CommoditySpreadOptionData Class Reference

#include <ored/portfolio/commodityspreadoption.hpp>

Inheritance diagram for CommoditySpreadOptionData:

Collaboration diagram for CommoditySpreadOptionData:

Classes
class	OptionStripData

Public Member Functions
	CommoditySpreadOptionData ()
	CommoditySpreadOptionData (const std::vector< ore::data::LegData > &legData, const ore::data::OptionData &optionData, QuantLib::Real strike)
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< ore::data::LegData >	legData_
ore::data::OptionData	optionData_
QuantLib::Real	strike_
boost::optional< OptionStripData >	optionStrip_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
const std::vector< ore::data::LegData > &	legData () const
const ore::data::OptionData &	optionData () const
QuantLib::Real	strike () const
boost::optional< OptionStripData >	optionStrip ()
QuantLib::ext::shared_ptr< ore::data::LegData >	createLegData () const

Detailed Description

Definition at line 26 of file commodityspreadoption.hpp.

Constructor & Destructor Documentation

CommoditySpreadOptionData() [1/2]

CommoditySpreadOptionData

(

)

Definition at line 47 of file commodityspreadoption.hpp.

{}

CommoditySpreadOptionData() [2/2]

CommoditySpreadOptionData	(	const std::vector< ore::data::LegData > &	legData,
		const ore::data::OptionData &	optionData,
		QuantLib::Real	strike
	)

Definition at line 48 of file commodityspreadoption.hpp.

        : legData_(legData), optionData_(optionData), strike_(strike) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 339 of file commodityspreadoption.cpp.

                                                        {
    XMLUtils::checkNode(csoNode, "CommoditySpreadOptionData");
 
    XMLNode* optionDataNode = XMLUtils::getChildNode(csoNode, "OptionData");
    QL_REQUIRE(optionDataNode, "Invalid CommmoditySpreadOption trade xml: found no OptionData Node");
 
    optionData_.fromXML(optionDataNode);
    strike_ = XMLUtils::getChildValueAsDouble(csoNode, "SpreadStrike", true);
 
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(csoNode, "LegData");
    QL_REQUIRE(nodes.size() == 2, "CommoditySpreadOption: Exactly two LegData nodes expected");
    for (auto& node : nodes) {
        auto ld = createLegData();
        ld->fromXML(node);
        legData_.push_back(*ld);
    }
 
    XMLNode* optionStripNode = XMLUtils::getChildNode(csoNode, "OptionStripPaymentDates");
    if (optionStripNode) {
        optionStrip_ = OptionStripData();
        optionStrip_->fromXML(optionStripNode);
    }
 
    QL_REQUIRE(legData_[0].isPayer() != legData_[1].isPayer(),
               "CommoditySpreadOption: both a long and a short Assets are required.");
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 366 of file commodityspreadoption.cpp.

                                                                {
    XMLNode* csoNode = doc.allocNode("CommoditySpreadOptionData");
    for (size_t i = 0; i < legData_.size(); ++i) {
        XMLUtils::appendNode(csoNode, legData_[i].toXML(doc));
    }
    XMLUtils::appendNode(csoNode, optionData_.toXML(doc));
    XMLUtils::addChild(doc, csoNode, "SpreadStrike", strike_);
    if (optionStrip_.has_value()) {
        XMLUtils::appendNode(csoNode, optionStrip_->toXML(doc));
    }
    return csoNode;
}

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legData()

const std::vector< ore::data::LegData > & legData

(

)

const

Definition at line 57 of file commodityspreadoption.hpp.

{ return legData_; }

optionData()

const ore::data::OptionData & optionData

(

)

const

Definition at line 58 of file commodityspreadoption.hpp.

{ return optionData_; }

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strike()

QuantLib::Real strike

(

)

const

Definition at line 59 of file commodityspreadoption.hpp.

{ return strike_; }

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optionStrip()

boost::optional< OptionStripData > optionStrip

(

)

Definition at line 60 of file commodityspreadoption.hpp.

{ return optionStrip_; }

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createLegData()

QuantLib::ext::shared_ptr< ore::data::LegData > createLegData ( ) const

private

Definition at line 63 of file commodityspreadoption.hpp.

{ return QuantLib::ext::make_shared<ore::data::LegData>(); }

Member Data Documentation

legData_

std::vector<ore::data::LegData> legData_

private

Definition at line 65 of file commodityspreadoption.hpp.

optionData_

ore::data::OptionData optionData_

private

Definition at line 66 of file commodityspreadoption.hpp.

strike_

QuantLib::Real strike_

private

Definition at line 67 of file commodityspreadoption.hpp.

optionStrip_

boost::optional<OptionStripData> optionStrip_

private

Definition at line 69 of file commodityspreadoption.hpp.