Serializable CPI Leg Data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for CPILegData:

Collaboration diagram for CPILegData:

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

	CPILegData (string index, string startDate, double baseCPI, string observationLag, string interpolation, const vector< double > &rates, const vector< string > &rateDates=std::vector< string >(), bool subtractInflationNominal=true, const vector< double > &caps=vector< double >(), const vector< string > &capDates=vector< string >(), const vector< double > &floors=vector< double >(), const vector< string > &floorDates=vector< string >(), double finalFlowCap=Null< Real >(), double finalFlowFloor=Null< Real >(), bool nakedOption=false, bool subtractInflationNominalCoupons=false)
	Constructor. More...

Inspectors
const string &	index () const

const string &	startDate () const

double	baseCPI () const

const string &	observationLag () const

const string &	interpolation () const

const std::vector< double > &	rates () const

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

bool	subtractInflationNominal () const

const vector< double > &	caps () const

const vector< string > &	capDates () const

const vector< double > &	floors () const

const vector< string > &	floorDates () const

double	finalFlowCap () const

double	finalFlowFloor () const

bool	nakedOption () const

bool	subtractInflationNominalCoupons () const

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	index_

string	startDate_

double	baseCPI_

string	observationLag_

string	interpolation_

vector< double >	rates_

vector< string >	rateDates_

bool	subtractInflationNominal_

vector< double >	caps_

vector< string >	capDates_

vector< double >	floors_

vector< string >	floorDates_

double	finalFlowCap_

double	finalFlowFloor_

bool	nakedOption_

bool	subtractInflationNominalCoupons_

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 CPI Leg Data.

Definition at line 281 of file legdata.hpp.

Constructor & Destructor Documentation

◆ CPILegData() [1/2]

CPILegData ( )

Default constructor.

Definition at line 284 of file legdata.hpp.

284: LegAdditionalData("CPI") {}

ore::data::LegAdditionalData::LegAdditionalData

LegAdditionalData(const string &legType, const string &legNodeName)

Definition: legdata.hpp:65

◆ CPILegData() [2/2]

CPILegData	(	string	index,
		string	startDate,
		double	baseCPI,
		string	observationLag,
		string	interpolation,
		const vector< double > &	rates,
		const vector< string > &	rateDates = `std::vector<string>()`,
		bool	subtractInflationNominal = `true`,
		const vector< double > &	caps = `vector<double>()`,
		const vector< string > &	capDates = `vector<string>()`,
		const vector< double > &	floors = `vector<double>()`,
		const vector< string > &	floorDates = `vector<string>()`,
		double	finalFlowCap = `Null<Real>()`,
		double	finalFlowFloor = `Null<Real>()`,
		bool	nakedOption = `false`,
		bool	subtractInflationNominalCoupons = `false`
	)

Constructor.

Definition at line 286 of file legdata.hpp.

        : LegAdditionalData("CPI"), index_(index), startDate_(startDate), baseCPI_(baseCPI),
          observationLag_(observationLag), interpolation_(interpolation), rates_(rates), rateDates_(rateDates),
          subtractInflationNominal_(subtractInflationNominal), caps_(caps), capDates_(capDates), floors_(floors),
          floorDates_(floorDates), finalFlowCap_(finalFlowCap), finalFlowFloor_(finalFlowFloor),
          nakedOption_(nakedOption), subtractInflationNominalCoupons_(subtractInflationNominalCoupons) {
        indices_.insert(index_);
    }

Member Function Documentation

◆ index()

const string & index ( ) const

Definition at line 303 of file legdata.hpp.

303{ return index_; }

◆ startDate()

const string & startDate ( ) const

Definition at line 304 of file legdata.hpp.

304{ return startDate_; }

◆ baseCPI()

double baseCPI ( ) const

Definition at line 305 of file legdata.hpp.

305{ return baseCPI_; }

◆ observationLag()

const string & observationLag ( ) const

Definition at line 306 of file legdata.hpp.

306{ return observationLag_; }

◆ interpolation()

const string & interpolation ( ) const

Definition at line 307 of file legdata.hpp.

307{ return interpolation_; }

◆ rates()

const std::vector< double > & rates ( ) const

Definition at line 308 of file legdata.hpp.

308{ return rates_; }

◆ rateDates()

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

Definition at line 309 of file legdata.hpp.

309{ return rateDates_; }

◆ subtractInflationNominal()

bool subtractInflationNominal ( ) const

Definition at line 310 of file legdata.hpp.

310{ return subtractInflationNominal_; }

◆ caps()

const vector< double > & caps ( ) const

Definition at line 311 of file legdata.hpp.

311{ return caps_; }

◆ capDates()

const vector< string > & capDates ( ) const

Definition at line 312 of file legdata.hpp.

312{ return capDates_; }

◆ floors()

const vector< double > & floors ( ) const

Definition at line 313 of file legdata.hpp.

313{ return floors_; }

◆ floorDates()

const vector< string > & floorDates ( ) const

Definition at line 314 of file legdata.hpp.

314{ return floorDates_; }

◆ finalFlowCap()

double finalFlowCap ( ) const

Definition at line 315 of file legdata.hpp.

315{ return finalFlowCap_; }

◆ finalFlowFloor()

double finalFlowFloor ( ) const

Definition at line 316 of file legdata.hpp.

316{ return finalFlowFloor_; }

◆ nakedOption()

bool nakedOption ( ) const

Definition at line 317 of file legdata.hpp.

317{ return nakedOption_; }

◆ subtractInflationNominalCoupons()

bool subtractInflationNominalCoupons ( ) const

Definition at line 318 of file legdata.hpp.

318{ return subtractInflationNominalCoupons_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 262 of file legdata.cpp.

                                      {
    XMLUtils::checkNode(node, legNodeName());
    index_ = XMLUtils::getChildValue(node, "Index", true);
    startDate_ = XMLUtils::getChildValue(node, "StartDate", false);
    indices_.insert(index_);
    baseCPI_ = XMLUtils::getChildValueAsDouble(node, "BaseCPI", false, QuantLib::Null<QuantLib::Real>());
    observationLag_ = XMLUtils::getChildValue(node, "ObservationLag", false, "");
    // for backwards compatibility only
    if (auto c = XMLUtils::getChildNode(node, "Interpolated")) {
        QL_REQUIRE(XMLUtils::getChildNode(node, "Interpolation") == nullptr,
                   "can not have both Interpolated and Interpolation node in CPILegData");
        interpolation_ = parseBool(XMLUtils::getNodeValue(c)) ? "Linear" : "Flat";
    } else {
        interpolation_ = XMLUtils::getChildValue(node, "Interpolation", false, "");
    }
    XMLNode* subNomNode = XMLUtils::getChildNode(node, "SubtractInflationNotional");
    if (subNomNode)
        subtractInflationNominal_ = XMLUtils::getChildValueAsBool(node, "SubtractInflationNotional", true);
    else
        subtractInflationNominal_ = false;
 
    XMLNode* subNomCpnsNode = XMLUtils::getChildNode(node, "SubtractInflationNotionalAllCoupons");
    if (subNomCpnsNode)
        subtractInflationNominalCoupons_ =
            XMLUtils::getChildValueAsBool(node, "SubtractInflationNotionalAllCoupons", true);
    else
        subtractInflationNominalCoupons_ = false;
 
    rates_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Rates", "Rate", "startDate", rateDates_, &parseReal,
                                                             true);
    caps_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Caps", "Cap", "startDate", capDates_, &parseReal);
    floors_ =
        XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Floors", "Floor", "startDate", floorDates_, &parseReal);
 
    finalFlowCap_ = Null<Real>();
    if (auto n = XMLUtils::getChildNode(node, "FinalFlowCap")) {
        string v = XMLUtils::getNodeValue(n);
        if (!v.empty())
            finalFlowCap_ = parseReal(XMLUtils::getNodeValue(n));
    }
 
    finalFlowFloor_ = Null<Real>();
    if (auto n = XMLUtils::getChildNode(node, "FinalFlowFloor")) {
        string v = XMLUtils::getNodeValue(n);
        if (!v.empty())
            finalFlowFloor_ = parseReal(XMLUtils::getNodeValue(n));
    }
 
    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 316 of file legdata.cpp.

                                                 {
    XMLNode* node = doc.allocNode(legNodeName());
    XMLUtils::addChild(doc, node, "Index", index_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Rates", "Rate", rates_, "startDate", rateDates_);
    if (baseCPI_ != Null<Real>()) {
        XMLUtils::addChild(doc, node, "BaseCPI", baseCPI_);
    }
    XMLUtils::addChild(doc, node, "StartDate", startDate_);
    if (!observationLag_.empty()) {
        XMLUtils::addChild(doc, node, "ObservationLag", observationLag_);
    }
    if (!interpolation_.empty()) {
       XMLUtils::addChild(doc, node, "Interpolation", interpolation_);
    }
    XMLUtils::addChild(doc, node, "SubtractInflationNotional", subtractInflationNominal_);
    XMLUtils::addChild(doc, node, "SubtractInflationNotionalAllCoupons", subtractInflationNominalCoupons_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Caps", "Cap", caps_, "startDate", capDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Floors", "Floor", floors_, "startDate", floorDates_);
    if (finalFlowCap_ != Null<Real>())
        XMLUtils::addChild(doc, node, "FinalFlowCap", finalFlowCap_);
    if (finalFlowFloor_ != Null<Real>())
        XMLUtils::addChild(doc, node, "FinalFlowFloor", finalFlowFloor_);
    XMLUtils::addChild(doc, node, "NakedOption", nakedOption_);
    return node;
}

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Member Data Documentation

◆ index_

string index_

private

Definition at line 327 of file legdata.hpp.

◆ startDate_

string startDate_

private

Definition at line 328 of file legdata.hpp.

◆ baseCPI_

double baseCPI_

private

Definition at line 329 of file legdata.hpp.

◆ observationLag_

string observationLag_

private

Definition at line 330 of file legdata.hpp.

◆ interpolation_

string interpolation_

private

Definition at line 331 of file legdata.hpp.

◆ rates_

vector<double> rates_

private

Definition at line 332 of file legdata.hpp.

◆ rateDates_

vector<string> rateDates_

private

Definition at line 333 of file legdata.hpp.

◆ subtractInflationNominal_

bool subtractInflationNominal_

private

Definition at line 334 of file legdata.hpp.

◆ caps_

vector<double> caps_

private

Definition at line 335 of file legdata.hpp.

◆ capDates_

vector<string> capDates_

private

Definition at line 336 of file legdata.hpp.

◆ floors_

vector<double> floors_

private

Definition at line 337 of file legdata.hpp.

◆ floorDates_

vector<string> floorDates_

private

Definition at line 338 of file legdata.hpp.

◆ finalFlowCap_

double finalFlowCap_

private

Definition at line 339 of file legdata.hpp.

◆ finalFlowFloor_

double finalFlowFloor_

private

Definition at line 340 of file legdata.hpp.

◆ nakedOption_

bool nakedOption_

private

Definition at line 341 of file legdata.hpp.

◆ subtractInflationNominalCoupons_

bool subtractInflationNominalCoupons_

private

Definition at line 342 of file legdata.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CPILegData() [1/2]

◆ CPILegData() [2/2]

Member Function Documentation

◆ index()

◆ startDate()

◆ baseCPI()

◆ observationLag()

◆ interpolation()

◆ rates()

◆ rateDates()

◆ subtractInflationNominal()

◆ caps()

◆ capDates()

◆ floors()

◆ floorDates()

◆ finalFlowCap()

◆ finalFlowFloor()

◆ nakedOption()

◆ subtractInflationNominalCoupons()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ index_

◆ startDate_

◆ baseCPI_

◆ observationLag_

◆ interpolation_

◆ rates_

◆ rateDates_

◆ subtractInflationNominal_

◆ caps_

◆ capDates_

◆ floors_

◆ floorDates_

◆ finalFlowCap_

◆ finalFlowFloor_

◆ nakedOption_

◆ subtractInflationNominalCoupons_