CreditIndexConstituent Class Reference

#include <ored/portfolio/referencedata.hpp>

Inheritance diagram for CreditIndexConstituent:

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Public Member Functions
	CreditIndexConstituent ()
	CreditIndexConstituent (const std::string &name, QuantLib::Real weight, QuantLib::Real priorWeight=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recovery=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &auctionDate=QuantLib::Date(), const QuantLib::Date &auctionSettlementDate=QuantLib::Date(), const QuantLib::Date &defaultDate=QuantLib::Date(), const QuantLib::Date &eventDeterminationDate=QuantLib::Date())
void	fromXML (XMLNode *node) override
XMLNode *	toXML (ore::data::XMLDocument &doc) const override
const std::string &	name () const
QuantLib::Real	weight () const
QuantLib::Real	priorWeight () const
QuantLib::Real	recovery () const
const QuantLib::Date &	auctionDate () const
const QuantLib::Date &	auctionSettlementDate () const
const QuantLib::Date &	defaultDate () const
const QuantLib::Date &	eventDeterminationDate () 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...

Private Attributes
std::string	name_
QuantLib::Real	weight_
QuantLib::Real	priorWeight_
QuantLib::Real	recovery_
QuantLib::Date	auctionDate_
QuantLib::Date	auctionSettlementDate_
QuantLib::Date	defaultDate_
QuantLib::Date	eventDeterminationDate_

Detailed Description

Hold reference data on a constituent of a credit index.

Gives the name and the weight of the credit index constituent. A weight of zero indicates that there has been a credit event relating to the constituent. In this case, the weight of the constituent prior to the credit event is supplied along with the recovery rate, i.e. final auction price, default date, event determination date, auction date and auction cash settlement date. Not all of these fields are required by every engine in the event of default.

Definition at line 144 of file referencedata.hpp.

Constructor & Destructor Documentation

CreditIndexConstituent() [1/2]

CreditIndexConstituent

(

)

Definition at line 111 of file referencedata.cpp.

    : weight_(Null<Real>()), priorWeight_(Null<Real>()), recovery_(Null<Real>()) {}

CreditIndexConstituent() [2/2]

CreditIndexConstituent	(	const std::string &	name,
		QuantLib::Real	weight,
		QuantLib::Real	priorWeight = QuantLib::Null< QuantLib::Real >(),
		QuantLib::Real	recovery = QuantLib::Null< QuantLib::Real >(),
		const QuantLib::Date &	auctionDate = QuantLib::Date(),
		const QuantLib::Date &	auctionSettlementDate = QuantLib::Date(),
		const QuantLib::Date &	defaultDate = QuantLib::Date(),
		const QuantLib::Date &	eventDeterminationDate = QuantLib::Date()
	)

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 121 of file referencedata.cpp.

                                                  {
 
    name_ = XMLUtils::getChildValue(node, "Name", true);
    weight_ = XMLUtils::getChildValueAsDouble(node, "Weight", true);
 
    if (close(weight_, 0.0)) {
        priorWeight_ = Null<Real>();
        if (auto n = XMLUtils::getChildNode(node, "PriorWeight"))
            priorWeight_ = parseReal(XMLUtils::getNodeValue(n));
 
        recovery_ = Null<Real>();
        if (auto n = XMLUtils::getChildNode(node, "RecoveryRate"))
            recovery_ = parseReal(XMLUtils::getNodeValue(n));
 
        auctionDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "AuctionDate"))
            auctionDate_ = parseDate(XMLUtils::getNodeValue(n));
 
        auctionSettlementDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "AuctionSettlementDate"))
            auctionSettlementDate_ = parseDate(XMLUtils::getNodeValue(n));
 
        defaultDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "DefaultDate"))
            defaultDate_ = parseDate(XMLUtils::getNodeValue(n));
 
        eventDeterminationDate_ = Date();
        if (auto n = XMLUtils::getChildNode(node, "EventDeterminationDate"))
            eventDeterminationDate_ = parseDate(XMLUtils::getNodeValue(n));
    }
}

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toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 153 of file referencedata.cpp.

                                                                    {
 
    XMLNode* node = doc.allocNode("Underlying");
 
    XMLUtils::addChild(doc, node, "Name", name_);
    XMLUtils::addChild(doc, node, "Weight", weight_);
 
    if (close(weight_, 0.0)) {
        if (priorWeight_ != Null<Real>())
            XMLUtils::addChild(doc, node, "PriorWeight", priorWeight_);
 
        if (recovery_ != Null<Real>())
            XMLUtils::addChild(doc, node, "RecoveryRate", recovery_);
 
        if (auctionDate_ != Date())
            XMLUtils::addChild(doc, node, "AuctionDate", to_string(auctionDate_));
 
        if (auctionSettlementDate_ != Date())
            XMLUtils::addChild(doc, node, "AuctionSettlementDate", to_string(auctionSettlementDate_));
 
        if (defaultDate_ != Date())
            XMLUtils::addChild(doc, node, "DefaultDate", to_string(defaultDate_));
 
        if (eventDeterminationDate_ != Date())
            XMLUtils::addChild(doc, node, "EventDeterminationDate", to_string(eventDeterminationDate_));
    }
 
    return node;
}

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name()

const string & name

(

)

const

Definition at line 183 of file referencedata.cpp.

{ return name_; }

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weight()

Real weight

(

)

const

Definition at line 185 of file referencedata.cpp.

{ return weight_; }

priorWeight()

Real priorWeight

(

)

const

Definition at line 187 of file referencedata.cpp.

{ return priorWeight_; }

recovery()

Real recovery

(

)

const

Definition at line 189 of file referencedata.cpp.

{ return recovery_; }

auctionDate()

const Date & auctionDate

(

)

const

Definition at line 191 of file referencedata.cpp.

{ return auctionDate_; }

auctionSettlementDate()

const Date & auctionSettlementDate

(

)

const

Definition at line 193 of file referencedata.cpp.

{ return auctionSettlementDate_; }

defaultDate()

const Date & defaultDate

(

)

const

Definition at line 195 of file referencedata.cpp.

{ return defaultDate_; }

eventDeterminationDate()

const Date & eventDeterminationDate

(

)

const

Definition at line 197 of file referencedata.cpp.

{ return eventDeterminationDate_; }

Member Data Documentation

name_

std::string name_

private

Definition at line 170 of file referencedata.hpp.

weight_

QuantLib::Real weight_

private

Definition at line 171 of file referencedata.hpp.

priorWeight_

QuantLib::Real priorWeight_

private

Definition at line 172 of file referencedata.hpp.

recovery_

QuantLib::Real recovery_

private

Definition at line 173 of file referencedata.hpp.

auctionDate_

QuantLib::Date auctionDate_

private

Definition at line 174 of file referencedata.hpp.

auctionSettlementDate_

QuantLib::Date auctionSettlementDate_

private

Definition at line 175 of file referencedata.hpp.

defaultDate_

QuantLib::Date defaultDate_

private

Definition at line 176 of file referencedata.hpp.

eventDeterminationDate_

QuantLib::Date eventDeterminationDate_

private

Definition at line 177 of file referencedata.hpp.