Fully annotated reference manual - version 1.8.12
Loading...
Searching...
No Matches
#include <ored/portfolio/varianceswap.hpp>
Inheritance diagram for EqVarSwap: Collaboration diagram for EqVarSwap:Public Member Functions | |
| EqVarSwap () | |
| EqVarSwap (ore::data::Envelope &env, string longShort, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, string currency, double strike, double notional, string startDate, string endDate, string momentType, bool addPastDividends) | |
| std::map< AssetClass, std::set< std::string > > | underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override |
| Add underlying Equity names. More... | |
| Public Member Functions inherited from VarSwap | |
| void | build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &) override |
| const string & | longShort () |
| const std::string & | name () const |
| const QuantLib::ext::shared_ptr< ore::data::Underlying > & | underlying () const |
| const string & | currency () |
| double | strike () |
| double | notional () const override |
| Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More... | |
| const string & | startDate () |
| const string & | endDate () |
| const string & | calendar () |
| AssetClass | assetClassUnderlying () |
| const string & | momentType () |
| const bool | addPastDividends () |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (ore::data::XMLDocument &doc) const override |
| Public Member Functions inherited from Trade | |
| Trade () | |
| Default constructor. More... | |
| Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions()) | |
| Base class constructor. More... | |
| virtual | ~Trade () |
| Default destructor. More... | |
| virtual void | build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0 |
| virtual std::map< std::string, RequiredFixings::FixingDates > | fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const |
| const RequiredFixings & | requiredFixings () const |
| virtual std::map< AssetClass, std::set< std::string > > | underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const |
| void | reset () |
| Reset trade, clear all base class data. This does not reset accumulated timings for this trade. More... | |
| void | resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0) |
| Reset accumulated timings to given values. More... | |
| string & | id () |
| Set the trade id. More... | |
| void | setEnvelope (const Envelope &envelope) |
| Set the envelope with counterparty and portfolio info. More... | |
| void | setAdditionalData (const std::map< std::string, boost::any > &additionalData) |
| TradeActions & | tradeActions () |
| Set the trade actions. More... | |
| const string & | id () const |
| const string & | tradeType () const |
| const Envelope & | envelope () const |
| const set< string > & | portfolioIds () const |
| const TradeActions & | tradeActions () const |
| const QuantLib::ext::shared_ptr< InstrumentWrapper > & | instrument () const |
| const std::vector< QuantLib::Leg > & | legs () const |
| const std::vector< string > & | legCurrencies () const |
| const std::vector< bool > & | legPayers () const |
| const string & | npvCurrency () const |
| virtual string | notionalCurrency () const |
| const Date & | maturity () const |
| virtual bool | isExpired (const Date &d) |
| const string & | issuer () const |
| template<typename T > | |
| T | additionalDatum (const std::string &tag) const |
| returns any additional datum. More... | |
| virtual const std::map< std::string, boost::any > & | additionalData () const |
| returns all additional data returned by the trade once built More... | |
| const std::string & | sensitivityTemplate () const |
| void | validate () const |
| Utility to validate that everything that needs to be set in this base class is actually set. More... | |
| virtual bool | hasCashflows () const |
| boost::timer::nanosecond_type | getCumulativePricingTime () const |
| Get cumulative timing spent on pricing. More... | |
| std::size_t | getNumberOfPricings () const |
| Get number of pricings. More... | |
| 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... | |
Additional Inherited Members | |
| Protected Member Functions inherited from VarSwap | |
| VarSwap (AssetClass assetClassUnderlying) | |
| VarSwap (ore::data::Envelope &env, string longShort, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, string currency, double strike, double notional, string startDate, string endDate, AssetClass assetClassUnderlying, string momentType, bool addPastDividends) | |
| Protected Member Functions inherited from Trade | |
| Date | addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration) |
| void | setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const |
| void | setSensitivityTemplate (const EngineBuilder &builder) |
| void | setSensitivityTemplate (const std::string &id) |
| Protected Attributes inherited from VarSwap | |
| AssetClass | assetClassUnderlying_ |
| QuantLib::ext::shared_ptr< ore::data::Underlying > | underlying_ |
| Protected Attributes inherited from Trade | |
| string | tradeType_ |
| QuantLib::ext::shared_ptr< InstrumentWrapper > | instrument_ |
| std::vector< QuantLib::Leg > | legs_ |
| std::vector< string > | legCurrencies_ |
| std::vector< bool > | legPayers_ |
| string | npvCurrency_ |
| QuantLib::Real | notional_ |
| string | notionalCurrency_ |
| Date | maturity_ |
| string | issuer_ |
| string | sensitivityTemplate_ |
| bool | sensitivityTemplateSet_ = false |
| std::size_t | savedNumberOfPricings_ = 0 |
| boost::timer::nanosecond_type | savedCumulativePricingTime_ = 0 |
| RequiredFixings | requiredFixings_ |
| std::map< std::string, boost::any > | additionalData_ |
Definition at line 98 of file varianceswap.hpp.
| EqVarSwap | ( | ) |
Definition at line 100 of file varianceswap.hpp.
| EqVarSwap | ( | ore::data::Envelope & | env, |
| string | longShort, | ||
| const QuantLib::ext::shared_ptr< ore::data::Underlying > & | underlying, | ||
| string | currency, | ||
| double | strike, | ||
| double | notional, | ||
| string | startDate, | ||
| string | endDate, | ||
| string | momentType, | ||
| bool | addPastDividends | ||
| ) |
Definition at line 101 of file varianceswap.hpp.
|
overridevirtual |
Add underlying Equity names.
Reimplemented from Trade.
Definition at line 189 of file varianceswap.cpp.
Here is the call graph for this function: