FixedLegBuilder Class Reference

#include <ored/portfolio/legbuilders.hpp>

Inheritance diagram for FixedLegBuilder:

Collaboration diagram for FixedLegBuilder:

Public Member Functions
	FixedLegBuilder ()
Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< 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 34 of file legbuilders.hpp.

Constructor & Destructor Documentation

FixedLegBuilder()

FixedLegBuilder

(

)

Definition at line 36 of file legbuilders.hpp.

: LegBuilder("Fixed") {}

Member Function Documentation

buildLeg()

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

overridevirtual

Implements LegBuilder.

Definition at line 33 of file legbuilders.cpp.

                                                                                                         {
    Leg leg = makeFixedLeg(data, openEndDateReplacement);
    applyIndexing(leg, data, engineFactory, requiredFixings, openEndDateReplacement, useXbsCurves);
    addToRequiredFixings(leg, QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings));
    if (data.legType() == "Fixed" && !data.isNotResetXCCY()) {
 
        QL_REQUIRE(!data.fxIndex().empty(), "FixedLegBuilder: need fx index for fx resetting leg");
        auto fxIndex = buildFxIndex(data.fxIndex(), data.currency(), data.foreignCurrency(), engineFactory->market(),
                                    configuration, true);
 
        // If no initial notional is given, all coupons including the first period will be FX linked (i.e resettable)
        Size j = 0;
        if (data.notionals().size() == 0) {
            DLOG("Building FX Resettable with unspecified domestic notional");
        } else {
            // given an initial amount (not a resettable period)
            LOG("Building FX Resettable with first domestic notional specified explicitly");
            j = 1;
        }
 
        for (; j < leg.size(); ++j) {
            QuantLib::ext::shared_ptr<FixedRateCoupon> coupon = QuantLib::ext::dynamic_pointer_cast<FixedRateCoupon>(leg[j]);
            Date fixingDate = fxIndex->fixingCalendar().advance(coupon->accrualStartDate(),
                                                                -static_cast<Integer>(fxIndex->fixingDays()), Days);
            QuantLib::ext::shared_ptr<FixedRateFXLinkedNotionalCoupon> fxLinkedCoupon =
                QuantLib::ext::make_shared<FixedRateFXLinkedNotionalCoupon>(fixingDate, data.foreignAmount(), fxIndex, coupon);
            leg[j] = fxLinkedCoupon;
 
            // Add the FX fixing to the required fixings
            requiredFixings.addFixingDate(fixingDate, data.fxIndex(), fxLinkedCoupon->date());
        }
    }
    return leg;
}

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