CreditDefaultSwapData Class Reference

#include <ored/portfolio/creditdefaultswapdata.hpp>

Inheritance diagram for CreditDefaultSwapData:

Collaboration diagram for CreditDefaultSwapData:

Public Types
using	PPT = QuantLib::CreditDefaultSwap::ProtectionPaymentTime

Public Member Functions
	CreditDefaultSwapData ()
	Default constructor. More...
	CreditDefaultSwapData (const string &issuerId, const string &creditCurveId, const LegData &leg, const bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const Real upfrontFee=Null< Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Constructor that takes an explicit creditCurveId. More...
	CreditDefaultSwapData (const std::string &issuerId, const CdsReferenceInformation &referenceInformation, const LegData &leg, bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const QuantLib::Date &protectionStart=QuantLib::Date(), const QuantLib::Date &upfrontDate=QuantLib::Date(), QuantLib::Real upfrontFee=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Constructor that takes a referenceInformation object. More...
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
const string &	issuerId () const
const string &	creditCurveId () const
const LegData &	leg () const
bool	settlesAccrual () const
PPT	protectionPaymentTime () const
const Date &	protectionStart () const
const Date &	upfrontDate () const
Real	upfrontFee () const
bool	rebatesAccrual () const
QuantLib::Real	recoveryRate () const
const std::string &	referenceObligation () const
	CDS Reference Obligation. More...
const QuantLib::Date &	tradeDate () const
QuantLib::Natural	cashSettlementDays () const
const boost::optional< CdsReferenceInformation > &	referenceInformation () 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...

Protected Member Functions
virtual void	check (XMLNode *node) const
virtual XMLNode *	alloc (XMLDocument &doc) const

Private Attributes
std::string	issuerId_
std::string	creditCurveId_
LegData	leg_
bool	settlesAccrual_
PPT	protectionPaymentTime_
QuantLib::Date	protectionStart_
QuantLib::Date	upfrontDate_
QuantLib::Real	upfrontFee_
bool	rebatesAccrual_
QuantLib::Real	recoveryRate_
	Populated if the CDS is a fixed recovery rate CDS, otherwise Null<Real>() More...
std::string	referenceObligation_
QuantLib::Date	tradeDate_
std::string	strCashSettlementDays_
QuantLib::Natural	cashSettlementDays_
boost::optional< CdsReferenceInformation >	referenceInformation_

Detailed Description

Serializable credit default swap data

Definition at line 133 of file creditdefaultswapdata.hpp.

Member Typedef Documentation

PPT

using PPT = QuantLib::CreditDefaultSwap::ProtectionPaymentTime

Definition at line 138 of file creditdefaultswapdata.hpp.

Constructor & Destructor Documentation

CreditDefaultSwapData() [1/3]

CreditDefaultSwapData

(

)

Default constructor.

Definition at line 486 of file creditdefaultswapdata.cpp.

    : settlesAccrual_(true), protectionPaymentTime_(QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault),
      upfrontFee_(Null<Real>()), rebatesAccrual_(true), recoveryRate_(Null<Real>()), cashSettlementDays_(3) {}

CreditDefaultSwapData() [2/3]

CreditDefaultSwapData	(	const string &	issuerId,
		const string &	creditCurveId,
		const LegData &	leg,
		const bool	settlesAccrual = true,
		const PPT	protectionPaymentTime = PPT::atDefault,
		const Date &	protectionStart = Date(),
		const Date &	upfrontDate = Date(),
		const Real	upfrontFee = Null< Real >(),
		QuantLib::Real	recoveryRate = QuantLib::Null< QuantLib::Real >(),
		const std::string &	referenceObligation = "",
		const Date &	tradeDate = Date(),
		const std::string &	cashSettlementDays = "",
		const bool	rebatesAccrual = true
	)

Constructor that takes an explicit creditCurveId.

CreditDefaultSwapData() [3/3]

CreditDefaultSwapData	(	const std::string &	issuerId,
		const CdsReferenceInformation &	referenceInformation,
		const LegData &	leg,
		bool	settlesAccrual = true,
		const PPT	protectionPaymentTime = PPT::atDefault,
		const QuantLib::Date &	protectionStart = QuantLib::Date(),
		const QuantLib::Date &	upfrontDate = QuantLib::Date(),
		QuantLib::Real	upfrontFee = QuantLib::Null< QuantLib::Real >(),
		QuantLib::Real	recoveryRate = QuantLib::Null< QuantLib::Real >(),
		const std::string &	referenceObligation = "",
		const Date &	tradeDate = Date(),
		const std::string &	cashSettlementDays = "",
		const bool	rebatesAccrual = true
	)

Constructor that takes a referenceInformation object.

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Reimplemented in IndexCreditDefaultSwapData.

Definition at line 515 of file creditdefaultswapdata.cpp.

                                                 {
 
    check(node);
 
    issuerId_ = XMLUtils::getChildValue(node, "IssuerId", false);
 
    // May get an explicit CreditCurveId node. If so, we use it. Otherwise, we must have ReferenceInformation node.
    // XMLNode* tmp = XMLUtils::getChildNode(node, "CreditCurveId");
    if (auto tmp = XMLUtils::getChildNode(node, "CreditCurveId")) {
        creditCurveId_ = XMLUtils::getNodeValue(tmp);
        CdsReferenceInformation ref;
        if (tryParseCdsInformation(creditCurveId_, ref))
            referenceInformation_ = ref;
    } else {
        tmp = XMLUtils::getChildNode(node, "ReferenceInformation");
        QL_REQUIRE(tmp, "Need either a CreditCurveId or ReferenceInformation node in CreditDefaultSwapData");
        CdsReferenceInformation ref;
        ref.fromXML(tmp);
        referenceInformation_ = ref;
        creditCurveId_ = ref.id();
    }
 
    settlesAccrual_ = XMLUtils::getChildValueAsBool(node, "SettlesAccrual", false);
    rebatesAccrual_ = XMLUtils::getChildValueAsBool(node, "RebatesAccrual", false);
    
    protectionPaymentTime_ = PPT::atDefault;
 
    // for backwards compatibility only
    if (auto c = XMLUtils::getChildNode(node, "PaysAtDefaultTime"))
        if (!parseBool(XMLUtils::getNodeValue(c)))
            protectionPaymentTime_ = PPT::atPeriodEnd;
 
    // new node overrides deprecated one, if both should be given
    if (auto c = XMLUtils::getChildNode(node, "ProtectionPaymentTime")) {
        if (XMLUtils::getNodeValue(c) == "atDefault")
            protectionPaymentTime_ = PPT::atDefault;
        else if (XMLUtils::getNodeValue(c) == "atPeriodEnd")
            protectionPaymentTime_ = PPT::atPeriodEnd;
        else if (XMLUtils::getNodeValue(c) == "atMaturity")
            protectionPaymentTime_ = PPT::atMaturity;
        else {
            QL_FAIL("protection payment time '" << XMLUtils::getNodeValue(c) << 
                "' not known, expected atDefault, atPeriodEnd, atMaturity");
        }
    }
 
    protectionStart_ = Date();
    if (auto tmp = XMLUtils::getChildNode(node, "ProtectionStart"))
        protectionStart_ = parseDate(XMLUtils::getNodeValue(tmp));
 
    upfrontDate_ = Date();
    if (auto tmp = XMLUtils::getChildNode(node, "UpfrontDate"))
        upfrontDate_ = parseDate(XMLUtils::getNodeValue(tmp));
 
    // zero if empty or missing
    upfrontFee_ = Null<Real>();
    string strUpfrontFee = XMLUtils::getChildValue(node, "UpfrontFee", false);
    if (!strUpfrontFee.empty()) {
        upfrontFee_ = parseReal(strUpfrontFee);
    }
 
    if (upfrontDate_ == Date()) {
        QL_REQUIRE(close_enough(upfrontFee_, 0.0) || upfrontFee_ == Null<Real>(),
                   "fromXML(): UpfronFee (" << upfrontFee_ << ") must be empty or zero if no upfront date is given");
        upfrontFee_ = Null<Real>();
    }
 
    // Recovery rate is Null<Real>() on a standard CDS i.e. if "FixedRecoveryRate" field is not populated.
    recoveryRate_ = Null<Real>();
    string strRecoveryRate = XMLUtils::getChildValue(node, "FixedRecoveryRate", false);
    if (!strRecoveryRate.empty()) {
        recoveryRate_ = parseReal(strRecoveryRate);
    }
 
    tradeDate_ = Date();
    if (auto n = XMLUtils::getChildNode(node, "TradeDate"))
        tradeDate_ = parseDate(XMLUtils::getNodeValue(n));
 
    strCashSettlementDays_ = XMLUtils::getChildValue(node, "CashSettlementDays", false);
    cashSettlementDays_ = strCashSettlementDays_.empty() ? 3 : parseInteger(strCashSettlementDays_);
 
    leg_.fromXML(XMLUtils::getChildNode(node, "LegData"));
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Reimplemented in IndexCreditDefaultSwapData.

Definition at line 599 of file creditdefaultswapdata.cpp.

                                                            {
 
    XMLNode* node = alloc(doc);
 
    XMLUtils::addChild(doc, node, "IssuerId", issuerId_);
 
    // We either have reference information or an explicit credit curve ID
    if (referenceInformation_) {
        XMLUtils::appendNode(node, referenceInformation_->toXML(doc));
    } else {
        XMLUtils::addChild(doc, node, "CreditCurveId", creditCurveId_);
    }
 
    XMLUtils::addChild(doc, node, "SettlesAccrual", settlesAccrual_);
    if (!rebatesAccrual_)
        XMLUtils::addChild(doc, node, "RebatesAccrual", rebatesAccrual_);
    if (protectionPaymentTime_ == PPT::atDefault) {
        XMLUtils::addChild(doc, node, "ProtectionPaymentTime", "atDefault");
    } else if (protectionPaymentTime_ == PPT::atPeriodEnd) {
        XMLUtils::addChild(doc, node, "ProtectionPaymentTime", "atPeriodEnd");
    } else if (protectionPaymentTime_ == PPT::atMaturity) {
        XMLUtils::addChild(doc, node, "ProtectionPaymentTime", "atMaturity");
    } else {
        QL_FAIL("toXML(): unexpected ProtectionPaymentTime");
    }
 
    if (protectionStart_ != Date()) {
        XMLUtils::addChild(doc, node, "ProtectionStart", to_string(protectionStart_));
    }
 
    if (upfrontDate_ != Date()) {
        XMLUtils::addChild(doc, node, "UpfrontDate", to_string(upfrontDate_));
    }
 
    if (upfrontFee_ != Null<Real>())
        XMLUtils::addChild(doc, node, "UpfrontFee", upfrontFee_);
 
    if (recoveryRate_ != Null<Real>())
        XMLUtils::addChild(doc, node, "FixedRecoveryRate", recoveryRate_);
 
    if (tradeDate_ != Date()) {
        XMLUtils::addChild(doc, node, "TradeDate", to_string(tradeDate_));
    }
 
    if (!strCashSettlementDays_.empty()) {
        XMLUtils::addChild(doc, node, "CashSettlementDays", strCashSettlementDays_);
    }
 
    XMLUtils::appendNode(node, leg_.toXML(doc));
 
    return node;
}

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issuerId()

const string & issuerId

(

)

const

Definition at line 168 of file creditdefaultswapdata.hpp.

{ return issuerId_; }

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creditCurveId()

const string & creditCurveId

(

)

const

Definition at line 652 of file creditdefaultswapdata.cpp.

                                                         {
    if (referenceInformation_) {
        return referenceInformation_->id();
    } else {
        return creditCurveId_;
    }
}

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leg()

const LegData & leg

(

)

const

Definition at line 170 of file creditdefaultswapdata.hpp.

{ return leg_; }

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settlesAccrual()

bool settlesAccrual

(

)

const

Definition at line 171 of file creditdefaultswapdata.hpp.

{ return settlesAccrual_; }

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protectionPaymentTime()

PPT protectionPaymentTime

(

)

const

Definition at line 172 of file creditdefaultswapdata.hpp.

{ return protectionPaymentTime_; }

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protectionStart()

const Date & protectionStart

(

)

const

Definition at line 173 of file creditdefaultswapdata.hpp.

{ return protectionStart_; }

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upfrontDate()

const Date & upfrontDate

(

)

const

Definition at line 174 of file creditdefaultswapdata.hpp.

{ return upfrontDate_; }

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upfrontFee()

Real upfrontFee

(

)

const

Definition at line 175 of file creditdefaultswapdata.hpp.

{ return upfrontFee_; }

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rebatesAccrual()

bool rebatesAccrual

(

)

const

Definition at line 176 of file creditdefaultswapdata.hpp.

{ return rebatesAccrual_; }

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recoveryRate()

QuantLib::Real recoveryRate

(

)

const

If the CDS is a fixed recovery CDS, this returns the recovery rate. For a standard CDS, it returns Null<Real>().

Definition at line 181 of file creditdefaultswapdata.hpp.

{ return recoveryRate_; }

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referenceObligation()

const std::string & referenceObligation

(

)

const

CDS Reference Obligation.

Definition at line 184 of file creditdefaultswapdata.hpp.

{ return referenceObligation_; }

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tradeDate()

const QuantLib::Date & tradeDate

(

)

const

Definition at line 186 of file creditdefaultswapdata.hpp.

{ return tradeDate_; }

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cashSettlementDays()

QuantLib::Natural cashSettlementDays

(

)

const

Definition at line 187 of file creditdefaultswapdata.hpp.

{ return cashSettlementDays_; }

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referenceInformation()

const boost::optional< CdsReferenceInformation > & referenceInformation

(

)

const

CDS reference information. This will be empty if an explicit credit curve ID has been used.

Definition at line 191 of file creditdefaultswapdata.hpp.

{ return referenceInformation_; }

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check()

void check ( XMLNode *  node ) const

protectedvirtual

Reimplemented in IndexCreditDefaultSwapData.

Definition at line 660 of file creditdefaultswapdata.cpp.

                                                     {
    XMLUtils::checkNode(node, "CreditDefaultSwapData");
}

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alloc()

XMLNode * alloc ( XMLDocument &  doc ) const

protectedvirtual

Reimplemented in IndexCreditDefaultSwapData.

Definition at line 664 of file creditdefaultswapdata.cpp.

                                                            {
    return doc.allocNode("CreditDefaultSwapData");
}

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Member Data Documentation

issuerId_

std::string issuerId_

private

Definition at line 198 of file creditdefaultswapdata.hpp.

creditCurveId_

std::string creditCurveId_

private

Definition at line 199 of file creditdefaultswapdata.hpp.

leg_

LegData leg_

private

Definition at line 200 of file creditdefaultswapdata.hpp.

settlesAccrual_

bool settlesAccrual_

private

Definition at line 201 of file creditdefaultswapdata.hpp.

protectionPaymentTime_

PPT protectionPaymentTime_

private

Definition at line 202 of file creditdefaultswapdata.hpp.

protectionStart_

QuantLib::Date protectionStart_

private

Definition at line 203 of file creditdefaultswapdata.hpp.

upfrontDate_

QuantLib::Date upfrontDate_

private

Definition at line 204 of file creditdefaultswapdata.hpp.

upfrontFee_

QuantLib::Real upfrontFee_

private

Definition at line 205 of file creditdefaultswapdata.hpp.

rebatesAccrual_

bool rebatesAccrual_

private

Definition at line 206 of file creditdefaultswapdata.hpp.

recoveryRate_

QuantLib::Real recoveryRate_

private

Populated if the CDS is a fixed recovery rate CDS, otherwise Null<Real>()

Definition at line 209 of file creditdefaultswapdata.hpp.

referenceObligation_

std::string referenceObligation_

private

Definition at line 211 of file creditdefaultswapdata.hpp.

tradeDate_

QuantLib::Date tradeDate_

private

Definition at line 212 of file creditdefaultswapdata.hpp.

strCashSettlementDays_

std::string strCashSettlementDays_

private

Definition at line 213 of file creditdefaultswapdata.hpp.

cashSettlementDays_

QuantLib::Natural cashSettlementDays_

private

Definition at line 214 of file creditdefaultswapdata.hpp.

referenceInformation_

boost::optional<CdsReferenceInformation> referenceInformation_

private

Definition at line 216 of file creditdefaultswapdata.hpp.