CMSLegData Class Reference

Serializable CMS Leg Data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for CMSLegData:

Collaboration diagram for CMSLegData:

Public Member Functions
	CMSLegData ()
	Default constructor. More...
	CMSLegData (const string &swapIndex, Size fixingDays, bool isInArrears, const vector< double > &spreads, const vector< string > &spreadDates=vector< string >(), const vector< double > &caps=vector< double >(), const vector< string > &capDates=vector< string >(), const vector< double > &floors=vector< double >(), const vector< string > &floorDates=vector< string >(), const vector< double > &gearings=vector< double >(), const vector< string > &gearingDates=vector< string >(), bool nakedOption=false)
	Constructor. More...
Inspectors
const string &	swapIndex () const
Size	fixingDays () const
bool	isInArrears () const
const vector< double > &	spreads () const
const vector< string > &	spreadDates () const
const vector< double > &	caps () const
const vector< string > &	capDates () const
const vector< double > &	floors () const
const vector< string > &	floorDates () const
const vector< double > &	gearings () const
const vector< string > &	gearingDates () const
bool	nakedOption () const
Modifiers
vector< double > &	caps ()
vector< string > &	capDates ()
vector< double > &	floors ()
vector< string > &	floorDates ()
bool &	nakedOption ()
Public Member Functions inherited from LegAdditionalData
	LegAdditionalData (const string &legType, const string &legNodeName)
	LegAdditionalData (const string &legType)
const string &	legType () const
const string &	legNodeName () const
const std::set< std::string > &	indices () const
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...

Serialisation
string	swapIndex_
Size	fixingDays_
bool	isInArrears_
vector< double >	spreads_
vector< string >	spreadDates_
vector< double >	caps_
vector< string >	capDates_
vector< double >	floors_
vector< string >	floorDates_
vector< double >	gearings_
vector< string >	gearingDates_
bool	nakedOption_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Attributes inherited from LegAdditionalData
std::set< std::string >	indices_

Detailed Description

Serializable CMS Leg Data.

Definition at line 414 of file legdata.hpp.

Constructor & Destructor Documentation

CMSLegData() [1/2]

CMSLegData

(

)

Default constructor.

Definition at line 417 of file legdata.hpp.

: LegAdditionalData("CMS"), fixingDays_(Null<Size>()), isInArrears_(true), nakedOption_(false) {}

CMSLegData() [2/2]

CMSLegData	(	const string &	swapIndex,
		Size	fixingDays,
		bool	isInArrears,
		const vector< double > &	spreads,
		const vector< string > &	spreadDates = vector<string>(),
		const vector< double > &	caps = vector<double>(),
		const vector< string > &	capDates = vector<string>(),
		const vector< double > &	floors = vector<double>(),
		const vector< string > &	floorDates = vector<string>(),
		const vector< double > &	gearings = vector<double>(),
		const vector< string > &	gearingDates = vector<string>(),
		bool	nakedOption = false
	)

Constructor.

Definition at line 419 of file legdata.hpp.

        : LegAdditionalData("CMS"), swapIndex_(swapIndex), fixingDays_(fixingDays), isInArrears_(isInArrears),
          spreads_(spreads), spreadDates_(spreadDates), caps_(caps), capDates_(capDates), floors_(floors),
          floorDates_(floorDates), gearings_(gearings), gearingDates_(gearingDates), nakedOption_(nakedOption) {
        indices_.insert(swapIndex_);
    }

Member Function Documentation

swapIndex()

const string & swapIndex

(

)

const

Definition at line 432 of file legdata.hpp.

{ return swapIndex_; }

fixingDays()

Size fixingDays

(

)

const

Definition at line 433 of file legdata.hpp.

{ return fixingDays_; }

isInArrears()

bool isInArrears

(

)

const

Definition at line 434 of file legdata.hpp.

{ return isInArrears_; }

spreads()

const vector< double > & spreads

(

)

const

Definition at line 435 of file legdata.hpp.

{ return spreads_; }

spreadDates()

const vector< string > & spreadDates

(

)

const

Definition at line 436 of file legdata.hpp.

{ return spreadDates_; }

caps() [1/2]

const vector< double > & caps

(

)

const

Definition at line 437 of file legdata.hpp.

{ return caps_; }

capDates() [1/2]

const vector< string > & capDates

(

)

const

Definition at line 438 of file legdata.hpp.

{ return capDates_; }

floors() [1/2]

const vector< double > & floors

(

)

const

Definition at line 439 of file legdata.hpp.

{ return floors_; }

floorDates() [1/2]

const vector< string > & floorDates

(

)

const

Definition at line 440 of file legdata.hpp.

{ return floorDates_; }

gearings()

const vector< double > & gearings

(

)

const

Definition at line 441 of file legdata.hpp.

{ return gearings_; }

gearingDates()

const vector< string > & gearingDates

(

)

const

Definition at line 442 of file legdata.hpp.

{ return gearingDates_; }

nakedOption() [1/2]

bool nakedOption

(

)

const

Definition at line 443 of file legdata.hpp.

{ return nakedOption_; }

caps() [2/2]

vector< double > & caps

(

)

Definition at line 448 of file legdata.hpp.

{ return caps_; }

capDates() [2/2]

vector< string > & capDates

(

)

Definition at line 449 of file legdata.hpp.

{ return capDates_; }

floors() [2/2]

vector< double > & floors

(

)

Definition at line 450 of file legdata.hpp.

{ return floors_; }

floorDates() [2/2]

vector< string > & floorDates

(

)

Definition at line 451 of file legdata.hpp.

{ return floorDates_; }

nakedOption() [2/2]

bool & nakedOption

(

)

Definition at line 452 of file legdata.hpp.

{ return nakedOption_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 402 of file legdata.cpp.

                                      {
    XMLUtils::checkNode(node, legNodeName());
    swapIndex_ = XMLUtils::getChildValue(node, "Index", true);
    indices_.insert(swapIndex_);
    // These are all optional
    spreads_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Spreads", "Spread", "startDate", spreadDates_,
                                                               &parseReal);
    XMLNode* arrNode = XMLUtils::getChildNode(node, "IsInArrears");
    if (arrNode)
        isInArrears_ = XMLUtils::getChildValueAsBool(node, "IsInArrears", true);
    else
        isInArrears_ = false; // default to fixing-in-advance
    if (auto n = XMLUtils::getChildNode(node, "FixingDays"))
        fixingDays_ = parseInteger(XMLUtils::getNodeValue(n));
    else
        fixingDays_ = Null<Size>();
    caps_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Caps", "Cap", "startDate", capDates_, &parseReal);
    floors_ =
        XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Floors", "Floor", "startDate", floorDates_, &parseReal);
    gearings_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Gearings", "Gearing", "startDate", gearingDates_,
                                                                &parseReal);
    if (XMLUtils::getChildNode(node, "NakedOption"))
        nakedOption_ = XMLUtils::getChildValueAsBool(node, "NakedOption", false);
    else
        nakedOption_ = false;
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 387 of file legdata.cpp.

                                                 {
    XMLNode* node = doc.allocNode(legNodeName());
    XMLUtils::addChild(doc, node, "Index", swapIndex_);
    XMLUtils::addChild(doc, node, "IsInArrears", isInArrears_);
    if (fixingDays_ != Null<Size>())
        XMLUtils::addChild(doc, node, "FixingDays", static_cast<int>(fixingDays_));
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Caps", "Cap", caps_, "startDate", capDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Floors", "Floor", floors_, "startDate", floorDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Gearings", "Gearing", gearings_, "startDate",
                                                gearingDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Spreads", "Spread", spreads_, "startDate", spreadDates_);
    XMLUtils::addChild(doc, node, "NakedOption", nakedOption_);
    return node;
}

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Member Data Documentation

swapIndex_

string swapIndex_

private

Definition at line 461 of file legdata.hpp.

fixingDays_

Size fixingDays_

private

Definition at line 462 of file legdata.hpp.

isInArrears_

bool isInArrears_

private

Definition at line 463 of file legdata.hpp.

spreads_

vector<double> spreads_

private

Definition at line 464 of file legdata.hpp.

spreadDates_

vector<string> spreadDates_

private

Definition at line 465 of file legdata.hpp.

caps_

vector<double> caps_

private

Definition at line 466 of file legdata.hpp.

capDates_

vector<string> capDates_

private

Definition at line 467 of file legdata.hpp.

floors_

vector<double> floors_

private

Definition at line 468 of file legdata.hpp.

floorDates_

vector<string> floorDates_

private

Definition at line 469 of file legdata.hpp.

gearings_

vector<double> gearings_

private

Definition at line 470 of file legdata.hpp.

gearingDates_

vector<string> gearingDates_

private

Definition at line 471 of file legdata.hpp.

nakedOption_

bool nakedOption_

private

Definition at line 472 of file legdata.hpp.