DurationAdjustedCmsLegData Class Reference

#include <ored/portfolio/durationadjustedcmslegdata.hpp>

Inheritance diagram for DurationAdjustedCmsLegData:

Collaboration diagram for DurationAdjustedCmsLegData:

Public Member Functions
	DurationAdjustedCmsLegData ()
	DurationAdjustedCmsLegData (const std::string &swapIndex, Size duration, Size fixingDays, bool isInArrears, const std::vector< double > &spreads, const std::vector< std::string > &spreadDates=std::vector< std::string >(), const std::vector< double > &caps=std::vector< double >(), const std::vector< std::string > &capDates=std::vector< std::string >(), const std::vector< double > &floors=std::vector< double >(), const std::vector< std::string > &floorDates=std::vector< std::string >(), const std::vector< double > &gearings=std::vector< double >(), const std::vector< std::string > &gearingDates=std::vector< std::string >(), bool nakedOption=false)
	Detailed constructor. More...
Inspectors
const std::string &	swapIndex () const
Size	duration () const
Size	fixingDays () const
bool	isInArrears () const
const std::vector< double > &	spreads () const
const std::vector< std::string > &	spreadDates () const
const std::vector< double > &	caps () const
const std::vector< std::string > &	capDates () const
const std::vector< double > &	floors () const
const std::vector< std::string > &	floorDates () const
const std::vector< double > &	gearings () const
const std::vector< std::string > &	gearingDates () const
bool	nakedOption () const
Modifiers
vector< double > &	caps ()
vector< string > &	capDates ()
vector< double > &	floors ()
vector< string > &	floorDates ()
bool &	nakedOption ()
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::string	swapIndex_
Size	duration_
Size	fixingDays_
bool	isInArrears_
std::vector< double >	spreads_
std::vector< std::string >	spreadDates_
std::vector< double >	caps_
std::vector< std::string >	capDates_
std::vector< double >	floors_
std::vector< std::string >	floorDates_
std::vector< double >	gearings_
std::vector< std::string >	gearingDates_
bool	nakedOption_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

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

Detailed Description

Definition at line 32 of file durationadjustedcmslegdata.hpp.

Constructor & Destructor Documentation

DurationAdjustedCmsLegData() [1/2]

DurationAdjustedCmsLegData

(

)

Definition at line 35 of file durationadjustedcmslegdata.hpp.

        : ore::data::LegAdditionalData("DurationAdjustedCMS"), fixingDays_(Null<Size>()), isInArrears_(true),
          nakedOption_(false) {}

DurationAdjustedCmsLegData() [2/2]

DurationAdjustedCmsLegData	(	const std::string &	swapIndex,
		Size	duration,
		Size	fixingDays,
		bool	isInArrears,
		const std::vector< double > &	spreads,
		const std::vector< std::string > &	spreadDates = std::vector<std::string>(),
		const std::vector< double > &	caps = std::vector<double>(),
		const std::vector< std::string > &	capDates = std::vector<std::string>(),
		const std::vector< double > &	floors = std::vector<double>(),
		const std::vector< std::string > &	floorDates = std::vector<std::string>(),
		const std::vector< double > &	gearings = std::vector<double>(),
		const std::vector< std::string > &	gearingDates = std::vector<std::string>(),
		bool	nakedOption = false
	)

Detailed constructor.

Definition at line 40 of file durationadjustedcmslegdata.hpp.

        : LegAdditionalData("CMS"), swapIndex_(swapIndex), duration_(duration), fixingDays_(fixingDays),
          isInArrears_(isInArrears), spreads_(spreads), spreadDates_(spreadDates), caps_(caps), capDates_(capDates),
          floors_(floors), floorDates_(floorDates), gearings_(gearings), gearingDates_(gearingDates),
          nakedOption_(nakedOption) {
        indices_.insert(swapIndex_);
    }

Member Function Documentation

swapIndex()

const std::string & swapIndex

(

)

const

Definition at line 59 of file durationadjustedcmslegdata.hpp.

{ return swapIndex_; }

duration()

Size duration

(

)

const

Definition at line 60 of file durationadjustedcmslegdata.hpp.

{ return duration_; }

fixingDays()

Size fixingDays

(

)

const

Definition at line 61 of file durationadjustedcmslegdata.hpp.

{ return fixingDays_; }

isInArrears()

bool isInArrears

(

)

const

Definition at line 62 of file durationadjustedcmslegdata.hpp.

{ return isInArrears_; }

spreads()

const std::vector< double > & spreads

(

)

const

Definition at line 63 of file durationadjustedcmslegdata.hpp.

{ return spreads_; }

spreadDates()

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

(

)

const

Definition at line 64 of file durationadjustedcmslegdata.hpp.

{ return spreadDates_; }

caps() [1/2]

const std::vector< double > & caps

(

)

const

Definition at line 65 of file durationadjustedcmslegdata.hpp.

{ return caps_; }

capDates() [1/2]

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

(

)

const

Definition at line 66 of file durationadjustedcmslegdata.hpp.

{ return capDates_; }

floors() [1/2]

const std::vector< double > & floors

(

)

const

Definition at line 67 of file durationadjustedcmslegdata.hpp.

{ return floors_; }

floorDates() [1/2]

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

(

)

const

Definition at line 68 of file durationadjustedcmslegdata.hpp.

{ return floorDates_; }

gearings()

const std::vector< double > & gearings

(

)

const

Definition at line 69 of file durationadjustedcmslegdata.hpp.

{ return gearings_; }

gearingDates()

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

(

)

const

Definition at line 70 of file durationadjustedcmslegdata.hpp.

{ return gearingDates_; }

nakedOption() [1/2]

bool nakedOption

(

)

const

Definition at line 71 of file durationadjustedcmslegdata.hpp.

{ return nakedOption_; }

caps() [2/2]

vector< double > & caps

(

)

Definition at line 76 of file durationadjustedcmslegdata.hpp.

{ return caps_; }

capDates() [2/2]

vector< string > & capDates

(

)

Definition at line 77 of file durationadjustedcmslegdata.hpp.

{ return capDates_; }

floors() [2/2]

vector< double > & floors

(

)

Definition at line 78 of file durationadjustedcmslegdata.hpp.

{ return floors_; }

floorDates() [2/2]

vector< string > & floorDates

(

)

Definition at line 79 of file durationadjustedcmslegdata.hpp.

{ return floorDates_; }

nakedOption() [2/2]

bool & nakedOption

(

)

Definition at line 80 of file durationadjustedcmslegdata.hpp.

{ return nakedOption_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 42 of file durationadjustedcmslegdata.cpp.

                                                      {
    XMLUtils::checkNode(node, legNodeName());
    swapIndex_ = XMLUtils::getChildValue(node, "Index", true);
    duration_ = XMLUtils::getChildValueAsInt(node, "Duration", false);
    indices_.insert(swapIndex_);
    // These are all optional
    spreads_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Spreads", "Spread", "startDate", spreadDates_,
                                                               &parseReal);
    XMLNode* arrNode = XMLUtils::getChildNode(node, "IsInArrears");
    if (arrNode)
        isInArrears_ = XMLUtils::getChildValueAsBool(node, "IsInArrears", true);
    else
        isInArrears_ = false; // default to fixing-in-advance
    if (auto n = XMLUtils::getChildNode(node, "FixingDays"))
        fixingDays_ = parseInteger(XMLUtils::getNodeValue(n));
    else
        fixingDays_ = Null<Size>();
    caps_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Caps", "Cap", "startDate", capDates_, &parseReal);
    floors_ =
        XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Floors", "Floor", "startDate", floorDates_, &parseReal);
    gearings_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Gearings", "Gearing", "startDate", gearingDates_,
                                                                &parseReal);
    if (XMLUtils::getChildNode(node, "NakedOption"))
        nakedOption_ = XMLUtils::getChildValueAsBool(node, "NakedOption", false);
    else
        nakedOption_ = false;
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 26 of file durationadjustedcmslegdata.cpp.

                                                                 {
    XMLNode* node = doc.allocNode(legNodeName());
    XMLUtils::addChild(doc, node, "Index", swapIndex_);
    XMLUtils::addChild(doc, node, "Duration", static_cast<int>(duration_));
    XMLUtils::addChild(doc, node, "IsInArrears", isInArrears_);
    if (fixingDays_ != Null<Size>())
        XMLUtils::addChild(doc, node, "FixingDays", static_cast<int>(fixingDays_));
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Caps", "Cap", caps_, "startDate", capDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Floors", "Floor", floors_, "startDate", floorDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Gearings", "Gearing", gearings_, "startDate",
                                                gearingDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Spreads", "Spread", spreads_, "startDate", spreadDates_);
    XMLUtils::addChild(doc, node, "NakedOption", nakedOption_);
    return node;
}

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Member Data Documentation

swapIndex_

std::string swapIndex_

private

Definition at line 89 of file durationadjustedcmslegdata.hpp.

duration_

Size duration_

private

Definition at line 90 of file durationadjustedcmslegdata.hpp.

fixingDays_

Size fixingDays_

private

Definition at line 91 of file durationadjustedcmslegdata.hpp.

isInArrears_

bool isInArrears_

private

Definition at line 92 of file durationadjustedcmslegdata.hpp.

spreads_

std::vector<double> spreads_

private

Definition at line 93 of file durationadjustedcmslegdata.hpp.

spreadDates_

std::vector<std::string> spreadDates_

private

Definition at line 94 of file durationadjustedcmslegdata.hpp.

caps_

std::vector<double> caps_

private

Definition at line 95 of file durationadjustedcmslegdata.hpp.

capDates_

std::vector<std::string> capDates_

private

Definition at line 96 of file durationadjustedcmslegdata.hpp.

floors_

std::vector<double> floors_

private

Definition at line 97 of file durationadjustedcmslegdata.hpp.

floorDates_

std::vector<std::string> floorDates_

private

Definition at line 98 of file durationadjustedcmslegdata.hpp.

gearings_

std::vector<double> gearings_

private

Definition at line 99 of file durationadjustedcmslegdata.hpp.

gearingDates_

std::vector<std::string> gearingDates_

private

Definition at line 100 of file durationadjustedcmslegdata.hpp.

nakedOption_

bool nakedOption_

private

Definition at line 101 of file durationadjustedcmslegdata.hpp.