CDSEngineKey Class Reference

#include <ored/portfolio/builders/creditdefaultswap.hpp>

Collaboration diagram for CDSEngineKey:

Public Member Functions
	CDSEngineKey (const std::string &creditCurveId, const QuantLib::Currency &ccy, QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >())
const std::string &	creditCurveId () const
	Return the credit curve Id. More...
const QuantLib::Currency &	currency () const
	Return the currency. More...
QuantLib::Real	recoveryRate () const
	Return the recovery rate if it is set, otherwise Null<Real>() More...

Private Attributes
std::string	creditCurveId_
QuantLib::Currency	ccy_
QuantLib::Real	recoveryRate_

Detailed Description

This class provides a key with which we will cache the CDS engine builders

In general, the CDS engine builders will be cached by the credit curve Id of the reference entity and the currency of the trade that needs to be priced. If we are caching by credit curve Id and currency only, the recovery rate member should be Null<Real>().

In some cases, for fixed recovery CDS trades for example, we need to cache the CDS engine builder not only by credit curve Id and currency but also with an exogenous recovery rate that we wish to use instead of the market supplied recovery rate.

Definition at line 51 of file creditdefaultswap.hpp.

Constructor & Destructor Documentation

CDSEngineKey()

CDSEngineKey	(	const std::string &	creditCurveId,
		const QuantLib::Currency &	ccy,
		QuantLib::Real	recoveryRate = QuantLib::Null<QuantLib::Real>()
	)

Constructor that takes a credit curve Id, creditCurveId, a currency, ccy, and optionally a recovery rate, recoveryRate.

Definition at line 56 of file creditdefaultswap.hpp.

        : creditCurveId_(creditCurveId), ccy_(ccy), recoveryRate_(recoveryRate) {}

Member Function Documentation

creditCurveId()

const std::string & creditCurveId

(

)

const

Return the credit curve Id.

Definition at line 61 of file creditdefaultswap.hpp.

{ return creditCurveId_; }

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currency()

const QuantLib::Currency & currency

(

)

const

Return the currency.

Definition at line 64 of file creditdefaultswap.hpp.

{ return ccy_; }

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recoveryRate()

QuantLib::Real recoveryRate

(

)

const

Return the recovery rate if it is set, otherwise Null<Real>()

Definition at line 67 of file creditdefaultswap.hpp.

{ return recoveryRate_; }

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Member Data Documentation

creditCurveId_

std::string creditCurveId_

private

Definition at line 70 of file creditdefaultswap.hpp.

ccy_

QuantLib::Currency ccy_

private

Definition at line 71 of file creditdefaultswap.hpp.

recoveryRate_

QuantLib::Real recoveryRate_

private

Definition at line 72 of file creditdefaultswap.hpp.