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Dear All!
I would like to add a compound instrument type to collect lots of simple FX-Options into one instrument (PV, flows, etc.)
My idea to realize this would be to utilize the already existing additionalInstruments_ property in the InstrumentWrapper class, however adding a separate method “addComponentTrade” instead of the addPayment method.
The flows should at least provide the exchanged flows at the exercise date, for this I understand that a legs property is needed.
Ideally this new instrument type should be able to handle a variety of (simple) instruments, which at least for the PV calculation seems possible to me.What do you think of this?
-regards,
RolandHi Roland,
that’s very useful, we have come up with a compound trade type for similar reasons. Let us chat offline how to take this forward and what version to add to ORE in the next release.
Regards,
Roland
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