EquityMarginLegBuilder Class Reference

#include <ored/portfolio/equityfxlegbuilder.hpp>

Inheritance diagram for EquityMarginLegBuilder:

Collaboration diagram for EquityMarginLegBuilder:

Public Member Functions
	EquityMarginLegBuilder ()
QuantLib::Leg	buildLeg (const ore::data::LegData &data, const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory, ore::data::RequiredFixings &requiredFixings, const std::string &configuration, const QuantLib::Date &openEndDateReplacement=QuantLib::Null< QuantLib::Date >(), const bool useXbsCurves=false) const override
Public Member Functions inherited from LegBuilder
	LegBuilder (const string &legType)
virtual	~LegBuilder ()
virtual Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const =0
const string &	legType () const

Detailed Description

Definition at line 33 of file equityfxlegbuilder.hpp.

Constructor & Destructor Documentation

EquityMarginLegBuilder()

EquityMarginLegBuilder

(

)

Definition at line 35 of file equityfxlegbuilder.hpp.

: LegBuilder("EquityMargin") {}

Member Function Documentation

buildLeg()

Leg buildLeg ( const ore::data::LegData &  data, const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &  engineFactory, ore::data::RequiredFixings &  requiredFixings, const std::string &  configuration, const QuantLib::Date &  openEndDateReplacement = QuantLib::Null<QuantLib::Date>(), const bool  useXbsCurves = false  ) const

override

Definition at line 39 of file equityfxlegbuilder.cpp.

                                                                                                                {
    auto eqMarginData = QuantLib::ext::dynamic_pointer_cast<EquityMarginLegData>(data.concreteLegData());
    QL_REQUIRE(eqMarginData, "Wrong LegType, expected EquityMargin");
     
    QuantLib::ext::shared_ptr<EquityLegData> eqData = eqMarginData->equityLegData();
    
    string eqName = eqData->eqName();
    auto eqCurve = *engineFactory->market()->equityCurve(eqName, configuration);
 
    Currency dataCurrency = parseCurrencyWithMinors(data.currency());
    Currency eqCurrency = eqCurve->currency();
 
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex = nullptr;
    // if equity currency differs from the leg currency we need an FxIndex
    if (dataCurrency != eqCurrency) {
        QL_REQUIRE(eqData->fxIndex() != "",
                   "No FxIndex - if equity currency differs from leg currency an FxIndex must be provided");
        fxIndex = buildFxIndex(eqData->fxIndex(), data.currency(), eqCurrency.code(), engineFactory->market(),
                               configuration);
    }
 
    Leg result = makeEquityMarginLeg(data, eqCurve, fxIndex, openEndDateReplacement);
    addToRequiredFixings(result, QuantLib::ext::make_shared<ore::data::FixingDateGetter>(requiredFixings));
    return result;
}

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