#include <ored/portfolio/cbo.hpp>

Inheritance diagram for CBO:

Collaboration diagram for CBO:

Public Member Functions
	CBO ()

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Bond names. More...

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

std::string	notionalCurrency () const override

std::string	investedTrancheName ()

const BondBasket &	bondBasketData ()

double	underlyingMultiplier ()

Public Member Functions inherited from Trade
	Trade ()
	Default constructor. More...

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor. More...

virtual	~Trade ()
	Default destructor. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0

virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const

const RequiredFixings &	requiredFixings () const

virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const

void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade. More...

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values. More...

string &	id ()
	Set the trade id. More...

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info. More...

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions. More...

const string &	id () const

const string &	tradeType () const

const Envelope &	envelope () const

const set< string > &	portfolioIds () const

const TradeActions &	tradeActions () const

const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const

const std::vector< QuantLib::Leg > &	legs () const

const std::vector< string > &	legCurrencies () const

const std::vector< bool > &	legPayers () const

const string &	npvCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum. More...

virtual const std::map< std::string, boost::any > &	additionalData () const
	returns all additional data returned by the trade once built More...

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set. More...

virtual bool	hasCashflows () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

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...

Protected Attributes
std::map< std::string, std::set< Date > >	fixings_

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Private Member Functions
void	populateFromCboReferenceData (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager)

void	populateFromCboReferenceData (const QuantLib::ext::shared_ptr< CboReferenceDatum > &cboReferenceDatum)

void	validateCbo ()

Private Attributes
QuantLib::ext::shared_ptr< QuantExt::BondBasket >	bondbasket_

BondBasket	bondbasketdata_

std::string	feeDayCounter_

std::string	seniorFee_

std::string	subordinatedFee_

std::string	equityKicker_

std::string	ccy_

std::string	reinvestmentEndDate_

std::string	investedTrancheName_

std::vector< QuantLib::ext::shared_ptr< TrancheData > >	trancheData_

ScheduleData	scheduleData_

std::string	daycounter_

std::string	paymentConvention_

double	investedNotional_

std::string	structureId_

double	multiplier_

Additional Inherited Members
Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Detailed Description

Definition at line 71 of file cbo.hpp.

Constructor & Destructor Documentation

◆ CBO()

CBO ( )

Definition at line 73 of file cbo.hpp.

73: Trade("CBO") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

Member Function Documentation

◆ underlyingIndices()

std::map< AssetClass, std::set< std::string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager = nullptr ) const

overridevirtual

Add underlying Bond names.

Reimplemented from Trade.

Definition at line 246 of file cbo.cpp.

                                                                                                    {
    return bondbasketdata_.underlyingIndices(referenceDataManager);
}

◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & )

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

Definition at line 36 of file cbo.cpp.

                                                                         {
    DLOG("CBO::build() called for trade " << id());
 
    // ISDA taxonomy: not a derivative, but define the asset class at least
    // so that we can determine a TRS asset class that has CBO underlyings
    additionalData_["isdaAssetClass"] = string("Credit");
    additionalData_["isdaBaseProduct"] = string("");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    requiredFixings_.clear();
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("CBO");
 
    populateFromCboReferenceData(engineFactory->referenceData());
    validateCbo();
 
    Schedule schedule = makeSchedule(scheduleData_);
 
    bondbasket_ = bondbasketdata_.build(engineFactory, parseCurrency(ccy_), reinvestmentEndDate_);
    requiredFixings_.addData(bondbasketdata_.requiredFixings());
 
    vector<QuantExt::Tranche> tranches;
    size_t investCount = 0;
    size_t idx = 0;
    multiplier_ = 1.0;
    for(size_t i = 0; i < trancheData_.size(); i++){
 
        QuantExt::Tranche tranche;
 
        tranche.name = trancheData_[i]->name();;
        tranche.faceAmount = trancheData_[i]->faceAmount();
        tranche.icRatio = trancheData_[i]->icRatio();
        tranche.ocRatio = trancheData_[i]->ocRatio();
 
        LegData legdata = LegData();
        legdata.notionals() = {trancheData_[i]->faceAmount()};
        legdata.schedule() = scheduleData_;
        legdata.dayCounter() = daycounter_;
        legdata.concreteLegData() = trancheData_[i]->concreteLegData();
        legdata.paymentConvention() = paymentConvention_;
 
        auto legBuilder = engineFactory->legBuilder(trancheData_[i]->concreteLegData()->legType());
        RequiredFixings requiredFixingsLeg;
        auto configuration = builder->configuration(MarketContext::pricing);
        Leg leg = legBuilder->buildLeg(legdata, engineFactory, requiredFixingsLeg, configuration);
        tranche.leg = leg;
 
        requiredFixings_.addData(requiredFixingsLeg);
        tranches.push_back(tranche);
 
        //check if invested tranche
        if(tranche.name == investedTrancheName_){
            idx = i; //Set for leg output
            multiplier_ = investedNotional_ / tranche.faceAmount;
            if(multiplier_ > 1.0)
                ALOG("Ratio bigger than 1 : investment=" << investedNotional_ << " vs. faceAmount=" << tranche.faceAmount);
            investCount++;
        }
    }
    //check if tranche name could be found...
    QL_REQUIRE(investCount == 1, "Could not assign CBOInvestment TrancheName " << investedTrancheName_ << " to Names of CBOTranches.");
 
    // CHECK DATES BONDS vs TRANCHES
    Date longestBondDate = Settings::instance().evaluationDate();
    for (const auto& bond : bondbasket_->bonds()) {
        Date bondMat = bond.second->maturityDate();
        if (bondMat > longestBondDate)
            longestBondDate = bondMat;
    }
    QL_REQUIRE(schedule.endDate() > longestBondDate, " Tranche Maturity should be after Bond Maturity: Bond "
                                                          << longestBondDate << " vs. Tranche " << schedule.endDate());
 
    // set QuantExt instrument
    QuantLib::ext::shared_ptr<QuantExt::CBO> cbo =
        QuantLib::ext::make_shared<QuantExt::CBO>(bondbasket_, schedule, parseReal(seniorFee_), parseDayCounter(feeDayCounter_),
                                          tranches, parseReal(subordinatedFee_), parseReal(equityKicker_),
                                          parseCurrency(ccy_), investedTrancheName_);
    // set pricing engine...
    QuantLib::ext::shared_ptr<CboMCEngineBuilder> cboBuilder = QuantLib::ext::dynamic_pointer_cast<CboMCEngineBuilder>(builder);
    QL_REQUIRE(cboBuilder, "No Builder found for CBO: " << id());
    cbo->setPricingEngine(cboBuilder->engine(bondbasket_->pool()));
    setSensitivityTemplate(*cboBuilder);
    instrument_.reset(new VanillaInstrument(cbo, multiplier_));
 
    maturity_ = schedule.endDate();
    npvCurrency_ = ccy_;
    notional_ = investedNotional_;
    legs_ = vector<QuantLib::Leg>(1, tranches[idx].leg);
    legCurrencies_ = vector<string>(1, ccy_);
    legPayers_ = vector<bool>(1, false);
 
    // sensitivity...
    for (const auto& bond : bondBasketData().bonds()) {
        cbo->registerWith(securitySpecificCreditCurve(market, bond->bondData().securityId(),
                                                      bond->bondData().creditCurveId()));
        cbo->registerWith(bond->instrument()->qlInstrument());
 
        // to capture floater...
        Leg bondleg = bond->legs().front();
        for (auto const& c : bondleg)
            cbo->registerWith(c);
    }
 
    std::map<string, QuantLib::ext::shared_ptr<QuantExt::FxIndex>> fxIndexMap = bondbasket_->fxIndexMap();
    std::map<string, QuantLib::ext::shared_ptr<QuantExt::FxIndex>>::iterator it;
    for (it = fxIndexMap.begin(); it != fxIndexMap.end(); ++it)
        cbo->registerWith(it->second);
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 160 of file cbo.cpp.

                               {
 
    Trade::fromXML(node);
    XMLNode* cboData = XMLUtils::getChildNode(node, "CBOData");
    QL_REQUIRE(cboData, "expected node CBOData");
 
    //investment
    XMLNode* cboInvestment = XMLUtils::getChildNode(cboData, "CBOInvestment");
    QL_REQUIRE(cboInvestment, "expected node CBOInvestment");
 
    investedTrancheName_ = XMLUtils::getChildValue(cboInvestment, "TrancheName", true);
    investedNotional_ = XMLUtils::getChildValueAsDouble(cboInvestment, "Notional", true);
    structureId_ = XMLUtils::getChildValue(cboInvestment, "StructureId", true);
 
    //structure
    XMLNode* cboStructure = XMLUtils::getChildNode(cboData, "CBOStructure");
    //QL_REQUIRE(cboStructure, "expected node CBOStructure");
    if(cboStructure){
        daycounter_ = XMLUtils::getChildValue(cboStructure, "DayCounter", false);
        paymentConvention_ = XMLUtils::getChildValue(cboStructure, "PaymentConvention", false);
        ccy_ = XMLUtils::getChildValue(cboStructure, "Currency", false);
        seniorFee_ = XMLUtils::getChildValue(cboStructure, "SeniorFee", false);
        subordinatedFee_ = XMLUtils::getChildValue(cboStructure, "SubordinatedFee", false);
        equityKicker_ = XMLUtils::getChildValue(cboStructure, "EquityKicker", false);
        feeDayCounter_ = XMLUtils::getChildValue(cboStructure, "FeeDayCounter", false);
        reinvestmentEndDate_ = XMLUtils::getChildValue(cboStructure, "ReinvestmentEndDate", false, "");
 
        scheduleData_ = ScheduleData();
        XMLNode* scheduleData = XMLUtils::getChildNode(cboStructure, "ScheduleData");
        if (scheduleData)
            scheduleData_.fromXML(scheduleData);
 
        bondbasketdata_.clear();
        XMLNode* bondbasketNode = XMLUtils::getChildNode(cboStructure, "BondBasketData");
        if(bondbasketNode)
            bondbasketdata_.fromXML(bondbasketNode);
 
        trancheData_.clear();
        XMLNode* tranchesNode = XMLUtils::getChildNode(cboStructure, "CBOTranches");
        if(tranchesNode){
            for (XMLNode* child = XMLUtils::getChildNode(tranchesNode, "Tranche"); child; child = XMLUtils::getNextSibling(child)) {
                auto data = QuantLib::ext::make_shared<ore::data::TrancheData>();
                data->fromXML(child);
                trancheData_.push_back(data);
            }
        }
    }
 
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 210 of file cbo.cpp.

                                                 {
 
    XMLNode* node = Trade::toXML(doc);
    XMLNode* cboData = doc.allocNode("CBOData");
    XMLUtils::appendNode(node, cboData);
 
    XMLNode* cboInvestment = doc.allocNode("CBOInvestment");
    XMLUtils::appendNode(cboData, cboInvestment);
    XMLUtils::addChild(doc, cboInvestment, "TrancheName", investedTrancheName_);
    XMLUtils::addChild(doc, cboInvestment, "Notional", investedNotional_);
    XMLUtils::addChild(doc, cboInvestment, "StructureId", structureId_);
 
    XMLNode* cboStructure = doc.allocNode("CBOStructure");
    XMLUtils::appendNode(cboData, cboStructure);
    XMLUtils::addChild(doc, cboStructure, "DayCounter", daycounter_);
    XMLUtils::addChild(doc, cboStructure, "PaymentConvention", paymentConvention_);
    XMLUtils::addChild(doc, cboStructure, "Currency", ccy_);
    XMLUtils::addChild(doc, cboStructure, "SeniorFee", seniorFee_);
    XMLUtils::addChild(doc, cboStructure, "SubordinatedFee", subordinatedFee_);
    XMLUtils::addChild(doc, cboStructure, "EquityKicker", equityKicker_);
    XMLUtils::addChild(doc, cboStructure, "FeeDayCounter", feeDayCounter_);
    XMLUtils::addChild(doc, cboStructure, "ReinvestmentEndDate", reinvestmentEndDate_);
 
    XMLUtils::appendNode(cboStructure, scheduleData_.toXML(doc));
    XMLUtils::appendNode(cboStructure, bondbasketdata_.toXML(doc));
 
    XMLNode* cboTranches = doc.allocNode("CBOTranches");
    XMLUtils::appendNode(cboStructure, cboTranches);
    for(size_t i = 0; i < trancheData_.size(); i++)
        XMLUtils::appendNode(cboTranches, trancheData_[i]->toXML(doc));
 
    return node;
 
}

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◆ notional()

QuantLib::Real notional ( ) const

overridevirtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

Definition at line 83 of file cbo.hpp.

83{ return notional_; }

◆ notionalCurrency()

std::string notionalCurrency ( ) const

overridevirtual

Reimplemented from Trade.

Definition at line 84 of file cbo.hpp.

84{ return ccy_; }

◆ investedTrancheName()

std::string investedTrancheName ( )

Definition at line 86 of file cbo.hpp.

86{ return investedTrancheName_; };

◆ bondBasketData()

const BondBasket & bondBasketData ( )

Definition at line 87 of file cbo.hpp.

87{ return bondbasketdata_; }

◆ underlyingMultiplier()

double underlyingMultiplier ( )

Definition at line 88 of file cbo.hpp.

88{ return multiplier_; }

◆ populateFromCboReferenceData() [1/2]

void populateFromCboReferenceData ( const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager )

private

Definition at line 147 of file cbo.cpp.

                                                                                                             {
 
    QL_REQUIRE(!structureId_.empty(), "CBO::populateFromCboReferenceDat(): no structure id given");
    if (!referenceDataManager || !referenceDataManager->hasData(CboReferenceDatum::TYPE, structureId_)) {
        DLOG("Could not get CboReferenceDatum for Id " << structureId_ << " leave data in trade unchanged");
     } else {
        auto cboRefData = QuantLib::ext::dynamic_pointer_cast<CboReferenceDatum>(
            referenceDataManager->getData(CboReferenceDatum::TYPE, structureId_));
        QL_REQUIRE(cboRefData, "could not cast to CboReferenceDatum, this is unexpected");
        populateFromCboReferenceData(cboRefData);
    }
}

◆ populateFromCboReferenceData() [2/2]

void populateFromCboReferenceData ( const QuantLib::ext::shared_ptr< CboReferenceDatum > & cboReferenceDatum )

private

Definition at line 365 of file cbo.cpp.

                                                                                                       {
 
    DLOG("populating data cbo from reference data");
    QL_REQUIRE(cboReferenceDatum, "populateFromCboReferenceData(): empty cbo reference datum given");
 
    if (seniorFee_.empty()) {
        seniorFee_ = cboReferenceDatum->cbostructure().seniorFee;
        TLOG("overwrite SeniorFee with '" << seniorFee_ << "'");
    }
 
    if (subordinatedFee_.empty()) {
        subordinatedFee_ = cboReferenceDatum->cbostructure().subordinatedFee;
        TLOG("overwrite SubordinatedFee with '" << subordinatedFee_ << "'");
    }
 
    if (equityKicker_.empty()) {
        equityKicker_ = cboReferenceDatum->cbostructure().equityKicker;
        TLOG("overwrite EquityKicker with '" << equityKicker_ << "'");
    }
 
    if (feeDayCounter_.empty()) {
        feeDayCounter_ = cboReferenceDatum->cbostructure().feeDayCounter;
        TLOG("overwrite FeeDayCounter with '" << feeDayCounter_ << "'");
    }
 
    if (ccy_.empty()) {
        ccy_ = cboReferenceDatum->cbostructure().ccy;
        TLOG("overwrite currency with '" << ccy_ << "'");
    }
 
    if (reinvestmentEndDate_.empty()) {
        reinvestmentEndDate_ = cboReferenceDatum->cbostructure().reinvestmentEndDate;
        TLOG("overwrite ReinvestmentEndDate with '" << reinvestmentEndDate_ << "'");
    }
 
    if (daycounter_.empty()) {
        daycounter_ = cboReferenceDatum->cbostructure().daycounter;
        TLOG("overwrite DayCounter with '" << daycounter_ << "'");
    }
 
    if (paymentConvention_.empty()) {
        paymentConvention_ = cboReferenceDatum->cbostructure().paymentConvention;
        TLOG("overwrite PaymentConvention with '" << paymentConvention_ << "'");
    }
 
    if (!scheduleData_.hasData()) {
        scheduleData_ = cboReferenceDatum->cbostructure().scheduleData;
        TLOG("overwrite ScheduleData");
    }
 
    if (bondbasketdata_.empty()) {
        bondbasketdata_ = cboReferenceDatum->cbostructure().bondbasketdata;
        TLOG("overwrite BondBasketData");
    }
 
    if (trancheData_.empty()) {
        trancheData_ = cboReferenceDatum->cbostructure().trancheData;
        TLOG("overwrite TrancheData");
    }
 
}

◆ validateCbo()

void validateCbo ( )

private

Definition at line 427 of file cbo.cpp.

                     {
 
    //Check for mandatroy fields
    //reinvestmentEndDate_ not required
    //TrancheName, Notional, StructuredID already checked in fromXML
 
    std::string missing = "";
 
    if (seniorFee_.empty())
        missing.append("SeniorFee ");
 
    if (subordinatedFee_.empty())
        missing.append("SubordinatedFee ");
 
    if (equityKicker_.empty())
        missing.append("EquityKicker ");
 
    if (feeDayCounter_.empty())
        missing.append("FeeDayCounter ");
 
    if (ccy_.empty())
        missing.append("Currency ");
 
    if (daycounter_.empty())
        missing.append("DayCounter ");
 
    if (paymentConvention_.empty())
        missing.append("PaymentConvention ");
 
    if (!scheduleData_.hasData())
        missing.append("ScheduleData ");
 
    if (bondbasketdata_.empty())
         missing.append("BondBasketData ");
 
    if (trancheData_.empty())
        missing.append("TrancheData ");
 
    if(!missing.empty())
        QL_FAIL("CBO " << structureId_ << " expects " + missing +"elements");
 
}

Member Data Documentation

◆ fixings_

std::map<std::string, std::set<Date> > fixings_

protected

Definition at line 91 of file cbo.hpp.

◆ bondbasket_

QuantLib::ext::shared_ptr<QuantExt::BondBasket> bondbasket_

private

Definition at line 99 of file cbo.hpp.

◆ bondbasketdata_

BondBasket bondbasketdata_

private

Definition at line 100 of file cbo.hpp.

◆ feeDayCounter_

std::string feeDayCounter_

private

Definition at line 101 of file cbo.hpp.

◆ seniorFee_

std::string seniorFee_

private

Definition at line 102 of file cbo.hpp.

◆ subordinatedFee_

std::string subordinatedFee_

private

Definition at line 103 of file cbo.hpp.

◆ equityKicker_

std::string equityKicker_

private

Definition at line 104 of file cbo.hpp.

◆ ccy_

std::string ccy_

private

Definition at line 105 of file cbo.hpp.

◆ reinvestmentEndDate_

std::string reinvestmentEndDate_

private

Definition at line 106 of file cbo.hpp.

◆ investedTrancheName_

std::string investedTrancheName_

private

Definition at line 107 of file cbo.hpp.

◆ trancheData_

std::vector<QuantLib::ext::shared_ptr<TrancheData> > trancheData_

private

Definition at line 108 of file cbo.hpp.

◆ scheduleData_

ScheduleData scheduleData_

private

Definition at line 109 of file cbo.hpp.

◆ daycounter_

std::string daycounter_

private

Definition at line 110 of file cbo.hpp.

◆ paymentConvention_

std::string paymentConvention_

private

Definition at line 111 of file cbo.hpp.

◆ investedNotional_

double investedNotional_

private

Definition at line 112 of file cbo.hpp.

◆ structureId_

std::string structureId_

private

Definition at line 113 of file cbo.hpp.

◆ multiplier_

double multiplier_

private

Definition at line 114 of file cbo.hpp.

Public Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CBO()

Member Function Documentation

◆ underlyingIndices()

◆ build()

◆ fromXML()

◆ toXML()

◆ notional()

◆ notionalCurrency()

◆ investedTrancheName()

◆ bondBasketData()

◆ underlyingMultiplier()

◆ populateFromCboReferenceData() [1/2]

◆ populateFromCboReferenceData() [2/2]

◆ validateCbo()

Member Data Documentation

◆ fixings_

◆ bondbasket_

◆ bondbasketdata_

◆ feeDayCounter_

◆ seniorFee_

◆ subordinatedFee_

◆ equityKicker_

◆ ccy_

◆ reinvestmentEndDate_

◆ investedTrancheName_

◆ trancheData_

◆ scheduleData_

◆ daycounter_

◆ paymentConvention_

◆ investedNotional_

◆ structureId_

◆ multiplier_