FixingDateGetter Class Reference

#include <ored/portfolio/fixingdates.hpp>

Inheritance diagram for FixingDateGetter:

Collaboration diagram for FixingDateGetter:

Public Member Functions
	FixingDateGetter (RequiredFixings &requiredFixings)
	Constructor. More...

Visitor interface
RequiredFixings &	requiredFixings_
bool	requireFixingStartDates_ = false
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	additionalFxIndex_
void	visit (QuantLib::CashFlow &c) override
void	visit (QuantLib::FloatingRateCoupon &c) override
void	visit (QuantLib::IborCoupon &c) override
void	visit (QuantLib::CappedFlooredCoupon &c) override
void	visit (QuantLib::IndexedCashFlow &c) override
void	visit (QuantLib::CPICashFlow &c) override
void	visit (QuantLib::CPICoupon &c) override
void	visit (QuantLib::YoYInflationCoupon &c) override
void	visit (QuantExt::NonStandardYoYInflationCoupon &c) override
void	visit (QuantLib::OvernightIndexedCoupon &c) override
void	visit (QuantExt::OvernightIndexedCoupon &c) override
void	visit (QuantExt::CappedFlooredOvernightIndexedCoupon &c) override
void	visit (QuantLib::AverageBMACoupon &c) override
void	visit (QuantExt::CappedFlooredAverageBMACoupon &c) override
void	visit (QuantLib::CmsSpreadCoupon &c) override
void	visit (QuantLib::DigitalCoupon &c) override
void	visit (QuantLib::StrippedCappedFlooredCoupon &c) override
void	visit (QuantExt::AverageONIndexedCoupon &c) override
void	visit (QuantExt::CappedFlooredAverageONIndexedCoupon &c) override
void	visit (QuantExt::EquityCoupon &c) override
void	visit (QuantExt::FloatingRateFXLinkedNotionalCoupon &c) override
void	visit (QuantExt::FXLinkedCashFlow &c) override
void	visit (QuantExt::AverageFXLinkedCashFlow &c) override
void	visit (QuantExt::SubPeriodsCoupon1 &c) override
void	visit (QuantExt::IndexedCoupon &c) override
void	visit (QuantExt::IndexWrappedCashFlow &c) override
void	visit (QuantExt::CmbCoupon &c) override
void	visit (QuantExt::EquityMarginCoupon &c) override
void	visit (QuantExt::CommodityCashFlow &c) override
void	visit (QuantExt::BondTRSCashFlow &c) override
void	visit (QuantExt::TRSCashFlow &c) override
void	setRequireFixingStartDates (const bool b)
void	setAdditionalFxIndex (const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &i)
std::string	oreIndexName (const std::string &qlIndexName) const

Detailed Description

Helper Class that gets relevant fixing dates from coupons and add them to a RequiredFixings instance.

Each type of FloatingRateCoupon that we wish to cover should be added here and a visit method implemented against it.

Definition at line 260 of file fixingdates.hpp.

Constructor & Destructor Documentation

FixingDateGetter()

FixingDateGetter

(

RequiredFixings &

requiredFixings

)

Constructor.

Definition at line 295 of file fixingdates.hpp.

: requiredFixings_(requiredFixings) {}

Member Function Documentation

visit() [1/31]

void visit ( QuantLib::CashFlow &  c )

override

visit() [2/31]

void visit ( QuantLib::FloatingRateCoupon &  c )

override

visit() [3/31]

void visit ( QuantLib::IborCoupon &  c )

override

visit() [4/31]

void visit ( QuantLib::CappedFlooredCoupon &  c )

override

visit() [5/31]

void visit ( QuantLib::IndexedCashFlow &  c )

override

visit() [6/31]

void visit ( QuantLib::CPICashFlow &  c )

override

Not added in QuantLib so will never be hit automatically! Managed by passing off from IndexedCashFlow.

visit() [7/31]

void visit ( QuantLib::CPICoupon &  c )

override

visit() [8/31]

void visit ( QuantLib::YoYInflationCoupon &  c )

override

visit() [9/31]

void visit ( QuantExt::NonStandardYoYInflationCoupon &  c )

override

Definition at line 657 of file fixingdates.cpp.

                                                                     {
 
    bool isInterpolated = c.isInterpolated();
    requiredFixings_.addZeroInflationFixingDate(
        c.fixingDateNumerator(), IndexNameTranslator::instance().oreName(c.cpiIndex()->name()), isInterpolated,
        c.cpiIndex()->frequency(), c.cpiIndex()->availabilityLag(), CPI::Flat, c.cpiIndex()->frequency(), c.date());
    requiredFixings_.addZeroInflationFixingDate(
        c.fixingDateDenumerator(), IndexNameTranslator::instance().oreName(c.cpiIndex()->name()), isInterpolated,
        c.cpiIndex()->frequency(), c.cpiIndex()->availabilityLag(), CPI::Flat, c.cpiIndex()->frequency(), c.date());
}

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visit() [10/31]

void visit ( QuantLib::OvernightIndexedCoupon &  c )

override

Definition at line 562 of file fixingdates.cpp.

                                                              {
    requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.index()->name()),
                                    c.date());
}

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visit() [11/31]

void visit ( QuantExt::OvernightIndexedCoupon &  c )

override

Definition at line 567 of file fixingdates.cpp.

                                                              {
    auto fallback = QuantLib::ext::dynamic_pointer_cast<FallbackOvernightIndex>(c.index());
    string indexName;
    if (fallback && c.fixingDate() >= fallback->switchDate())
        indexName = fallback->rfrIndex()->name();
    else
        indexName = c.index()->name();
    requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(indexName), c.date());
}

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visit() [12/31]

void visit ( QuantExt::CappedFlooredOvernightIndexedCoupon &  c )

override

Definition at line 577 of file fixingdates.cpp.

{ c.underlying()->accept(*this); }

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visit() [13/31]

void visit ( QuantLib::AverageBMACoupon &  c )

override

visit() [14/31]

void visit ( QuantExt::CappedFlooredAverageBMACoupon &  c )

override

Definition at line 584 of file fixingdates.cpp.

{ c.underlying()->accept(*this); }

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visit() [15/31]

void visit ( QuantLib::CmsSpreadCoupon &  c )

override

visit() [16/31]

void visit ( QuantLib::DigitalCoupon &  c )

override

visit() [17/31]

void visit ( QuantLib::StrippedCappedFlooredCoupon &  c )

override

visit() [18/31]

void visit ( QuantExt::AverageONIndexedCoupon &  c )

override

Definition at line 600 of file fixingdates.cpp.

                                                      {
    requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.index()->name()),
                                    c.date());
}

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visit() [19/31]

void visit ( QuantExt::CappedFlooredAverageONIndexedCoupon &  c )

override

Definition at line 605 of file fixingdates.cpp.

{ c.underlying()->accept(*this); }

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visit() [20/31]

void visit ( QuantExt::EquityCoupon &  c )

override

Definition at line 607 of file fixingdates.cpp.

                                            {
    requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.equityCurve()->name()),
                                    c.date());
    if (c.fxIndex() != nullptr) {
        requiredFixings_.addFixingDate(c.fixingStartDate(),
                                       IndexNameTranslator::instance().oreName(c.fxIndex()->name()), c.date());
        requiredFixings_.addFixingDate(c.fixingEndDate(), IndexNameTranslator::instance().oreName(c.fxIndex()->name()),
                                       c.date());
    }
}

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visit() [21/31]

void visit ( QuantExt::FloatingRateFXLinkedNotionalCoupon &  c )

override

Definition at line 618 of file fixingdates.cpp.

                                                                  {
    requiredFixings_.addFixingDate(c.fxFixingDate(), IndexNameTranslator::instance().oreName(c.fxIndex()->name()),
                                   c.date());
    c.underlying()->accept(*this);
}

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visit() [22/31]

void visit ( QuantExt::FXLinkedCashFlow &  c )

override

Definition at line 624 of file fixingdates.cpp.

                                                {
    requiredFixings_.addFixingDate(c.fxFixingDate(), IndexNameTranslator::instance().oreName(c.fxIndex()->name()),
                                   c.date());
}

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visit() [23/31]

void visit ( QuantExt::AverageFXLinkedCashFlow &  c )

override

Definition at line 629 of file fixingdates.cpp.

                                                       {
    requiredFixings_.addFixingDates(c.fxFixingDates(), IndexNameTranslator::instance().oreName(c.fxIndex()->name()),
                                    c.date());
}

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visit() [24/31]

void visit ( QuantExt::SubPeriodsCoupon1 &  c )

override

Definition at line 634 of file fixingdates.cpp.

                                                         {
    requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.index()->name()),
                                    c.date());
}

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visit() [25/31]

void visit ( QuantExt::IndexedCoupon &  c )

override

Definition at line 639 of file fixingdates.cpp.

                                             {
    // the coupon's index might be null if an initial fixing is provided
    if (c.index())
        requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.index()->name()),
                                       c.date());
    QL_REQUIRE(c.underlying(), "FixingDateGetter::visit(IndexedCoupon): underlying() is null");
    c.underlying()->accept(*this);
}

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visit() [26/31]

void visit ( QuantExt::IndexWrappedCashFlow &  c )

override

Definition at line 648 of file fixingdates.cpp.

                                                    {
    // the cf's index might be null if an initial fixing is provided
    if (c.index())
        requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.index()->name()),
                                       c.date());
    QL_REQUIRE(c.underlying(), "FixingDateGetter::visit(IndexWrappedCashFlow): underlying() is null");
    c.underlying()->accept(*this);
}

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visit() [27/31]

void visit ( QuantExt::CmbCoupon &  c )

override

Definition at line 668 of file fixingdates.cpp.

                                         {
    requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.bondIndex()->name()),
                                   c.date());
}

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visit() [28/31]

void visit ( QuantExt::EquityMarginCoupon &  c )

override

Definition at line 673 of file fixingdates.cpp.

                                                  {
    requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.equityCurve()->name()),
                                    c.date());
    if (c.fxIndex() != nullptr)
        requiredFixings_.addFixingDate(c.fixingStartDate(),
                                       IndexNameTranslator::instance().oreName(c.fxIndex()->name()), c.date());
}

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visit() [29/31]

void visit ( QuantExt::CommodityCashFlow &  c )

override

Definition at line 681 of file fixingdates.cpp.

                                                 {
    auto indices = c.indices();
    for (const auto& [pricingDate, index] : indices) {
        // todays fixing is not mandatory, we will fallback to estimate it if its not there.
        bool isTodaysFixing = Settings::instance().evaluationDate() == pricingDate;
        if (auto powerIndex = QuantLib::ext::dynamic_pointer_cast<OffPeakPowerIndex>(index)) {
            // if powerindex, we need the offpeak index fixing and the peak index fixings
            requiredFixings_.addFixingDate(pricingDate, powerIndex->offPeakIndex()->name(), c.date(), false,
                                           !isTodaysFixing);
            bool isOffPeakDay = powerIndex->peakCalendar().isHoliday(pricingDate);
            requiredFixings_.addFixingDate(pricingDate, powerIndex->peakIndex()->name(), c.date(), false,
                                           isOffPeakDay && !isTodaysFixing);
            // if the pricing date is > future expiry, add the future expiry itself as well
            if (auto d = index->expiryDate(); d != Date() && d < pricingDate) {
                requiredFixings_.addFixingDate(d, powerIndex->offPeakIndex()->name(), c.date(), false, !isTodaysFixing);
                requiredFixings_.addFixingDate(d, powerIndex->peakIndex()->name(), c.date(), false,
                                               isOffPeakDay && !isTodaysFixing);
            }
        } else {
            requiredFixings_.addFixingDate(pricingDate, index->name(), c.date(), false, !isTodaysFixing);
            // if the pricing date is > future expiry, add the future expiry itself as well
            if (auto d = index->expiryDate(); d != Date() && d < pricingDate) {
                requiredFixings_.addFixingDate(d, index->name(), c.date(), false, !isTodaysFixing);
            }
        } 
        if (auto baseFutureIndex = QuantLib::ext::dynamic_pointer_cast<CommodityBasisFutureIndex>(index)) {
            RequiredFixings tmpFixings;
            FixingDateGetter baseCashflowGetter(tmpFixings);
            baseFutureIndex->baseCashflow(c.date())->accept(baseCashflowGetter);
            auto optionalFixings = tmpFixings.makeCopyWithMandatoryOverride(false);
            requiredFixings_.addData(optionalFixings);
        }
    }
}

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visit() [30/31]

void visit ( QuantExt::BondTRSCashFlow &  c )

override

Definition at line 716 of file fixingdates.cpp.

                                                {
    if (bc.initialPrice() == Null<Real>() || requireFixingStartDates_) {
        requiredFixings_.addFixingDate(bc.fixingStartDate(), bc.index()->name(), bc.date());
    }
    requiredFixings_.addFixingDate(bc.fixingEndDate(), bc.index()->name(), bc.date());
    if (bc.fxIndex()) {
        requiredFixings_.addFixingDate(bc.fxIndex()->fixingCalendar().adjust(bc.fixingStartDate(), Preceding),
                                       IndexNameTranslator::instance().oreName(bc.fxIndex()->name()), bc.date());
        requiredFixings_.addFixingDate(bc.fxIndex()->fixingCalendar().adjust(bc.fixingEndDate(), Preceding),
                                       IndexNameTranslator::instance().oreName(bc.fxIndex()->name()), bc.date());
    }
}

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visit() [31/31]

void visit ( QuantExt::TRSCashFlow &  c )

override

Definition at line 729 of file fixingdates.cpp.

                                            {
    vector<QuantLib::ext::shared_ptr<Index>> indexes;
    vector<QuantLib::ext::shared_ptr<FxIndex>> fxIndexes;
 
    if (auto e = QuantLib::ext::dynamic_pointer_cast<QuantExt::CompositeIndex>(bc.index())) {
        indexes = e->indices();
        fxIndexes = e->fxConversion();
 
        // Dividends date can require FX fixings for conversion, add any required fixing
        std::vector<std::pair<QuantLib::Date, std::string>> fixings =
            e->dividendFixingDates(bc.fixingStartDate(), bc.fixingEndDate());
 
        for (const auto& f : fixings)
            requiredFixings_.addFixingDate(f.first, ore::data::IndexNameTranslator::instance().oreName(f.second));
    } else {
        indexes.push_back(bc.index());
    }
 
    // always add the top level fxIndex, for a CompositeIndex we may need to convert underlyings to the CompositeIndex
    // ccy and then to the leg currency
    fxIndexes.push_back(bc.fxIndex());
    if (additionalFxIndex_)
        fxIndexes.push_back(additionalFxIndex_);
 
    for (const auto& ind : indexes) {
        if (ind) {
            auto startDate = ind->fixingCalendar().adjust(bc.fixingStartDate(), Preceding);
            auto endDate = ind->fixingCalendar().adjust(bc.fixingEndDate(), Preceding);
 
            auto gi = QuantLib::ext::dynamic_pointer_cast<QuantExt::GenericIndex>(ind);
 
            if (!gi || gi->expiry() == Date() || startDate < gi->expiry()) {
                if (bc.initialPrice() == Null<Real>() || requireFixingStartDates_)
                    requiredFixings_.addFixingDate(startDate, IndexNameTranslator::instance().oreName(ind->name()),
                                                   bc.date());
            }
 
            if (!gi || gi->expiry() == Date() || endDate < gi->expiry())
                requiredFixings_.addFixingDate(endDate, IndexNameTranslator::instance().oreName(ind->name()),
                                               bc.date());
        }
    }
 
    for (const auto& fx : fxIndexes) {
        if (fx) {
            requiredFixings_.addFixingDate(fx->fixingCalendar().adjust(bc.fixingStartDate(), Preceding),
                                           IndexNameTranslator::instance().oreName(fx->name()), bc.date());
            requiredFixings_.addFixingDate(fx->fixingCalendar().adjust(bc.fixingEndDate(), Preceding),
                                           IndexNameTranslator::instance().oreName(fx->name()), bc.date());
 
            // also add using the underlyingIndex calendar, as FX Conversion is done within a CompositeIndex
            // for a basket of underlyings
            requiredFixings_.addFixingDate(bc.index()->fixingCalendar().adjust(bc.fixingStartDate(), Preceding),
                                           IndexNameTranslator::instance().oreName(fx->name()), bc.date(), false);
            requiredFixings_.addFixingDate(bc.index()->fixingCalendar().adjust(bc.fixingEndDate(), Preceding),
                                           IndexNameTranslator::instance().oreName(fx->name()), bc.date(), false);
        }
    }
}

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setRequireFixingStartDates()

void setRequireFixingStartDates

(

const bool

b

)

Definition at line 335 of file fixingdates.hpp.

{ requireFixingStartDates_ = b; }

setAdditionalFxIndex()

void setAdditionalFxIndex

(

const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &

i

)

Definition at line 336 of file fixingdates.hpp.

{ additionalFxIndex_ = i; }

oreIndexName()

std::string oreIndexName ( const std::string &  qlIndexName ) const

protected

Member Data Documentation

requiredFixings_

RequiredFixings& requiredFixings_

protected

Definition at line 340 of file fixingdates.hpp.

requireFixingStartDates_

bool requireFixingStartDates_ = false

private

Definition at line 344 of file fixingdates.hpp.

additionalFxIndex_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> additionalFxIndex_

private

Definition at line 346 of file fixingdates.hpp.