#include <ored/portfolio/basketdata.hpp>

Inheritance diagram for BasketConstituent:

Collaboration diagram for BasketConstituent:

Public Member Functions
	BasketConstituent ()
	Default constructor. More...

	BasketConstituent (const std::string &issuerName, const std::string &creditCurveId, QuantLib::Real notional, const std::string &currency, const std::string &qualifier, QuantLib::Real priorNotional=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recovery=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &auctionDate=QuantLib::Date(), const QuantLib::Date &auctionSettlementDate=QuantLib::Date(), const QuantLib::Date &defaultDate=QuantLib::Date(), const QuantLib::Date &eventDeterminationDate=QuantLib::Date())
	Constructor taking an explicit `creditCurveId`. More...

	BasketConstituent (const std::string &issuerName, const std::string &creditCurveId, QuantLib::Real weight, const std::string &qualifier, QuantLib::Real priorWeight=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recovery=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &auctionDate=QuantLib::Date(), const QuantLib::Date &auctionSettlementDate=QuantLib::Date(), const QuantLib::Date &defaultDate=QuantLib::Date(), const QuantLib::Date &eventDeterminationDate=QuantLib::Date())
	Constructor taking an explicit `creditCurveId` and initialized by weight. More...

	BasketConstituent (const std::string &issuerName, const ore::data::CdsReferenceInformation &cdsReferenceInfo, QuantLib::Real notional, const std::string &currency, const std::string &qualifier, QuantLib::Real priorNotional=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recovery=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &auctionDate=QuantLib::Date(), const QuantLib::Date &auctionSettlementDate=QuantLib::Date(), const QuantLib::Date &defaultDate=QuantLib::Date(), const QuantLib::Date &eventDeterminationDate=QuantLib::Date())
	Constructor taking CDS reference information, `cdsReferenceInfo`. More...

Serialisation
void	fromXML (ore::data::XMLNode *node) override

ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const =0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string. More...

std::string	toXMLString () const
	Parse from XML string. More...

Inspectors
std::string	issuerName_

boost::optional< ore::data::CdsReferenceInformation >	cdsReferenceInfo_

std::string	creditCurveId_

QuantLib::Real	notional_

std::string	currency_

std::string	qualifier_

QuantLib::Real	priorNotional_

QuantLib::Real	weight_

QuantLib::Real	priorWeight_

QuantLib::Real	recovery_

QuantLib::Date	auctionDate_

QuantLib::Date	auctionSettlementDate_

QuantLib::Date	defaultDate_

QuantLib::Date	eventDeterminationDate_

bool	weightInsteadOfNotional_

const std::string &	issuerName () const

const std::string &	creditCurveId () const

const boost::optional< ore::data::CdsReferenceInformation > &	cdsReferenceInfo () const

QuantLib::Real	notional () const

const std::string &	currency () const

QuantLib::Real	priorNotional () const

QuantLib::Real	recovery () const

QuantLib::Real	weight () const

QuantLib::Real	priorWeight () const

const QuantLib::Date &	auctionDate () const

const QuantLib::Date &	auctionSettlementDate () const

const QuantLib::Date &	defaultDate () const

const QuantLib::Date &	eventDeterminationDate () const

bool	weightInsteadOfNotional () const

Detailed Description

Serializable credit basket data constituent

Definition at line 37 of file basketdata.hpp.

Constructor & Destructor Documentation

◆ BasketConstituent() [1/4]

BasketConstituent ( )

Default constructor.

Definition at line 36 of file basketdata.cpp.

37 : notional_(Null<Real>()), priorNotional_(Null<Real>()), weight_(Null<Real>()), priorWeight_(Null<Real>()),

38 recovery_(Null<Real>()), weightInsteadOfNotional_(false) {}

ore::data::BasketConstituent::priorNotional_

QuantLib::Real priorNotional_

Definition: basketdata.hpp:105

ore::data::BasketConstituent::notional_

QuantLib::Real notional_

Definition: basketdata.hpp:102

ore::data::BasketConstituent::weightInsteadOfNotional_

bool weightInsteadOfNotional_

Definition: basketdata.hpp:113

ore::data::BasketConstituent::priorWeight_

QuantLib::Real priorWeight_

Definition: basketdata.hpp:107

ore::data::BasketConstituent::weight_

QuantLib::Real weight_

Definition: basketdata.hpp:106

ore::data::BasketConstituent::recovery_

QuantLib::Real recovery_

Definition: basketdata.hpp:108

◆ BasketConstituent() [2/4]

BasketConstituent	(	const std::string &	issuerName,
		const std::string &	creditCurveId,
		QuantLib::Real	notional,
		const std::string &	currency,
		const std::string &	qualifier,
		QuantLib::Real	priorNotional = `QuantLib::Null< QuantLib::Real >()`,
		QuantLib::Real	recovery = `QuantLib::Null< QuantLib::Real >()`,
		const QuantLib::Date &	auctionDate = `QuantLib::Date()`,
		const QuantLib::Date &	auctionSettlementDate = `QuantLib::Date()`,
		const QuantLib::Date &	defaultDate = `QuantLib::Date()`,
		const QuantLib::Date &	eventDeterminationDate = `QuantLib::Date()`
	)

Constructor taking an explicit creditCurveId.

◆ BasketConstituent() [3/4]

BasketConstituent	(	const std::string &	issuerName,
		const std::string &	creditCurveId,
		QuantLib::Real	weight,
		const std::string &	qualifier,
		QuantLib::Real	priorWeight = `QuantLib::Null< QuantLib::Real >()`,
		QuantLib::Real	recovery = `QuantLib::Null< QuantLib::Real >()`,
		const QuantLib::Date &	auctionDate = `QuantLib::Date()`,
		const QuantLib::Date &	auctionSettlementDate = `QuantLib::Date()`,
		const QuantLib::Date &	defaultDate = `QuantLib::Date()`,
		const QuantLib::Date &	eventDeterminationDate = `QuantLib::Date()`
	)

Constructor taking an explicit creditCurveId and initialized by weight.

◆ BasketConstituent() [4/4]

BasketConstituent	(	const std::string &	issuerName,
		const ore::data::CdsReferenceInformation &	cdsReferenceInfo,
		QuantLib::Real	notional,
		const std::string &	currency,
		const std::string &	qualifier,
		QuantLib::Real	priorNotional = `QuantLib::Null< QuantLib::Real >()`,
		QuantLib::Real	recovery = `QuantLib::Null< QuantLib::Real >()`,
		const QuantLib::Date &	auctionDate = `QuantLib::Date()`,
		const QuantLib::Date &	auctionSettlementDate = `QuantLib::Date()`,
		const QuantLib::Date &	defaultDate = `QuantLib::Date()`,
		const QuantLib::Date &	eventDeterminationDate = `QuantLib::Date()`
	)

Constructor taking CDS reference information, cdsReferenceInfo.

Member Function Documentation

◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 69 of file basketdata.cpp.

                                             {
 
    XMLUtils::checkNode(node, "Name");
 
    issuerName_ = XMLUtils::getChildValue(node, "IssuerId", true);
    qualifier_ = XMLUtils::getChildValue(node, "Qualifier", false);
 
    // May get an explicit CreditCurveId node. If so, we use it. Otherwise, we must have ReferenceInformation node.
    if (XMLNode* tmp = XMLUtils::getChildNode(node, "CreditCurveId")) {
        creditCurveId_ = XMLUtils::getNodeValue(tmp);
    } else {
        tmp = XMLUtils::getChildNode(node, "ReferenceInformation");
        QL_REQUIRE(tmp, "Need either a CreditCurveId or ReferenceInformation node in each BasketConstituent.");
        cdsReferenceInfo_ = CdsReferenceInformation();
        cdsReferenceInfo_->fromXML(tmp);
        creditCurveId_ = cdsReferenceInfo_->id();
    }
 
    bool zeroWeightOrZeroNotional = false;
    if (auto notionalNode = XMLUtils::getChildNode(node, "Notional")) {
        weightInsteadOfNotional_ = false;
        notional_ = parseReal(XMLUtils::getNodeValue(notionalNode));
        currency_ = XMLUtils::getChildValue(node, "Currency", true);
        if (close(notional_, 0.0))
            zeroWeightOrZeroNotional = true;
    } else {
        auto weightNode = XMLUtils::getChildNode(node, "Weight");
        QL_REQUIRE(weightNode, "a 'Notional' or 'Weight' node is mandatory.");
        weightInsteadOfNotional_ = true;
        weight_ = parseReal(XMLUtils::getNodeValue(weightNode));
        if (close(weight_, 0.0))
            zeroWeightOrZeroNotional = true;
        currency_ = "";
    }
    if (zeroWeightOrZeroNotional) {
        priorNotional_ = Null<Real>();
        priorWeight_ = Null<Real>();
        if (!weightInsteadOfNotional_) {
            if (auto n = XMLUtils::getChildNode(node, "PriorNotional"))
                priorNotional_ = parseReal(XMLUtils::getNodeValue(n));
        } else {
            if (auto n = XMLUtils::getChildNode(node, "PriorWeight"))
                priorWeight_ = parseReal(XMLUtils::getNodeValue(n));
        }
 
        recovery_ = Null<Real>();
        if (auto n = XMLUtils::getChildNode(node, "RecoveryRate"))
            recovery_ = parseReal(XMLUtils::getNodeValue(n));
 
        auctionDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "AuctionDate"))
            auctionDate_ = parseDate(XMLUtils::getNodeValue(n));
 
        auctionSettlementDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "AuctionSettlementDate"))
            auctionSettlementDate_ = parseDate(XMLUtils::getNodeValue(n));
 
        defaultDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "DefaultDate"))
            defaultDate_ = parseDate(XMLUtils::getNodeValue(n));
 
        eventDeterminationDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "EventDeterminationDate"))
            eventDeterminationDate_ = parseDate(XMLUtils::getNodeValue(n));
    }
    
}

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◆ toXML()

XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 137 of file basketdata.cpp.

                                                               {
 
    XMLNode* node = doc.allocNode("Name");
 
    XMLUtils::addChild(doc, node, "IssuerId", issuerName_);
    if (!qualifier_.empty())
        XMLUtils::addChild(doc, node, "Qualifier", qualifier_);
 
    // We either have reference information or an explicit credit curve ID
    if (cdsReferenceInfo_) {
        XMLUtils::appendNode(node, cdsReferenceInfo_->toXML(doc));
    } else {
        XMLUtils::addChild(doc, node, "CreditCurveId", creditCurveId_);
    }
 
    if (!weightInsteadOfNotional_) {
        XMLUtils::addChild(doc, node, "Notional", notional_);
        XMLUtils::addChild(doc, node, "Currency", currency_);
    } else {
        XMLUtils::addChild(doc, node, "Weight", weight_);
    }
 
    if (close(notional_, 0.0) && !weightInsteadOfNotional_) {
 
        if (priorNotional_ != Null<Real>())
            XMLUtils::addChild(doc, node, "PriorNotional", priorNotional_);
 
        if (recovery_ != Null<Real>())
            XMLUtils::addChild(doc, node, "RecoveryRate", recovery_);
 
        if (auctionDate_ != Date())
            XMLUtils::addChild(doc, node, "AuctionDate", to_string(auctionDate_));
 
        if (auctionSettlementDate_ != Date())
            XMLUtils::addChild(doc, node, "AuctionSettlementDate", to_string(auctionSettlementDate_));
 
        if (defaultDate_ != Date())
            XMLUtils::addChild(doc, node, "DefaultDate", to_string(defaultDate_));
 
        if (eventDeterminationDate_ != Date())
            XMLUtils::addChild(doc, node, "EventDeterminationDate", to_string(eventDeterminationDate_));
    } else if (close(weight_, 0.0) && weightInsteadOfNotional_) {
 
        if (priorWeight_ != Null<Real>())
            XMLUtils::addChild(doc, node, "PriorWeight", priorWeight_);
 
        if (recovery_ != Null<Real>())
            XMLUtils::addChild(doc, node, "RecoveryRate", recovery_);
 
        if (auctionDate_ != Date())
            XMLUtils::addChild(doc, node, "AuctionDate", to_string(auctionDate_));
 
        if (auctionSettlementDate_ != Date())
            XMLUtils::addChild(doc, node, "AuctionSettlementDate", to_string(auctionSettlementDate_));
 
        if (defaultDate_ != Date())
            XMLUtils::addChild(doc, node, "DefaultDate", to_string(defaultDate_));
 
        if (eventDeterminationDate_ != Date())
            XMLUtils::addChild(doc, node, "EventDeterminationDate", to_string(eventDeterminationDate_));
    }
 
    return node;
}

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◆ issuerName()

const string & issuerName ( ) const

Definition at line 202 of file basketdata.cpp.

202{ return issuerName_; }

◆ creditCurveId()

const string & creditCurveId ( ) const

Definition at line 204 of file basketdata.cpp.

204{ return creditCurveId_; }

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◆ cdsReferenceInfo()

const boost::optional< CdsReferenceInformation > & cdsReferenceInfo ( ) const

Definition at line 206 of file basketdata.cpp.

                                                                                        {
    return cdsReferenceInfo_;
}

◆ notional()

QuantLib::Real notional ( ) const

Definition at line 210 of file basketdata.cpp.

                                               {
    QL_REQUIRE(!weightInsteadOfNotional_, "Try to access notional from basket constituent "
                                                        << issuerName_ << ", but weight (w=" << weight_
                                                        << ") was given.");
    return notional_;
}

◆ currency()

const string & currency ( ) const

Definition at line 216 of file basketdata.cpp.

                                                { 
    QL_REQUIRE(!weightInsteadOfNotional_, "Try to access currceny from basket constituent "
                                              << issuerName_ << ", but weight instead of notional given");
    return currency_;
}

◆ priorNotional()

QuantLib::Real priorNotional ( ) const

Definition at line 222 of file basketdata.cpp.

                                                    {
    QL_REQUIRE(!weightInsteadOfNotional_, "Try to access priorNotional from basket constituent "
                                                        << issuerName_ << ", but priorWeight (w=" << priorWeight_
                                                        << ") was given.");
    return priorNotional_;
}

◆ recovery()

Real recovery ( ) const

Definition at line 229 of file basketdata.cpp.

229{ return recovery_; }

◆ weight()

QuantLib::Real weight ( ) const

Definition at line 231 of file basketdata.cpp.

                                             {
    QL_REQUIRE(weightInsteadOfNotional_, "Try to access weight from basket constituent "
                                                      << issuerName_ << ", but notional (N=" << notional_ << " "
                                                      << currency_ << ") was given.");
    return weight_;
}

◆ priorWeight()

QuantLib::Real priorWeight ( ) const

Definition at line 238 of file basketdata.cpp.

                                                  {
    QL_REQUIRE(weightInsteadOfNotional_, "Try to access priorWeight from basket constituent "
                                                      << issuerName_ << ", but priorNotional (N=" << priorNotional_ << " "
                                                      << currency_ << ") was given.");
    return priorWeight_;
}

◆ auctionDate()

const Date & auctionDate ( ) const

Definition at line 245 of file basketdata.cpp.

245{ return auctionDate_; }

◆ auctionSettlementDate()

const Date & auctionSettlementDate ( ) const

Definition at line 247 of file basketdata.cpp.

247{ return auctionSettlementDate_; }

◆ defaultDate()

const Date & defaultDate ( ) const

Definition at line 249 of file basketdata.cpp.

249{ return defaultDate_; }

◆ eventDeterminationDate()

const Date & eventDeterminationDate ( ) const

Definition at line 251 of file basketdata.cpp.

251{ return eventDeterminationDate_; }

◆ weightInsteadOfNotional()

bool weightInsteadOfNotional ( ) const

Definition at line 253 of file basketdata.cpp.

253{ return weightInsteadOfNotional_; }

Member Data Documentation

◆ issuerName_

std::string issuerName_

private

Definition at line 99 of file basketdata.hpp.

◆ cdsReferenceInfo_

boost::optional<ore::data::CdsReferenceInformation> cdsReferenceInfo_

private

Definition at line 100 of file basketdata.hpp.

◆ creditCurveId_

std::string creditCurveId_

private

Definition at line 101 of file basketdata.hpp.

◆ notional_

QuantLib::Real notional_

private

Definition at line 102 of file basketdata.hpp.

◆ currency_

std::string currency_

private

Definition at line 103 of file basketdata.hpp.

◆ qualifier_

std::string qualifier_

private

Definition at line 104 of file basketdata.hpp.

◆ priorNotional_

QuantLib::Real priorNotional_

private

Definition at line 105 of file basketdata.hpp.

◆ weight_

QuantLib::Real weight_

private

Definition at line 106 of file basketdata.hpp.

◆ priorWeight_

QuantLib::Real priorWeight_

private

Definition at line 107 of file basketdata.hpp.

◆ recovery_

QuantLib::Real recovery_

private

Definition at line 108 of file basketdata.hpp.

◆ auctionDate_

QuantLib::Date auctionDate_

private

Definition at line 109 of file basketdata.hpp.

◆ auctionSettlementDate_

QuantLib::Date auctionSettlementDate_

private

Definition at line 110 of file basketdata.hpp.

◆ defaultDate_

QuantLib::Date defaultDate_

private

Definition at line 111 of file basketdata.hpp.

◆ eventDeterminationDate_

QuantLib::Date eventDeterminationDate_

private

Definition at line 112 of file basketdata.hpp.

◆ weightInsteadOfNotional_

bool weightInsteadOfNotional_

private

Definition at line 113 of file basketdata.hpp.

Public Member Functions

Inspectors

Detailed Description

Constructor & Destructor Documentation

◆ BasketConstituent() [1/4]

◆ BasketConstituent() [2/4]

◆ BasketConstituent() [3/4]

◆ BasketConstituent() [4/4]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ issuerName()

◆ creditCurveId()

◆ cdsReferenceInfo()

◆ notional()

◆ currency()

◆ priorNotional()

◆ recovery()

◆ weight()

◆ priorWeight()

◆ auctionDate()

◆ auctionSettlementDate()

◆ defaultDate()

◆ eventDeterminationDate()

◆ weightInsteadOfNotional()

Member Data Documentation

◆ issuerName_

◆ cdsReferenceInfo_

◆ creditCurveId_

◆ notional_

◆ currency_

◆ qualifier_

◆ priorNotional_

◆ weight_

◆ priorWeight_

◆ recovery_

◆ auctionDate_

◆ auctionSettlementDate_

◆ defaultDate_

◆ eventDeterminationDate_

◆ weightInsteadOfNotional_