CollateralBalance Class Reference

#include <ored/portfolio/collateralbalance.hpp>

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Public Member Functions
	CollateralBalance ()
	CollateralBalance (ore::data::XMLNode *node)
	CollateralBalance (const std::string &nettingSetId, const std::string &currency, const QuantLib::Real &im, const QuantLib::Real &vm=QuantLib::Null< QuantLib::Real >())
	CollateralBalance (const NettingSetDetails &nettingSetDetails, const std::string &currency, const QuantLib::Real &im, const QuantLib::Real &vm=QuantLib::Null< QuantLib::Real >())
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override
const std::string &	nettingSetId () const
const NettingSetDetails	nettingSetDetails () const
const std::string &	currency () const
const QuantLib::Real &	initialMargin () const
const QuantLib::Real &	variationMargin () const
QuantLib::Real &	initialMargin ()
QuantLib::Real &	variationMargin ()
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...

Private Attributes
std::string	nettingSetId_
NettingSetDetails	nettingSetDetails_
std::string	currency_
QuantLib::Real	im_
QuantLib::Real	vm_

Detailed Description

Definition at line 36 of file collateralbalance.hpp.

Constructor & Destructor Documentation

CollateralBalance() [1/4]

CollateralBalance

(

)

default constructor

Definition at line 41 of file collateralbalance.hpp.

        : nettingSetId_(""), nettingSetDetails_(NettingSetDetails()), currency_(""), 
          im_(QuantLib::Null<QuantLib::Real>()), vm_(QuantLib::Null<QuantLib::Real>()) {}

CollateralBalance() [2/4]

CollateralBalance

(

ore::data::XMLNode *

node

)

Definition at line 55 of file collateralbalance.cpp.

                                                         { 
    fromXML(node);
}

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CollateralBalance() [3/4]

CollateralBalance	(	const std::string &	nettingSetId,
		const std::string &	currency,
		const QuantLib::Real &	im,
		const QuantLib::Real &	vm = QuantLib::Null<QuantLib::Real>()
	)

Definition at line 47 of file collateralbalance.hpp.

        : nettingSetId_(nettingSetId), nettingSetDetails_(NettingSetDetails()), currency_(currency),
          im_(im), vm_(vm) {}

CollateralBalance() [4/4]

CollateralBalance	(	const NettingSetDetails &	nettingSetDetails,
		const std::string &	currency,
		const QuantLib::Real &	im,
		const QuantLib::Real &	vm = QuantLib::Null<QuantLib::Real>()
	)

Definition at line 52 of file collateralbalance.hpp.

         : nettingSetId_(""), nettingSetDetails_(nettingSetDetails), currency_(currency), im_(im), vm_(vm) {}

Member Function Documentation

fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 80 of file collateralbalance.cpp.

                                             {
    XMLUtils::checkNode(node, "CollateralBalance");
    
    XMLNode* nettingSetDetailsNode = XMLUtils::getChildNode(node, "NettingSetDetails");
    if (nettingSetDetailsNode) {
        nettingSetDetails_.fromXML(nettingSetDetailsNode);
    } else {
        nettingSetId_ = XMLUtils::getChildValue(node, "NettingSetId", false);
        nettingSetDetails_ = NettingSetDetails(nettingSetId_);
    }   
 
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
 
    XMLNode* initialMarginNode = XMLUtils::getChildNode(node, "InitialMargin");
    if (!initialMarginNode || (initialMarginNode && XMLUtils::getNodeValue(initialMarginNode).empty()))
        im_ = QuantLib::Null<QuantLib::Real>();
    else
        im_ = parseReal(XMLUtils::getNodeValue(initialMarginNode));
 
    XMLNode* variationMarginNode = XMLUtils::getChildNode(node, "VariationMargin");
    if (!variationMarginNode || (variationMarginNode && XMLUtils::getNodeValue(variationMarginNode).empty()))
        vm_ = QuantLib::Null<QuantLib::Real>();
    else
        vm_ = parseReal(XMLUtils::getNodeValue(variationMarginNode));
 
    DLOG("Loaded collateral balances for netting set " << nettingSetId());
    DLOG("Currency:           " << currency());
    DLOG("Variation Margin:   " << variationMargin());
    DLOG("Initial Margin:     " << initialMargin());
}

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toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 111 of file collateralbalance.cpp.

                                                        {
    XMLNode* node = doc.allocNode("CollateralBalance");
    XMLUtils::addChild(doc, node, "Currency", currency_);
    if (nettingSetDetails_.empty()) {
        XMLUtils::addChild(doc, node, "NettingSetId", nettingSetId_);
    } else {
        XMLUtils::appendNode(node, nettingSetDetails_.toXML(doc));
    }
    if (im_ != QuantLib::Null<QuantLib::Real>())
        XMLUtils::addChild(doc, node, "InitialMargin", std::round(im_));
    if (vm_ != QuantLib::Null<QuantLib::Real>())
        XMLUtils::addChild(doc, node, "VariationMargin", std::round(vm_));
    return node;
}

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nettingSetId()

const std::string & nettingSetId

(

)

const

Definition at line 60 of file collateralbalance.hpp.

                                          {
        return (nettingSetDetails_.empty() ? nettingSetId_ : nettingSetDetails_.nettingSetId());
    }

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nettingSetDetails()

const NettingSetDetails nettingSetDetails

(

)

const

Definition at line 63 of file collateralbalance.hpp.

{ return nettingSetDetails_; }

currency()

const std::string & currency

(

)

const

Definition at line 64 of file collateralbalance.hpp.

{ return currency_; }

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initialMargin() [1/2]

const QuantLib::Real & initialMargin

(

)

const

Definition at line 65 of file collateralbalance.hpp.

{ return im_; }

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variationMargin() [1/2]

const QuantLib::Real & variationMargin

(

)

const

Definition at line 66 of file collateralbalance.hpp.

{ return vm_; }

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initialMargin() [2/2]

QuantLib::Real & initialMargin

(

)

Definition at line 69 of file collateralbalance.hpp.

{ return im_; }

variationMargin() [2/2]

QuantLib::Real & variationMargin

(

)

Definition at line 70 of file collateralbalance.hpp.

{ return vm_; }

Member Data Documentation

nettingSetId_

std::string nettingSetId_

private

Definition at line 73 of file collateralbalance.hpp.

nettingSetDetails_

NettingSetDetails nettingSetDetails_

private

Definition at line 74 of file collateralbalance.hpp.

currency_

std::string currency_

private

Definition at line 75 of file collateralbalance.hpp.

im_

QuantLib::Real im_

private

Definition at line 76 of file collateralbalance.hpp.

vm_

QuantLib::Real vm_

private

Definition at line 76 of file collateralbalance.hpp.