capfloor.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file portfolio/capfloor.hpp
    \brief Ibor cap, floor or collar trade data model and serialization
    \ingroup tradedata
*/
 
#pragma once
 
#include <ored/portfolio/legdata.hpp>
#include <ored/portfolio/trade.hpp>
#include <ored/portfolio/tradefactory.hpp>
 
namespace ore {
namespace data {
 
//! Serializable cap, floor, collar
/*! \ingroup tradedata
 */
class CapFloor : public Trade {
public:
    CapFloor() : Trade("CapFloor") {}
    CapFloor(const Envelope& env, const string& longShort, const LegData& leg, const vector<double>& caps,
             const vector<double>& floors, const PremiumData& premiumData = {})
        : Trade("CapFloor", env), longShort_(longShort), legData_(leg), caps_(caps), floors_(floors),
          premiumData_(premiumData) {}
 
    virtual void build(const QuantLib::ext::shared_ptr<EngineFactory>&) override;
 
    //! Inspectors
    //@{
    const string& longShort() const { return longShort_; }
    const LegData& leg() const { return legData_; }
    const vector<double>& caps() const { return caps_; }
    const vector<double>& floors() const { return floors_; }
    //@}
 
    virtual void fromXML(XMLNode* node) override;
    virtual XMLNode* toXML(XMLDocument& doc) const override;
 
    //! \name Trade
    //@{
    bool hasCashflows() const override { return true; }
    //@}
 
    const std::map<std::string, boost::any>& additionalData() const override;
 
private:
    string longShort_;
    LegData legData_;
    vector<double> caps_;
    vector<double> floors_;
    PremiumData premiumData_;
};
} // namespace data
} // namespace ore