CollateralBalances Class Reference

Collateral Balances. More...

#include <ored/portfolio/collateralbalance.hpp>

Inheritance diagram for CollateralBalances:

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Public Member Functions
	CollateralBalances ()
void	reset ()
const bool	empty ()
bool	has (const std::string &nettingSetId) const
bool	has (const NettingSetDetails &nettingSetDetails) const
void	add (const QuantLib::ext::shared_ptr< CollateralBalance > &cb)
const QuantLib::ext::shared_ptr< CollateralBalance > &	get (const std::string &nettingSetId) const
const QuantLib::ext::shared_ptr< CollateralBalance > &	get (const NettingSetDetails &nettingSetDetails) const
void	currentIM (const std::string &baseCurrency, std::map< std::string, QuantLib::Real > &currentIM)
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override
const std::map< NettingSetDetails, QuantLib::ext::shared_ptr< CollateralBalance > > &	collateralBalances ()
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::map< NettingSetDetails, QuantLib::ext::shared_ptr< CollateralBalance > >	collateralBalances_

Detailed Description

Collateral Balances.

This class hold collateral balances

Definition at line 85 of file collateralbalance.hpp.

Constructor & Destructor Documentation

CollateralBalances()

CollateralBalances

(

)

default constructor

Definition at line 90 of file collateralbalance.hpp.

{}

Member Function Documentation

reset()

void reset

(

)

clears the manager of all data

Definition at line 47 of file collateralbalance.cpp.

                               {
    collateralBalances_.clear();
}

empty()

const bool empty

(

)

checks if there are any collateral balance entries

Definition at line 51 of file collateralbalance.cpp.

                                     {
    return collateralBalances_.empty();
}

has() [1/2]

bool has

(

const std::string &

nettingSetId

)

const

checks if object named nettingSetId exists in manager

Definition at line 43 of file collateralbalance.cpp.

                                                                {
    return has(NettingSetDetails(nettingSetId));
}

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has() [2/2]

bool has

(

const NettingSetDetails &

nettingSetDetails

)

const

checks if object with the given nettingSetDetails exists in manager

Definition at line 39 of file collateralbalance.cpp.

                                                                             {
    return collateralBalances_.find(nettingSetDetails) != collateralBalances_.end();
}

add()

void add

(

const QuantLib::ext::shared_ptr< CollateralBalance > &

cb

)

adds a new collateral balance to manager

Definition at line 33 of file collateralbalance.cpp.

                                                                               {
    std::pair<NettingSetDetails, QuantLib::ext::shared_ptr<CollateralBalance>> newCollateralBalance(cb->nettingSetDetails(),
                                                                                            cb);
    collateralBalances_.insert(newCollateralBalance);
}

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get() [1/2]

const QuantLib::ext::shared_ptr< CollateralBalance > & get

(

const std::string &

nettingSetId

)

const

extracts a collateral balance from manager

Definition at line 66 of file collateralbalance.cpp.

                                                                                                           {
    return get(NettingSetDetails(nettingSetId));
}

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get() [2/2]

const QuantLib::ext::shared_ptr< CollateralBalance > & get

(

const NettingSetDetails &

nettingSetDetails

)

const

Definition at line 59 of file collateralbalance.cpp.

                                                                                                                        {
    if (has(nettingSetDetails))
        return collateralBalances_.find(nettingSetDetails)->second;
    else
        QL_FAIL("CollateralBalance not found in manager: " << nettingSetDetails);
}

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currentIM()

void currentIM	(	const std::string &	baseCurrency,
		std::map< std::string, QuantLib::Real > &	currentIM
	)

gets currentIM for DIM calculation

Definition at line 71 of file collateralbalance.cpp.

                                                                               {
    for (auto& cb : collateralBalances_) {
        if (cb.second->currency() == baseCurrency) {
            currentIM[cb.first.nettingSetId()] = cb.second->initialMargin();
        }
    }
}

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fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 126 of file collateralbalance.cpp.

                                              {
    XMLUtils::checkNode(node, "CollateralBalances");
    std::vector<XMLNode*> nettingSetNodes = XMLUtils::getChildrenNodes(node, "CollateralBalance");
    for (unsigned i = 0; i < nettingSetNodes.size(); i++) {
        try {
            QuantLib::ext::shared_ptr<CollateralBalance> cb(new CollateralBalance(nettingSetNodes[i]));
            add(cb);
        } catch (const std::exception& ex) {
            ore::data::StructuredConfigurationErrorMessage("Collateral balances", "",
                                                           "Collateral balance node failed to parse", ex.what())
                .log();
        }
    }
}

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toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 141 of file collateralbalance.cpp.

                                                         {
    XMLNode* node = doc.allocNode("CollateralBalances");
    for (auto it = collateralBalances_.begin(); it != collateralBalances_.end(); ++it) {
        XMLUtils::appendNode(node, it->second->toXML(doc)); 
    }
    return node;
}

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collateralBalances()

const std::map< NettingSetDetails, QuantLib::ext::shared_ptr< CollateralBalance > > & collateralBalances

(

)

Definition at line 149 of file collateralbalance.cpp.

                                                                                                                  {
    return collateralBalances_;
}

Member Data Documentation

collateralBalances_

std::map<NettingSetDetails, QuantLib::ext::shared_ptr<CollateralBalance> > collateralBalances_

private

Definition at line 133 of file collateralbalance.hpp.