CommodityFixedLegData Class Reference

#include <ored/portfolio/commoditylegdata.hpp>

Inheritance diagram for CommodityFixedLegData:

Collaboration diagram for CommodityFixedLegData:

Public Member Functions
	CommodityFixedLegData ()
	Default constructor. More...
	CommodityFixedLegData (const std::vector< QuantLib::Real > &quantities, const std::vector< std::string > &quantityDates, const std::vector< QuantLib::Real > &prices, const std::vector< std::string > &priceDates, CommodityPayRelativeTo commodityPayRelativeTo, const std::string &tag="")
	Detailed constructor. More...
Inspectors
const std::vector< QuantLib::Real > &	quantities () const
const std::vector< std::string > &	quantityDates () const
const std::vector< QuantLib::Real > &	prices () const
const std::vector< std::string > &	priceDates () const
CommodityPayRelativeTo	commodityPayRelativeTo () const
const std::string &	tag () const
void	setQuantities (const std::vector< QuantLib::Real > &quantities)
	Set the fixed leg data quantities. More...
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
std::vector< QuantLib::Real >	quantities_
std::vector< std::string >	quantityDates_
std::vector< QuantLib::Real >	prices_
std::vector< std::string >	priceDates_
CommodityPayRelativeTo	commodityPayRelativeTo_
std::string	tag_
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

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

Detailed Description

Definition at line 50 of file commoditylegdata.hpp.

Constructor & Destructor Documentation

CommodityFixedLegData() [1/2]

CommodityFixedLegData

(

)

Default constructor.

Definition at line 120 of file commoditylegdata.cpp.

    : ore::data::LegAdditionalData("CommodityFixed"),
      commodityPayRelativeTo_(CommodityPayRelativeTo::CalculationPeriodEndDate) {}

CommodityFixedLegData() [2/2]

CommodityFixedLegData	(	const std::vector< QuantLib::Real > &	quantities,
		const std::vector< std::string > &	quantityDates,
		const std::vector< QuantLib::Real > &	prices,
		const std::vector< std::string > &	priceDates,
		CommodityPayRelativeTo	commodityPayRelativeTo,
		const std::string &	tag = ""
	)

Detailed constructor.

Member Function Documentation

quantities()

const std::vector< QuantLib::Real > & quantities

(

)

const

Definition at line 63 of file commoditylegdata.hpp.

{ return quantities_; }

Here is the caller graph for this function:

quantityDates()

const std::vector< std::string > & quantityDates

(

)

const

Definition at line 64 of file commoditylegdata.hpp.

{ return quantityDates_; }

prices()

const std::vector< QuantLib::Real > & prices

(

)

const

Definition at line 65 of file commoditylegdata.hpp.

{ return prices_; }

priceDates()

const std::vector< std::string > & priceDates

(

)

const

Definition at line 66 of file commoditylegdata.hpp.

{ return priceDates_; }

commodityPayRelativeTo()

CommodityPayRelativeTo commodityPayRelativeTo

(

)

const

Definition at line 67 of file commoditylegdata.hpp.

{ return commodityPayRelativeTo_; }

tag()

const std::string & tag

(

)

const

Definition at line 68 of file commoditylegdata.hpp.

{ return tag_; }

setQuantities()

void setQuantities

(

const std::vector< QuantLib::Real > &

quantities

)

Set the fixed leg data quantities.

For commodity swaps, there can be a number of conventions provided with the floating leg data quantities that when taken together can be used to calculate the commodity quantity for the full calculation period. Instead of duplicating that data here, we allow the fixed leg data quantities to be set using this method before being passed to the commodity fixed leg builder. The idea is that the quantities will be set by referencing the quantities from the corresponding floating leg of the swap after that leg has been built.

Definition at line 130 of file commoditylegdata.cpp.

                                                                        {
    // Ensure that the quantityDates_ are cleared also.
    quantities_ = quantities;
    quantityDates_.clear();
}

Here is the call graph for this function:

fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 136 of file commoditylegdata.cpp.

                                                 {
    XMLUtils::checkNode(node, "CommodityFixedLegData");
 
    quantities_.clear();
    if (XMLUtils::getChildNode(node, "Quantities")) {
        quantities_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Quantities", "Quantity",
            "startDate", quantityDates_, &parseReal, true);
    }
 
    prices_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Prices", "Price", "startDate", priceDates_,
                                                              &parseReal, true);
 
    commodityPayRelativeTo_ = CommodityPayRelativeTo::CalculationPeriodEndDate;
    if (XMLNode* n = XMLUtils::getChildNode(node, "CommodityPayRelativeTo")) {
        commodityPayRelativeTo_ = parseCommodityPayRelativeTo(XMLUtils::getNodeValue(n));
    }
    tag_ = XMLUtils::getChildValue(node, "Tag", false);
}

Here is the call graph for this function:

toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 155 of file commoditylegdata.cpp.

                                                            {
    XMLNode* node = doc.allocNode("CommodityFixedLegData");
 
    if (!quantities_.empty()) {
        XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Quantities", "Quantity",
            quantities_, "startDate", quantityDates_);
    }
 
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Prices", "Price", prices_, "startDate", priceDates_);
    XMLUtils::addChild(doc, node, "CommodityPayRelativeTo", to_string(commodityPayRelativeTo_));
    if (!tag_.empty())
        XMLUtils::addChild(doc, node, "Tag", tag_);
 
    return node;
}

Here is the call graph for this function:

Member Data Documentation

quantities_

std::vector<QuantLib::Real> quantities_

private

Definition at line 88 of file commoditylegdata.hpp.

quantityDates_

std::vector<std::string> quantityDates_

private

Definition at line 89 of file commoditylegdata.hpp.

prices_

std::vector<QuantLib::Real> prices_

private

Definition at line 90 of file commoditylegdata.hpp.

priceDates_

std::vector<std::string> priceDates_

private

Definition at line 91 of file commoditylegdata.hpp.

commodityPayRelativeTo_

CommodityPayRelativeTo commodityPayRelativeTo_

private

Definition at line 92 of file commoditylegdata.hpp.

tag_

std::string tag_

private

Definition at line 93 of file commoditylegdata.hpp.