Serializable Floating Leg Data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for FloatingLegData:

Collaboration diagram for FloatingLegData:

Public Member Functions
	FloatingLegData ()
	Default constructor. More...

	FloatingLegData (const string &index, QuantLib::Size fixingDays, bool isInArrears, const vector< double > &spreads, const vector< string > &spreadDates=vector< string >(), const vector< double > &caps=vector< double >(), const vector< string > &capDates=vector< string >(), const vector< double > &floors=vector< double >(), const vector< string > &floorDates=vector< string >(), const vector< double > &gearings=vector< double >(), const vector< string > &gearingDates=vector< string >(), bool isAveraged=false, bool nakedOption=false, bool hasSubPeriods=false, bool includeSpread=false, QuantLib::Period lookback=0 *Days, const Size rateCutoff=Null< Size >(), bool localCapFloor=false, const boost::optional< Period > &lastRecentPeriod=boost::none, const std::string &lastRecentPeriodCalendar=std::string(), bool telescopicValueDates=false, const std::map< QuantLib::Date, double > &historicalFixings={})
	Constructor. More...

Inspectors
const string &	index () const

QuantLib::Size	fixingDays () const

QuantLib::Period	lookback () const

QuantLib::Size	rateCutoff () const

boost::optional< bool >	isInArrears () const

bool	isAveraged () const

bool	hasSubPeriods () const

bool	includeSpread () const

const vector< double > &	spreads () const

const vector< string > &	spreadDates () const

const vector< double > &	caps () const

const vector< string > &	capDates () const

const vector< double > &	floors () const

const vector< string > &	floorDates () const

const vector< double > &	gearings () const

const vector< string > &	gearingDates () const

bool	nakedOption () const

bool	localCapFloor () const

const boost::optional< Period > &	lastRecentPeriod () const

const std::string &	lastRecentPeriodCalendar () const

bool	telescopicValueDates () const

ScheduleData	fixingSchedule () const

ScheduleData	resetSchedule () const

const std::map< QuantLib::Date, double > &	historicalFixings () const

Modifiers
vector< double > &	caps ()

vector< string > &	capDates ()

vector< double > &	floors ()

vector< string > &	floorDates ()

bool &	nakedOption ()

bool &	localCapFloor ()

bool &	telescopicValueDates ()

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
string	index_

QuantLib::Size	fixingDays_ = Null<Size>()

QuantLib::Period	lookback_ = 0 * Days

QuantLib::Size	rateCutoff_ = Null<Size>()

boost::optional< bool >	isInArrears_

bool	isAveraged_ = false

bool	hasSubPeriods_ = false

bool	includeSpread_ = false

vector< double >	spreads_

vector< string >	spreadDates_

vector< double >	caps_

vector< string >	capDates_

vector< double >	floors_

vector< string >	floorDates_

vector< double >	gearings_

vector< string >	gearingDates_

bool	nakedOption_ = false

bool	localCapFloor_ = false

boost::optional< Period >	lastRecentPeriod_

std::string	lastRecentPeriodCalendar_

bool	telescopicValueDates_ = false

ScheduleData	fixingSchedule_

ScheduleData	resetSchedule_

std::map< QuantLib::Date, double >	historicalFixings_

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 Floating Leg Data.

Definition at line 179 of file legdata.hpp.

Constructor & Destructor Documentation

◆ FloatingLegData() [1/2]

FloatingLegData ( )

Default constructor.

Definition at line 182 of file legdata.hpp.

182: LegAdditionalData("Floating") {}

ore::data::LegAdditionalData::LegAdditionalData

LegAdditionalData(const string &legType, const string &legNodeName)

Definition: legdata.hpp:65

◆ FloatingLegData() [2/2]

FloatingLegData	(	const string &	index,
		QuantLib::Size	fixingDays,
		bool	isInArrears,
		const vector< double > &	spreads,
		const vector< string > &	spreadDates = `vector<string>()`,
		const vector< double > &	caps = `vector<double>()`,
		const vector< string > &	capDates = `vector<string>()`,
		const vector< double > &	floors = `vector<double>()`,
		const vector< string > &	floorDates = `vector<string>()`,
		const vector< double > &	gearings = `vector<double>()`,
		const vector< string > &	gearingDates = `vector<string>()`,
		bool	isAveraged = `false`,
		bool	nakedOption = `false`,
		bool	hasSubPeriods = `false`,
		bool	includeSpread = `false`,
		QuantLib::Period	lookback = `0 * Days`,
		const Size	rateCutoff = `Null<Size>()`,
		bool	localCapFloor = `false`,
		const boost::optional< Period > &	lastRecentPeriod = `boost::none`,
		const std::string &	lastRecentPeriodCalendar = `std::string()`,
		bool	telescopicValueDates = `false`,
		const std::map< QuantLib::Date, double > &	historicalFixings = `{}`
	)

Constructor.

Definition at line 184 of file legdata.hpp.

                                                                            {})
        : LegAdditionalData("Floating"), index_(ore::data::internalIndexName(index)), fixingDays_(fixingDays),
          lookback_(lookback), rateCutoff_(rateCutoff), isInArrears_(isInArrears), isAveraged_(isAveraged),
          hasSubPeriods_(hasSubPeriods), includeSpread_(includeSpread), spreads_(spreads), spreadDates_(spreadDates),
          caps_(caps), capDates_(capDates), floors_(floors), floorDates_(floorDates), gearings_(gearings),
          gearingDates_(gearingDates), nakedOption_(nakedOption), localCapFloor_(localCapFloor),
          lastRecentPeriod_(lastRecentPeriod), lastRecentPeriodCalendar_(lastRecentPeriodCalendar), telescopicValueDates_(telescopicValueDates),
          historicalFixings_(historicalFixings) {
        indices_.insert(index_);
    }

Member Function Documentation

◆ index()

const string & index ( ) const

Definition at line 207 of file legdata.hpp.

207{ return index_; }

◆ fixingDays()

QuantLib::Size fixingDays ( ) const

Definition at line 208 of file legdata.hpp.

208{ return fixingDays_; }

◆ lookback()

QuantLib::Period lookback ( ) const

Definition at line 209 of file legdata.hpp.

209{ return lookback_; }

◆ rateCutoff()

QuantLib::Size rateCutoff ( ) const

Definition at line 210 of file legdata.hpp.

210{ return rateCutoff_; }

◆ isInArrears()

boost::optional< bool > isInArrears ( ) const

Definition at line 211 of file legdata.hpp.

211{ return isInArrears_; }

◆ isAveraged()

bool isAveraged ( ) const

Definition at line 212 of file legdata.hpp.

212{ return isAveraged_; }

◆ hasSubPeriods()

bool hasSubPeriods ( ) const

Definition at line 213 of file legdata.hpp.

213{ return hasSubPeriods_; }

◆ includeSpread()

bool includeSpread ( ) const

Definition at line 214 of file legdata.hpp.

214{ return includeSpread_; }

◆ spreads()

const vector< double > & spreads ( ) const

Definition at line 215 of file legdata.hpp.

215{ return spreads_; }

◆ spreadDates()

const vector< string > & spreadDates ( ) const

Definition at line 216 of file legdata.hpp.

216{ return spreadDates_; }

◆ caps() [1/2]

const vector< double > & caps ( ) const

Definition at line 217 of file legdata.hpp.

217{ return caps_; }

◆ capDates() [1/2]

const vector< string > & capDates ( ) const

Definition at line 218 of file legdata.hpp.

218{ return capDates_; }

◆ floors() [1/2]

const vector< double > & floors ( ) const

Definition at line 219 of file legdata.hpp.

219{ return floors_; }

◆ floorDates() [1/2]

const vector< string > & floorDates ( ) const

Definition at line 220 of file legdata.hpp.

220{ return floorDates_; }

◆ gearings()

const vector< double > & gearings ( ) const

Definition at line 221 of file legdata.hpp.

221{ return gearings_; }

◆ gearingDates()

const vector< string > & gearingDates ( ) const

Definition at line 222 of file legdata.hpp.

222{ return gearingDates_; }

◆ nakedOption() [1/2]

bool nakedOption ( ) const

Definition at line 223 of file legdata.hpp.

223{ return nakedOption_; }

◆ localCapFloor() [1/2]

bool localCapFloor ( ) const

Definition at line 224 of file legdata.hpp.

224{ return localCapFloor_; }

◆ lastRecentPeriod()

const boost::optional< Period > & lastRecentPeriod ( ) const

Definition at line 225 of file legdata.hpp.

225{ return lastRecentPeriod_; }

◆ lastRecentPeriodCalendar()

const std::string & lastRecentPeriodCalendar ( ) const

Definition at line 226 of file legdata.hpp.

226{ return lastRecentPeriodCalendar_; }

◆ telescopicValueDates() [1/2]

bool telescopicValueDates ( ) const

Definition at line 227 of file legdata.hpp.

227{ return telescopicValueDates_; }

◆ fixingSchedule()

ScheduleData fixingSchedule ( ) const

Definition at line 228 of file legdata.hpp.

228{ return fixingSchedule_; }

ore::data::FloatingLegData::fixingSchedule_

ScheduleData fixingSchedule_

Definition: legdata.hpp:271

◆ resetSchedule()

ScheduleData resetSchedule ( ) const

Definition at line 229 of file legdata.hpp.

229{ return resetSchedule_; }

ore::data::FloatingLegData::resetSchedule_

ScheduleData resetSchedule_

Definition: legdata.hpp:272

◆ historicalFixings()

const std::map< QuantLib::Date, double > & historicalFixings ( ) const

Definition at line 230 of file legdata.hpp.

230{ return historicalFixings_; }

◆ caps() [2/2]

vector< double > & caps ( )

Definition at line 235 of file legdata.hpp.

235{ return caps_; }

◆ capDates() [2/2]

vector< string > & capDates ( )

Definition at line 236 of file legdata.hpp.

236{ return capDates_; }

◆ floors() [2/2]

vector< double > & floors ( )

Definition at line 237 of file legdata.hpp.

237{ return floors_; }

◆ floorDates() [2/2]

vector< string > & floorDates ( )

Definition at line 238 of file legdata.hpp.

238{ return floorDates_; }

◆ nakedOption() [2/2]

bool & nakedOption ( )

Definition at line 239 of file legdata.hpp.

239{ return nakedOption_; }

◆ localCapFloor() [2/2]

bool & localCapFloor ( )

Definition at line 240 of file legdata.hpp.

240{ return localCapFloor_; }

◆ telescopicValueDates() [2/2]

bool & telescopicValueDates ( )

Definition at line 241 of file legdata.hpp.

241{ return telescopicValueDates_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 151 of file legdata.cpp.

                                           {
    XMLUtils::checkNode(node, legNodeName());
    index_ = internalIndexName(XMLUtils::getChildValue(node, "Index", true));
    indices_.insert(index_);
    // These are all optional
    spreads_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Spreads", "Spread", "startDate", spreadDates_,
                                                               &parseReal);
    isInArrears_ = boost::none;
    lastRecentPeriod_ = boost::none;
    isAveraged_ = hasSubPeriods_ = includeSpread_ = false;
    if (XMLNode* arrNode = XMLUtils::getChildNode(node, "IsInArrears"))
        isInArrears_ = parseBool(XMLUtils::getNodeValue(arrNode));
    if (XMLNode* lrNode = XMLUtils::getChildNode(node, "LastRecentPeriod"))
        lastRecentPeriod_ = parsePeriod(XMLUtils::getNodeValue(lrNode));
    lastRecentPeriodCalendar_ = XMLUtils::getChildValue(node, "LastRecentPeriodCalendar", false);
    if (XMLNode* avgNode = XMLUtils::getChildNode(node, "IsAveraged"))
        isAveraged_ = parseBool(XMLUtils::getNodeValue(avgNode));
    if (XMLNode* spNode = XMLUtils::getChildNode(node, "HasSubPeriods"))
        hasSubPeriods_ = parseBool(XMLUtils::getNodeValue(spNode));
    if (XMLNode* incSpNode = XMLUtils::getChildNode(node, "IncludeSpread"))
        includeSpread_ = parseBool(XMLUtils::getNodeValue(incSpNode));
    if (auto n = XMLUtils::getChildNode(node, "FixingDays"))
        fixingDays_ = parseInteger(XMLUtils::getNodeValue(n));
    else
        fixingDays_ = Null<Size>();
    if (auto n = XMLUtils::getChildNode(node, "Lookback"))
        lookback_ = parsePeriod(XMLUtils::getNodeValue(n));
    else
        lookback_ = 0 * Days;
    if (auto n = XMLUtils::getChildNode(node, "RateCutoff"))
        rateCutoff_ = parseInteger(XMLUtils::getNodeValue(n));
    else
        rateCutoff_ = Null<Size>();
    caps_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Caps", "Cap", "startDate", capDates_, &parseReal);
    floors_ =
        XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Floors", "Floor", "startDate", floorDates_, &parseReal);
    gearings_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Gearings", "Gearing", "startDate", gearingDates_,
                                                                &parseReal, false);
    if (XMLUtils::getChildNode(node, "NakedOption"))
        nakedOption_ = XMLUtils::getChildValueAsBool(node, "NakedOption", false);
    else
        nakedOption_ = false;
 
    if (XMLUtils::getChildNode(node, "LocalCapFloor"))
        localCapFloor_ = XMLUtils::getChildValueAsBool(node, "LocalCapFloor", false);
    else
        localCapFloor_ = false;
 
    if (auto tmp = XMLUtils::getChildNode(node, "FixingSchedule")) {
        fixingSchedule_.fromXML(tmp);
    }
    if (auto tmp = XMLUtils::getChildNode(node, "ResetSchedule")) {
        resetSchedule_.fromXML(tmp);
    }
    vector<std::string> histFixingDates;
    vector<QuantLib::Real> histFixingValues = XMLUtils::getChildrenValuesWithAttributes<Real>(
        node, "HistoricalFixings", "Fixing", "fixingDate", histFixingDates,
                                                  &parseReal);
 
    QL_REQUIRE(histFixingDates.size() == histFixingValues.size(), "Mismatch Fixing values and dates");
    for (size_t i = 0; i < histFixingDates.size(); ++i) {
        auto dt = parseDate(histFixingDates[i]);
        historicalFixings_[dt] = histFixingValues[i];
    }
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 217 of file legdata.cpp.

                                                      {
    XMLNode* node = doc.allocNode(legNodeName());
    XMLUtils::addChild(doc, node, "Index", index_);
    if (isInArrears_)
        XMLUtils::addChild(doc, node, "IsInArrears", *isInArrears_);
    if (lastRecentPeriod_)
        XMLUtils::addChild(doc, node, "LastRecentPeriod", *lastRecentPeriod_);
    if (!lastRecentPeriodCalendar_.empty())
        XMLUtils::addChild(doc, node, "LastRecentPeriodCalendar", lastRecentPeriodCalendar_);
    XMLUtils::addChild(doc, node, "IsAveraged", isAveraged_);
    XMLUtils::addChild(doc, node, "HasSubPeriods", hasSubPeriods_);
    XMLUtils::addChild(doc, node, "IncludeSpread", includeSpread_);
    if (fixingDays_ != Null<Size>())
        XMLUtils::addChild(doc, node, "FixingDays", static_cast<int>(fixingDays_));
    if (lookback_ != 0 * Days)
        XMLUtils::addChild(doc, node, "Lookback", ore::data::to_string(lookback_));
    if (rateCutoff_ != Null<Size>())
        XMLUtils::addChild(doc, node, "RateCutoff", static_cast<int>(rateCutoff_));
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Caps", "Cap", caps_, "startDate", capDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Floors", "Floor", floors_, "startDate", floorDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Gearings", "Gearing", gearings_, "startDate",
                                                gearingDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Spreads", "Spread", spreads_, "startDate", spreadDates_);
    XMLUtils::addChild(doc, node, "NakedOption", nakedOption_);
    if (localCapFloor_)
        XMLUtils::addChild(doc, node, "LocalCapFloor", localCapFloor_);
    if (fixingSchedule_.hasData()) {
        auto tmp = fixingSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, tmp, "FixingSchedule");
        XMLUtils::appendNode(node, tmp);
    }
    if (resetSchedule_.hasData()) {
        auto tmp = resetSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, tmp, "ResetSchedule");
        XMLUtils::appendNode(node, tmp);
    }
    if (!historicalFixings_.empty()) {
        auto histFixings = XMLUtils::addChild(doc, node, "HistoricalFixings");
        for (const auto& [fixingDate, fixingValue] : historicalFixings_) {
            XMLUtils::addChild(doc, histFixings, "Fixing", to_string(fixingValue), "fixingDate", to_string(fixingDate));
        }
    }
    return node;
}

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Member Data Documentation

◆ index_

string index_

private

Definition at line 250 of file legdata.hpp.

◆ fixingDays_

QuantLib::Size fixingDays_ = Null<Size>()

private

Definition at line 251 of file legdata.hpp.

◆ lookback_

QuantLib::Period lookback_ = 0 * Days

private

Definition at line 252 of file legdata.hpp.

◆ rateCutoff_

QuantLib::Size rateCutoff_ = Null<Size>()

private

Definition at line 253 of file legdata.hpp.

◆ isInArrears_

boost::optional<bool> isInArrears_

private

Definition at line 254 of file legdata.hpp.

◆ isAveraged_

bool isAveraged_ = false

private

Definition at line 255 of file legdata.hpp.

◆ hasSubPeriods_

bool hasSubPeriods_ = false

private

Definition at line 256 of file legdata.hpp.

◆ includeSpread_

bool includeSpread_ = false

private

Definition at line 257 of file legdata.hpp.

◆ spreads_

vector<double> spreads_

private

Definition at line 258 of file legdata.hpp.

◆ spreadDates_

vector<string> spreadDates_

private

Definition at line 259 of file legdata.hpp.

◆ caps_

vector<double> caps_

private

Definition at line 260 of file legdata.hpp.

◆ capDates_

vector<string> capDates_

private

Definition at line 261 of file legdata.hpp.

◆ floors_

vector<double> floors_

private

Definition at line 262 of file legdata.hpp.

◆ floorDates_

vector<string> floorDates_

private

Definition at line 263 of file legdata.hpp.

◆ gearings_

vector<double> gearings_

private

Definition at line 264 of file legdata.hpp.

◆ gearingDates_

vector<string> gearingDates_

private

Definition at line 265 of file legdata.hpp.

◆ nakedOption_

bool nakedOption_ = false

private

Definition at line 266 of file legdata.hpp.

◆ localCapFloor_

bool localCapFloor_ = false

private

Definition at line 267 of file legdata.hpp.

◆ lastRecentPeriod_

boost::optional<Period> lastRecentPeriod_

private

Definition at line 268 of file legdata.hpp.

◆ lastRecentPeriodCalendar_

std::string lastRecentPeriodCalendar_

private

Definition at line 269 of file legdata.hpp.

◆ telescopicValueDates_

bool telescopicValueDates_ = false

private

Definition at line 270 of file legdata.hpp.

◆ fixingSchedule_

ScheduleData fixingSchedule_

private

Definition at line 271 of file legdata.hpp.

◆ resetSchedule_

ScheduleData resetSchedule_

private

Definition at line 272 of file legdata.hpp.

◆ historicalFixings_

std::map<QuantLib::Date, double> historicalFixings_

private

Definition at line 273 of file legdata.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FloatingLegData() [1/2]

◆ FloatingLegData() [2/2]

Member Function Documentation

◆ index()

◆ fixingDays()

◆ lookback()

◆ rateCutoff()

◆ isInArrears()

◆ isAveraged()

◆ hasSubPeriods()

◆ includeSpread()

◆ spreads()

◆ spreadDates()

◆ caps() [1/2]

◆ capDates() [1/2]

◆ floors() [1/2]

◆ floorDates() [1/2]

◆ gearings()

◆ gearingDates()

◆ nakedOption() [1/2]

◆ localCapFloor() [1/2]

◆ lastRecentPeriod()

◆ lastRecentPeriodCalendar()

◆ telescopicValueDates() [1/2]

◆ fixingSchedule()

◆ resetSchedule()

◆ historicalFixings()

◆ caps() [2/2]

◆ capDates() [2/2]

◆ floors() [2/2]

◆ floorDates() [2/2]

◆ nakedOption() [2/2]

◆ localCapFloor() [2/2]

◆ telescopicValueDates() [2/2]

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ index_

◆ fixingDays_

◆ lookback_

◆ rateCutoff_

◆ isInArrears_

◆ isAveraged_

◆ hasSubPeriods_

◆ includeSpread_

◆ spreads_

◆ spreadDates_

◆ caps_

◆ capDates_

◆ floors_

◆ floorDates_

◆ gearings_

◆ gearingDates_

◆ nakedOption_

◆ localCapFloor_

◆ lastRecentPeriod_

◆ lastRecentPeriodCalendar_

◆ telescopicValueDates_

◆ fixingSchedule_

◆ resetSchedule_

◆ historicalFixings_