Message: UnderlyingGroupGreeks

File: cqg_api/ptrisk/ptrisk.proto

Description

Greeks for a single underlying contract and its options.

Used in

PortfolioRiskReport, ScenarioRiskReport

Fields

underlying_cqg_contract_name

Type: string

Description: Underlying contract name.

aggregate_group_greeks

Type: quant.Greeks

Description: Aggregated greeks for underlying contract and all its options.

underlying_greeks

Type: quant.Greeks

Description: Greeks for underlying contract only.

expiration_greeks

Type: map<uint32, ExpirationGreeks>

Description: Per-expiration greeks.

The key is unique within UnderlyingGroupGreeks and used for merging report chunks.