#include <ored/portfolio/indexcreditdefaultswapdata.hpp>

Inheritance diagram for IndexCreditDefaultSwapData:

Collaboration diagram for IndexCreditDefaultSwapData:

Public Types
using	PPT = QuantExt::CreditDefaultSwap::ProtectionPaymentTime

Public Types inherited from CreditDefaultSwapData
using	PPT = QuantLib::CreditDefaultSwap::ProtectionPaymentTime

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

	IndexCreditDefaultSwapData (const std::string &creditCurveId, const BasketData &basket, const ore::data::LegData &leg, const bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const QuantLib::Date &protectionStart=QuantLib::Date(), const QuantLib::Date &upfrontDate=QuantLib::Date(), const QuantLib::Real upfrontFee=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &tradeDate=QuantLib::Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Detailed constructor. More...

XMLSerializable interface
void	fromXML (ore::data::XMLNode *node) override

ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Inspectors
const BasketData &	basket () const

std::string	creditCurveIdWithTerm () const

void	setIndexStartDateHint (const QuantLib::Date &d) const

const QuantLib::Date &	indexStartDateHint () const

Public Member Functions inherited from CreditDefaultSwapData
	CreditDefaultSwapData ()
	Default constructor. More...

	CreditDefaultSwapData (const string &issuerId, const string &creditCurveId, const LegData &leg, const bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const Real upfrontFee=Null< Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Constructor that takes an explicit `creditCurveId`. More...

	CreditDefaultSwapData (const std::string &issuerId, const CdsReferenceInformation &referenceInformation, const LegData &leg, bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const QuantLib::Date &protectionStart=QuantLib::Date(), const QuantLib::Date &upfrontDate=QuantLib::Date(), QuantLib::Real upfrontFee=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Constructor that takes a `referenceInformation` object. More...

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

const string &	issuerId () const

const string &	creditCurveId () const

const LegData &	leg () const

bool	settlesAccrual () const

PPT	protectionPaymentTime () const

const Date &	protectionStart () const

const Date &	upfrontDate () const

Real	upfrontFee () const

bool	rebatesAccrual () const

QuantLib::Real	recoveryRate () const

const std::string &	referenceObligation () const
	CDS Reference Obligation. More...

const QuantLib::Date &	tradeDate () const

QuantLib::Natural	cashSettlementDays () const

const boost::optional< CdsReferenceInformation > &	referenceInformation () 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...

CreditDefaultSwapData interface
BasketData	basket_

QuantLib::Date	indexStartDateHint_

void	check (ore::data::XMLNode *node) const override

ore::data::XMLNode *	alloc (ore::data::XMLDocument &doc) const override

Additional Inherited Members
virtual void	check (XMLNode *node) const

virtual XMLNode *	alloc (XMLDocument &doc) const

Detailed Description

Definition at line 30 of file indexcreditdefaultswapdata.hpp.

Member Typedef Documentation

◆ PPT

using PPT = QuantExt::CreditDefaultSwap::ProtectionPaymentTime

Definition at line 35 of file indexcreditdefaultswapdata.hpp.

Constructor & Destructor Documentation

◆ IndexCreditDefaultSwapData() [1/2]

IndexCreditDefaultSwapData ( )

Default constructor.

Definition at line 44 of file indexcreditdefaultswapdata.cpp.

44{}

◆ IndexCreditDefaultSwapData() [2/2]

IndexCreditDefaultSwapData	(	const std::string &	creditCurveId,
		const BasketData &	basket,
		const ore::data::LegData &	leg,
		const bool	settlesAccrual = `true`,
		const PPT	protectionPaymentTime = `PPT::atDefault`,
		const QuantLib::Date &	protectionStart = `QuantLib::Date()`,
		const QuantLib::Date &	upfrontDate = `QuantLib::Date()`,
		const QuantLib::Real	upfrontFee = `QuantLib::Null< QuantLib::Real >()`,
		const QuantLib::Date &	tradeDate = `QuantLib::Date()`,
		const std::string &	cashSettlementDays = `""`,
		const bool	rebatesAccrual = `true`
	)

Detailed constructor.

Member Function Documentation

◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Reimplemented from CreditDefaultSwapData.

Definition at line 61 of file indexcreditdefaultswapdata.cpp.

                                                      {
 
    CreditDefaultSwapData::fromXML(node);
 
    if (auto basketNode = XMLUtils::getChildNode(node, "BasketData"))
        basket_.fromXML(basketNode);
 
    indexStartDateHint_ = parseDate(XMLUtils::getChildValue(node, "IndexStartDateHint", false));
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ toXML()

XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Reimplemented from CreditDefaultSwapData.

Definition at line 71 of file indexcreditdefaultswapdata.cpp.

                                                                 {
 
    XMLNode* node = CreditDefaultSwapData::toXML(doc);
    XMLUtils::appendNode(node, basket_.toXML(doc));
    if(indexStartDateHint_ != Date()) {
        XMLUtils::addChild(doc, node, "IndexStartDateHint", ore::data::to_string(indexStartDateHint_));
    }
 
    return node;
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ basket()

const BasketData & basket ( ) const

Definition at line 58 of file indexcreditdefaultswapdata.hpp.

58{ return basket_; }

Here is the caller graph for this function:

◆ creditCurveIdWithTerm()

std::string creditCurveIdWithTerm ( ) const

Get credit curve id with term suffix "_5Y". If the creditCurveId contains such a suffix already this is used. Otherwise we try to imply it from the schedule. If that is not possible, the creditCurveId without tenor is returned.

Definition at line 90 of file indexcreditdefaultswapdata.cpp.

                                                                  {
    auto p = ore::data::splitCurveIdWithTenor(creditCurveId());
    if (p.second != 0 * Days)
        return creditCurveId();
    QuantLib::Schedule s = makeSchedule(leg().schedule());
    if (s.dates().empty())
        return p.first;
    QuantLib::Period t = QuantExt::implyIndexTerm(
        indexStartDateHint_ == Date() ? s.dates().front() : indexStartDateHint_, s.dates().back());
    if (t != 0 * Days)
        return p.first + "_" + ore::data::to_string(t);
    return p.first;
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ setIndexStartDateHint()

void setIndexStartDateHint ( const QuantLib::Date & d ) const

If set this is used to derive the term instead of the schedule start date. A concession to bad trade setups really, where the start date is not set to the index effective date

Definition at line 68 of file indexcreditdefaultswapdata.hpp.

68{ indexStartDateHint_ = d; }

◆ indexStartDateHint()

const QuantLib::Date & indexStartDateHint ( ) const

Get the index start date hint, or null if it was never set

Definition at line 71 of file indexcreditdefaultswapdata.hpp.

71{ return indexStartDateHint_; }

Here is the caller graph for this function:

◆ check()

void check ( ore::data::XMLNode * node ) const

overrideprotectedvirtual

Reimplemented from CreditDefaultSwapData.

Definition at line 82 of file indexcreditdefaultswapdata.cpp.

                                                          {
    XMLUtils::checkNode(node, "IndexCreditDefaultSwapData");
}

Here is the call graph for this function:

◆ alloc()

XMLNode * alloc ( ore::data::XMLDocument & doc ) const

overrideprotectedvirtual

Reimplemented from CreditDefaultSwapData.

Definition at line 86 of file indexcreditdefaultswapdata.cpp.

                                                                 {
    return doc.allocNode("IndexCreditDefaultSwapData");
}

Here is the call graph for this function:

Member Data Documentation

◆ basket_

BasketData basket_

private

Definition at line 81 of file indexcreditdefaultswapdata.hpp.

◆ indexStartDateHint_

QuantLib::Date indexStartDateHint_

mutableprivate

Definition at line 82 of file indexcreditdefaultswapdata.hpp.

Public Types

Public Member Functions

CreditDefaultSwapData interface

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ PPT

Constructor & Destructor Documentation

◆ IndexCreditDefaultSwapData() [1/2]

◆ IndexCreditDefaultSwapData() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ basket()

◆ creditCurveIdWithTerm()

◆ setIndexStartDateHint()

◆ indexStartDateHint()

◆ check()

◆ alloc()

Member Data Documentation

◆ basket_

◆ indexStartDateHint_