Serializable Cross Currency Swap contract. More...

#include <ored/portfolio/inflationswap.hpp>

Inheritance diagram for InflationSwap:

Collaboration diagram for InflationSwap:

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

	InflationSwap (const Envelope &env, const vector< LegData > &legData)
	Constructor with vector of LegData. More...

	InflationSwap (const Envelope &env, const LegData &leg0, const LegData &leg1)
	Constructor with two legs. More...

void	checkInflationSwap (const vector< LegData > &legData)

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Trade interface. More...

void	setIsdaTaxonomyFields () override

Public Member Functions inherited from Swap
	Swap (const string swapType="Swap")
	Default constructor. More...

	Swap (const Envelope &env, const string swapType="Swap")

	Swap (const Envelope &env, const vector< LegData > &legData, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with vector of LegData. More...

	Swap (const Envelope &env, const LegData &leg0, const LegData &leg1, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with two legs. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...

virtual void	setIsdaTaxonomyFields ()

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

std::string	notionalCurrency () const override

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying index names. More...

const string &	settlement () const
	Settlement Type can be set to "Cash" for NDF. Default value is "Physical". More...

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

const vector< LegData > &	legData () const

const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built More...

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

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor. More...

virtual	~Trade ()
	Default destructor. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0

virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const

const RequiredFixings &	requiredFixings () const

virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const

void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade. More...

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values. More...

string &	id ()
	Set the trade id. More...

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info. More...

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions. More...

const string &	id () const

const string &	tradeType () const

const Envelope &	envelope () const

const set< string > &	portfolioIds () const

const TradeActions &	tradeActions () const

const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const

const std::vector< QuantLib::Leg > &	legs () const

const std::vector< string > &	legCurrencies () const

const std::vector< bool > &	legPayers () const

const string &	npvCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum. More...

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set. More...

virtual bool	hasCashflows () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

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...

Additional Inherited Members
Protected Member Functions inherited from Swap
virtual QuantLib::ext::shared_ptr< LegData >	createLegData () const

Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Protected Attributes inherited from Swap
vector< LegData >	legData_

string	settlement_

bool	isXCCY_ = false

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Detailed Description

Serializable Cross Currency Swap contract.

Definition at line 37 of file inflationswap.hpp.

Constructor & Destructor Documentation

◆ InflationSwap() [1/3]

InflationSwap ( )

Default constructor.

Definition at line 40 of file inflationswap.hpp.

40: Swap("InflationSwap") {}

Swap

◆ InflationSwap() [2/3]

InflationSwap	(	const Envelope &	env,
		const vector< LegData > &	legData
	)

Constructor with vector of LegData.

Definition at line 24 of file inflationswap.cpp.

25 : Swap(env, legData, "InflationSwap") {}

ore::data::Swap::legData

const vector< LegData > & legData() const

Definition: swap.hpp:74

◆ InflationSwap() [3/3]

InflationSwap	(	const Envelope &	env,
		const LegData &	leg0,
		const LegData &	leg1
	)

Constructor with two legs.

Definition at line 27 of file inflationswap.cpp.

28 : Swap(env, leg0, leg1, "InflationSwap") {}

Member Function Documentation

◆ checkInflationSwap()

void checkInflationSwap ( const vector< LegData > & legData )

Definition at line 30 of file inflationswap.cpp.

                                                                     {
    // An Inflation Swap must have at least one CPI or YY leg
    bool hasInflationLeg = false;
    for (Size i = 0; i < legData.size(); i++)
        if (legData[i].legType() == "CPI" || legData[i].legType() == "YY") {
            hasInflationLeg = true;
            break;
        }
    QL_REQUIRE(hasInflationLeg, "InflationSwap must have at least one inflation leg (e.g. CPI, YY)");
}

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◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & engineFactory )

overridevirtual

Trade interface.

Reimplemented from Swap.

Definition at line 41 of file inflationswap.cpp.

                                                                                   {
 
    DLOG("InflationSwap::build() called for " << id());
 
    checkInflationSwap(legData_);
 
    Swap::build(engineFactory);
}

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◆ setIsdaTaxonomyFields()

void setIsdaTaxonomyFields ( )

overridevirtual

Reimplemented from Swap.

Definition at line 50 of file inflationswap.cpp.

                                          {
    Swap::setIsdaTaxonomyFields();
 
    // ISDA taxonomy, override Swap settings Base Product and add Transaction here
    additionalData_["isdaBaseProduct"] = string("Inflation Swap");
    if (std::find_if(legData_.begin(), legData_.end(), [](const LegData& d) { return d.legType() == "CPI"; }) !=
        legData_.end())
        additionalData_["isdaTransaction"] = string("Zero Coupon");
    else if (std::find_if(legData_.begin(), legData_.end(), [](const LegData& d) { return d.legType() == "YY"; }) !=
             legData_.end())
        additionalData_["isdaTransaction"] = string("Year on Year");
}

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Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InflationSwap() [1/3]

◆ InflationSwap() [2/3]

◆ InflationSwap() [3/3]

Member Function Documentation

◆ checkInflationSwap()

◆ build()

◆ setIsdaTaxonomyFields()