Indexing Class Reference

Serializable object holding indexing data. More...

#include <ored/portfolio/indexing.hpp>

Inheritance diagram for Indexing:

Collaboration diagram for Indexing:

Public Member Functions
	Indexing ()
	Indexing (const std::string &index, const string &indexFixingCalendar="", const bool indexIsDirty=false, const bool indexIsRelative=true, const bool indexIsConditionalOnSurvival=true, const Real quantity=1.0, const Real initialFixing=Null< Real >(), const Real initialNotionalFixing=Null< Real >(), const ScheduleData &valuationSchedule=ScheduleData(), const Size fixingDays=0, const string &fixingCalendar="", const string &fixingConvention="", const bool inArrearsFixing=false)
Inspectors
bool	hasData () const
Real	quantity () const
const string &	index () const
const string &	indexFixingCalendar () const
bool	indexIsDirty () const
bool	indexIsRelative () const
bool	indexIsConditionalOnSurvival () const
Real	initialFixing () const
Real	initialNotionalFixing () const
const ScheduleData &	valuationSchedule () const
Size	fixingDays () const
const string &	fixingCalendar () const
const string &	fixingConvention () const
bool	inArrearsFixing () const
Modifiers
Real &	quantity ()
string &	index ()
string &	indexFixingCalendar ()
bool &	indexIsDirty ()
bool &	indexIsRelative ()
bool &	indexIsConditionalOnSurvival ()
Real &	initialFixing ()
Real &	initialNotionalFixing ()
ScheduleData &	valuationSchedule ()
Size &	fixingDays ()
string &	fixingCalendar ()
string &	fixingConvention ()
bool &	inArrearsFixing ()
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
bool	hasData_
Real	quantity_
string	index_
string	indexFixingCalendar_
bool	indexIsDirty_
bool	indexIsRelative_
bool	indexIsConditionalOnSurvival_
Real	initialFixing_
Real	initialNotionalFixing_
ScheduleData	valuationSchedule_
Size	fixingDays_
string	fixingCalendar_
string	fixingConvention_
bool	inArrearsFixing_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

Detailed Description

Serializable object holding indexing data.

Definition at line 39 of file indexing.hpp.

Constructor & Destructor Documentation

Indexing() [1/2]

Indexing

(

)

Definition at line 41 of file indexing.hpp.

        : hasData_(false), quantity_(1.0), initialFixing_(Null<Real>()), fixingDays_(0), inArrearsFixing_(false) {}

Indexing() [2/2]

Indexing ( const std::string &  index, const string &  indexFixingCalendar = "", const bool  indexIsDirty = false, const bool  indexIsRelative = true, const bool  indexIsConditionalOnSurvival = true, const Real  quantity = 1.0, const Real  initialFixing = Null<Real>(), const Real  initialNotionalFixing = Null<Real>(), const ScheduleData &  valuationSchedule = ScheduleData(), const Size  fixingDays = 0, const string &  fixingCalendar = "", const string &  fixingConvention = "", const bool  inArrearsFixing = false  )

explicit

Definition at line 43 of file indexing.hpp.

        : hasData_(true), quantity_(quantity), index_(index), indexFixingCalendar_(indexFixingCalendar),
          indexIsDirty_(indexIsDirty), indexIsRelative_(indexIsRelative),
          indexIsConditionalOnSurvival_(indexIsConditionalOnSurvival), initialFixing_(initialFixing),
          initialNotionalFixing_(initialNotionalFixing), valuationSchedule_(valuationSchedule), fixingDays_(fixingDays),
          fixingCalendar_(fixingCalendar), fixingConvention_(fixingConvention), inArrearsFixing_(inArrearsFixing) {}

Member Function Documentation

hasData()

bool hasData

(

)

const

Definition at line 58 of file indexing.hpp.

{ return hasData_; }

quantity() [1/2]

Real quantity

(

)

const

Definition at line 59 of file indexing.hpp.

{ return quantity_; }

index() [1/2]

const string & index

(

)

const

Definition at line 60 of file indexing.hpp.

{ return index_; }

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indexFixingCalendar() [1/2]

const string & indexFixingCalendar

(

)

const

Definition at line 62 of file indexing.hpp.

{ return indexFixingCalendar_; }

indexIsDirty() [1/2]

bool indexIsDirty

(

)

const

Definition at line 64 of file indexing.hpp.

{ return indexIsDirty_; }

indexIsRelative() [1/2]

bool indexIsRelative

(

)

const

Definition at line 65 of file indexing.hpp.

{ return indexIsRelative_; }

indexIsConditionalOnSurvival() [1/2]

bool indexIsConditionalOnSurvival

(

)

const

Definition at line 66 of file indexing.hpp.

{ return indexIsConditionalOnSurvival_; }

initialFixing() [1/2]

Real initialFixing

(

)

const

Definition at line 68 of file indexing.hpp.

{ return initialFixing_; }

initialNotionalFixing() [1/2]

Real initialNotionalFixing

(

)

const

Definition at line 69 of file indexing.hpp.

{ return initialNotionalFixing_; }

valuationSchedule() [1/2]

const ScheduleData & valuationSchedule

(

)

const

Definition at line 70 of file indexing.hpp.

{ return valuationSchedule_; }

fixingDays() [1/2]

Size fixingDays

(

)

const

Definition at line 71 of file indexing.hpp.

{ return fixingDays_; }

fixingCalendar() [1/2]

const string & fixingCalendar

(

)

const

Definition at line 72 of file indexing.hpp.

{ return fixingCalendar_; }

fixingConvention() [1/2]

const string & fixingConvention

(

)

const

Definition at line 73 of file indexing.hpp.

{ return fixingConvention_; }

inArrearsFixing() [1/2]

bool inArrearsFixing

(

)

const

Definition at line 74 of file indexing.hpp.

{ return inArrearsFixing_; }

quantity() [2/2]

Real & quantity

(

)

Definition at line 79 of file indexing.hpp.

{ return quantity_; }

index() [2/2]

string & index

(

)

Definition at line 80 of file indexing.hpp.

{ return index_; }

indexFixingCalendar() [2/2]

string & indexFixingCalendar

(

)

Definition at line 82 of file indexing.hpp.

{ return indexFixingCalendar_; }

indexIsDirty() [2/2]

bool & indexIsDirty

(

)

Definition at line 84 of file indexing.hpp.

{ return indexIsDirty_; }

indexIsRelative() [2/2]

bool & indexIsRelative

(

)

Definition at line 85 of file indexing.hpp.

{ return indexIsRelative_; }

indexIsConditionalOnSurvival() [2/2]

bool & indexIsConditionalOnSurvival

(

)

Definition at line 86 of file indexing.hpp.

{ return indexIsConditionalOnSurvival_; }

initialFixing() [2/2]

Real & initialFixing

(

)

Definition at line 88 of file indexing.hpp.

{ return initialFixing_; }

initialNotionalFixing() [2/2]

Real & initialNotionalFixing

(

)

Definition at line 89 of file indexing.hpp.

{ return initialNotionalFixing_; }

valuationSchedule() [2/2]

ScheduleData & valuationSchedule

(

)

Definition at line 90 of file indexing.hpp.

{ return valuationSchedule_; }

fixingDays() [2/2]

Size & fixingDays

(

)

Definition at line 91 of file indexing.hpp.

{ return fixingDays_; }

fixingCalendar() [2/2]

string & fixingCalendar

(

)

Definition at line 92 of file indexing.hpp.

{ return fixingCalendar_; }

fixingConvention() [2/2]

string & fixingConvention

(

)

Definition at line 93 of file indexing.hpp.

{ return fixingConvention_; }

inArrearsFixing() [2/2]

bool & inArrearsFixing

(

)

Definition at line 94 of file indexing.hpp.

{ return inArrearsFixing_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 26 of file indexing.cpp.

                                    {
    XMLUtils::checkNode(node, "Indexing");
    if (auto n = XMLUtils::getChildNode(node, "Quantity")) {
        quantity_ = parseReal(XMLUtils::getNodeValue(n));
    } else {
        quantity_ = 1.0;
    }
    index_ = XMLUtils::getChildValue(node, "Index", false);
    indexFixingCalendar_ = XMLUtils::getChildValue(node, "IndexFixingCalendar", false);
    if (XMLUtils::getChildNode(node, "IndexFixingDays")) {
        WLOG("Indexing::fromXML, node IndexFixingDays has been deprecated, fixing days are "
             "taken from conventions.");
    }
    indexIsDirty_ = XMLUtils::getChildValueAsBool(node, "Dirty", false);
    indexIsRelative_ = XMLUtils::getChildValueAsBool(node, "Relative", false);
    indexIsConditionalOnSurvival_ = XMLUtils::getChildValueAsBool(node, "ConditionalOnSurvival", false);
    initialFixing_ = Null<Real>();
    if (auto n = XMLUtils::getChildNode(node, "InitialFixing"))
        initialFixing_ = parseReal(XMLUtils::getNodeValue(n));
    initialNotionalFixing_ = Null<Real>();
    if (auto n = XMLUtils::getChildNode(node, "InitialNotionalFixing"))
        initialNotionalFixing_ = parseReal(XMLUtils::getNodeValue(n));
    if (auto tmp = XMLUtils::getChildNode(node, "ValuationSchedule"))
        valuationSchedule_.fromXML(tmp);
    fixingDays_ = 0;
    if (auto n = XMLUtils::getChildNode(node, "FixingDays"))
        fixingDays_ = parseInteger(XMLUtils::getNodeValue(n));
    fixingCalendar_ = XMLUtils::getChildValue(node, "FixingCalendar");
    fixingConvention_ = XMLUtils::getChildValue(node, "FixingConvention");
    inArrearsFixing_ = false;
    if (auto n = XMLUtils::getChildNode(node, "IsInArrears"))
        inArrearsFixing_ = parseBool(XMLUtils::getNodeValue(n));
    hasData_ = true;
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 61 of file indexing.cpp.

                                               {
    XMLNode* node = doc.allocNode("Indexing");
    XMLUtils::addChild(doc, node, "Quantity", quantity_);
    XMLUtils::addChild(doc, node, "Index", index_);
    XMLUtils::addChild(doc, node, "IndexFixingCalendar", indexFixingCalendar_);
    XMLUtils::addChild(doc, node, "Dirty", indexIsDirty_);
    XMLUtils::addChild(doc, node, "Relative", indexIsRelative_);
    XMLUtils::addChild(doc, node, "ConditionalOnSurvival", indexIsConditionalOnSurvival_);
    if (initialFixing_ != Null<Real>())
        XMLUtils::addChild(doc, node, "InitialFixing", initialFixing_);
    if (initialNotionalFixing_ != Null<Real>())
        XMLUtils::addChild(doc, node, "InitialNotionalFixing", initialNotionalFixing_);
    if (valuationSchedule_.hasData()) {
        XMLNode* schedNode = valuationSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, schedNode, "ValuationSchedule");
        XMLUtils::appendNode(node, schedNode);
    }
    XMLUtils::addChild(doc, node, "FixingDays", static_cast<int>(fixingDays_));
    XMLUtils::addChild(doc, node, "FixingCalendar", fixingCalendar_);
    XMLUtils::addChild(doc, node, "FixingConvention", fixingConvention_);
    XMLUtils::addChild(doc, node, "IsInArrears", inArrearsFixing_);
    return node;
}

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Member Data Documentation

hasData_

bool hasData_

private

Definition at line 103 of file indexing.hpp.

quantity_

Real quantity_

private

Definition at line 104 of file indexing.hpp.

index_

string index_

private

Definition at line 105 of file indexing.hpp.

indexFixingCalendar_

string indexFixingCalendar_

private

Definition at line 106 of file indexing.hpp.

indexIsDirty_

bool indexIsDirty_

private

Definition at line 107 of file indexing.hpp.

indexIsRelative_

bool indexIsRelative_

private

Definition at line 108 of file indexing.hpp.

indexIsConditionalOnSurvival_

bool indexIsConditionalOnSurvival_

private

Definition at line 109 of file indexing.hpp.

initialFixing_

Real initialFixing_

private

Definition at line 110 of file indexing.hpp.

initialNotionalFixing_

Real initialNotionalFixing_

private

Definition at line 111 of file indexing.hpp.

valuationSchedule_

ScheduleData valuationSchedule_

private

Definition at line 112 of file indexing.hpp.

fixingDays_

Size fixingDays_

private

Definition at line 113 of file indexing.hpp.

fixingCalendar_

string fixingCalendar_

private

Definition at line 114 of file indexing.hpp.

fixingConvention_

string fixingConvention_

private

Definition at line 115 of file indexing.hpp.

inArrearsFixing_

bool inArrearsFixing_

private

Definition at line 116 of file indexing.hpp.