EquityLegData Class Reference

Serializable Fixed Leg Data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for EquityLegData:

Collaboration diagram for EquityLegData:

Public Member Functions
	EquityLegData ()
	Default constructor. More...
	EquityLegData (EquityReturnType returnType, Real dividendFactor, EquityUnderlying equityUnderlying, Real initialPrice, bool notionalReset, Natural fixingDays=0, const ScheduleData &valuationSchedule=ScheduleData(), string eqCurrency="", string fxIndex="", Real quantity=Null< Real >(), string initialPriceCurrency="")
	Constructor. More...
Inspectors
EquityReturnType	returnType () const
string	eqName ()
Real	dividendFactor () const
EquityUnderlying	equityIdentifier () const
Real	initialPrice () const
Natural	fixingDays () const
ScheduleData	valuationSchedule () const
const string &	eqCurrency () const
const string &	fxIndex () const
bool	notionalReset () const
Real	quantity () const
const string &	initialPriceCurrency () const
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
EquityReturnType	returnType_
Real	dividendFactor_ = 1.0
EquityUnderlying	equityUnderlying_
Real	initialPrice_
bool	notionalReset_ = false
Natural	fixingDays_ = 0
ScheduleData	valuationSchedule_
string	eqCurrency_ = ""
string	fxIndex_ = ""
Real	quantity_
string	initialPriceCurrency_
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

Serializable Fixed Leg Data.

Definition at line 754 of file legdata.hpp.

Constructor & Destructor Documentation

EquityLegData() [1/2]

EquityLegData

(

)

Default constructor.

Definition at line 757 of file legdata.hpp.

: LegAdditionalData("Equity"), initialPrice_(Null<Real>()), quantity_(Null<Real>()) {}

EquityLegData() [2/2]

EquityLegData	(	EquityReturnType	returnType,
		Real	dividendFactor,
		EquityUnderlying	equityUnderlying,
		Real	initialPrice,
		bool	notionalReset,
		Natural	fixingDays = 0,
		const ScheduleData &	valuationSchedule = ScheduleData(),
		string	eqCurrency = "",
		string	fxIndex = "",
		Real	quantity = Null<Real>(),
		string	initialPriceCurrency = ""
	)

Constructor.

Definition at line 759 of file legdata.hpp.

        : LegAdditionalData("Equity"), returnType_(returnType), dividendFactor_(dividendFactor),
          equityUnderlying_(equityUnderlying), initialPrice_(initialPrice), notionalReset_(notionalReset),
          fixingDays_(fixingDays), valuationSchedule_(valuationSchedule), eqCurrency_(eqCurrency), fxIndex_(fxIndex),
          quantity_(quantity), initialPriceCurrency_(initialPriceCurrency) {
        indices_.insert("EQ-" + eqName());
    }

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Member Function Documentation

returnType()

EquityReturnType returnType

(

)

const

Definition at line 771 of file legdata.hpp.

{ return returnType_; }

eqName()

string eqName

(

)

Definition at line 772 of file legdata.hpp.

{ return equityUnderlying_.name(); }

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dividendFactor()

Real dividendFactor

(

)

const

Definition at line 773 of file legdata.hpp.

{ return dividendFactor_; }

equityIdentifier()

EquityUnderlying equityIdentifier

(

)

const

Definition at line 774 of file legdata.hpp.

{ return equityUnderlying_; }

initialPrice()

Real initialPrice

(

)

const

Definition at line 775 of file legdata.hpp.

{ return initialPrice_; }

fixingDays()

Natural fixingDays

(

)

const

Definition at line 776 of file legdata.hpp.

{ return fixingDays_; }

valuationSchedule()

ScheduleData valuationSchedule

(

)

const

Definition at line 777 of file legdata.hpp.

{ return valuationSchedule_; }

eqCurrency()

const string & eqCurrency

(

)

const

Definition at line 778 of file legdata.hpp.

{ return eqCurrency_; }

fxIndex()

const string & fxIndex

(

)

const

Definition at line 779 of file legdata.hpp.

{ return fxIndex_; }

notionalReset()

bool notionalReset

(

)

const

Definition at line 780 of file legdata.hpp.

{ return notionalReset_; }

quantity()

Real quantity

(

)

const

Definition at line 781 of file legdata.hpp.

{ return quantity_; }                                  // might be null

initialPriceCurrency()

const string & initialPriceCurrency

(

)

const

Definition at line 782 of file legdata.hpp.

{ return initialPriceCurrency_; } // might be empty

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 618 of file legdata.cpp.

                                         {
    XMLUtils::checkNode(node, legNodeName());
    returnType_ = parseEquityReturnType(XMLUtils::getChildValue(node, "ReturnType"));
    if (returnType_ == EquityReturnType::Total && XMLUtils::getChildNode(node, "DividendFactor"))
        dividendFactor_ = XMLUtils::getChildValueAsDouble(node, "DividendFactor", true);
    else
        dividendFactor_ = 1.0;
    XMLNode* utmp = XMLUtils::getChildNode(node, "Underlying");
    if (!utmp)
        utmp = XMLUtils::getChildNode(node, "Name");
    equityUnderlying_.fromXML(utmp);
    indices_.insert("EQ-" + eqName());
    if (XMLUtils::getChildNode(node, "InitialPrice"))
        initialPrice_ = XMLUtils::getChildValueAsDouble(node, "InitialPrice");
    else
        initialPrice_ = Null<Real>();
    initialPriceCurrency_ = XMLUtils::getChildValue(node, "InitialPriceCurrency", false);
    fixingDays_ = XMLUtils::getChildValueAsInt(node, "FixingDays");
    XMLNode* tmp = XMLUtils::getChildNode(node, "ValuationSchedule");
    if (tmp)
        valuationSchedule_.fromXML(tmp);
    if (XMLUtils::getChildNode(node, "NotionalReset"))
        notionalReset_ = XMLUtils::getChildValueAsBool(node, "NotionalReset");
    else
        notionalReset_ = true;
 
    XMLNode* fxt = XMLUtils::getChildNode(node, "FXTerms");
    if (fxt) {
        eqCurrency_ = XMLUtils::getChildValue(fxt, "EquityCurrency", false);
        fxIndex_ = XMLUtils::getChildValue(fxt, "FXIndex", true);
        if (XMLUtils::getChildNode(fxt, "FXIndexFixingDays")) {
            WLOG("EquityLegData::fromXML, node FXIndexFixingDays has been deprecated, fixing days are "
                 "taken from conventions.");
        }
        if (XMLUtils::getChildNode(fxt, "FXIndexCalendar")) {
            WLOG("EquityLegData::fromXML, node FXIndexCalendar has been deprecated, fixing calendar is "
                 "taken from conventions.");
        }
        indices_.insert(fxIndex_);
    }
 
    if (XMLNode* qty = XMLUtils::getChildNode(node, "Quantity"))
        quantity_ = parseReal(XMLUtils::getNodeValue(qty));
    else
        quantity_ = Null<Real>();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 665 of file legdata.cpp.

                                                    {
    XMLNode* node = doc.allocNode(legNodeName());
    if (quantity_ != Null<Real>())
        XMLUtils::addChild(doc, node, "Quantity", quantity_);
 
    XMLUtils::addChild(doc, node, "ReturnType", to_string(returnType_));
    if (returnType_ == EquityReturnType::Total)
        XMLUtils::addChild(doc, node, "DividendFactor", dividendFactor_);
 
    XMLUtils::appendNode(node, equityUnderlying_.toXML(doc));
    if (initialPrice_ != Null<Real>())
        XMLUtils::addChild(doc, node, "InitialPrice", initialPrice_);
    if (!initialPriceCurrency_.empty())
        XMLUtils::addChild(doc, node, "InitialPriceCurrency", initialPriceCurrency_);
    XMLUtils::addChild(doc, node, "NotionalReset", notionalReset_);
 
    if (valuationSchedule_.hasData()) {
        XMLNode* schedNode = valuationSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, schedNode, "ValuationSchedule");
        XMLUtils::appendNode(node, schedNode);
    } else {
        XMLUtils::addChild(doc, node, "FixingDays", static_cast<Integer>(fixingDays_));
    }
 
    if (fxIndex_ != "") {
        XMLNode* fxNode = doc.allocNode("FXTerms");
        XMLUtils::addChild(doc, fxNode, "EquityCurrency", eqCurrency_);
        XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex_);
        XMLUtils::appendNode(node, fxNode);
    }
    return node;
}

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Member Data Documentation

returnType_

EquityReturnType returnType_

private

Definition at line 791 of file legdata.hpp.

dividendFactor_

Real dividendFactor_ = 1.0

private

Definition at line 792 of file legdata.hpp.

equityUnderlying_

EquityUnderlying equityUnderlying_

private

Definition at line 793 of file legdata.hpp.

initialPrice_

Real initialPrice_

private

Definition at line 794 of file legdata.hpp.

notionalReset_

bool notionalReset_ = false

private

Definition at line 795 of file legdata.hpp.

fixingDays_

Natural fixingDays_ = 0

private

Definition at line 796 of file legdata.hpp.

valuationSchedule_

ScheduleData valuationSchedule_

private

Definition at line 797 of file legdata.hpp.

eqCurrency_

string eqCurrency_ = ""

private

Definition at line 798 of file legdata.hpp.

fxIndex_

string fxIndex_ = ""

private

Definition at line 799 of file legdata.hpp.

quantity_

Real quantity_

private

Definition at line 800 of file legdata.hpp.

initialPriceCurrency_

string initialPriceCurrency_

private

Definition at line 801 of file legdata.hpp.