spot_delta - with a hedge in the spot market.
- forward_delta - with a hedge in FX forward market
rr
Risk reversal:
- call-put
- put-call
bf
There are three types of butterfly available in Bloomberg setting:
- (call+put)/2-atm (which is quoted 1 vol strangle for Composite sources and 2 vol (a.k.a smile strangle) for BGN sources)
- Base currency strangle - ATM (which is (base currency call + base currency put)- ATM)
- Foreign currency strangle - ATM (which is (foreign currency call + foreign currency put)- ATM)
pip_size
How large the spot pip is.
quoted_currency
The second half of a forex pair - indicates the currency that this underlying is quoted in, or the currency in which a stock or stock index is quoted.
submarket
Classification for the underlying, see also "market".
symbol
The symbol of the underlying, for example frxUSDJPY
or WLDAUD
.
SEE ALSO
- Finance::Contract - represents a financial contract
AUTHOR
binary.com