FormulaBasedLegBuilder Class Reference

#include <ored/portfolio/formulabasedlegbuilder.hpp>

Inheritance diagram for FormulaBasedLegBuilder:

Collaboration diagram for FormulaBasedLegBuilder:

Public Member Functions
	FormulaBasedLegBuilder ()
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=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 36 of file formulabasedlegbuilder.hpp.

Constructor & Destructor Documentation

FormulaBasedLegBuilder()

FormulaBasedLegBuilder ( )

explicit

Definition at line 38 of file formulabasedlegbuilder.hpp.

: LegBuilder("FormulaBased") {}

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 = Null<Date>(), const bool  useXbsCurves = false  ) const

override

Definition at line 26 of file formulabasedlegbuilder.cpp.

                                                                                                                {
    auto formulaData = QuantLib::ext::dynamic_pointer_cast<FormulaBasedLegData>(data.concreteLegData());
    QL_REQUIRE(formulaData, "Wrong LegType, expected Formula");
    string formula = formulaData->formulaBasedIndex();
    Calendar cal;
    if (formulaData->fixingCalendar() != "")
        cal = parseCalendar(formulaData->fixingCalendar());
    std::map<std::string, QuantLib::ext::shared_ptr<QuantLib::InterestRateIndex>> indexMaps;
    auto formulaIndex =
        makeFormulaBasedIndex(formula, engineFactory->market(), configuration, indexMaps, cal);
    Leg result = makeFormulaBasedLeg(data, formulaIndex, engineFactory, indexMaps, openEndDateReplacement);
    // add required fixing dates
    for (auto const& m : indexMaps) {
        for (auto const& c : result) {
            auto f = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(c);
            QL_REQUIRE(f != nullptr, "expected FloatingRateCoupon in FormulaBasedLegBuilder");
            requiredFixings.addFixingDate(f->fixingDate(), m.first, f->date(), false);
        }
    }
    return result;
}

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