Serializable object holding leg data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for LegData:

Collaboration diagram for LegData:

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

	LegData (const QuantLib::ext::shared_ptr< LegAdditionalData > &innerLegData, bool isPayer, const string &currency, const ScheduleData &scheduleData=ScheduleData(), const string &dayCounter="", const std::vector< double > &notionals=std::vector< double >(), const std::vector< string > &notionalDates=std::vector< string >(), const string &paymentConvention="F", const bool notionalInitialExchange=false, const bool notionalFinalExchange=false, const bool notionalAmortizingExchange=false, const bool isNotResetXCCY=true, const string &foreignCurrency="", const double foreignAmount=0, const string &fxIndex="", const std::vector< AmortizationData > &amortizationData=std::vector< AmortizationData >(), const string &paymentLag="", const string &notionalPaymentLag="", const std::string &paymentCalendar="", const std::vector< std::string > &paymentDates=std::vector< std::string >(), const std::vector< Indexing > &indexing={}, const bool indexingFromAssetLeg=false, const string &lastPeriodDayCounter="")
	Constructor with concrete leg data. More...

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
bool	isPayer () const

const string &	currency () const

const ScheduleData &	schedule () const

const vector< double > &	notionals () const

const vector< string > &	notionalDates () const

const string &	dayCounter () const

const string &	paymentConvention () const

bool	notionalInitialExchange () const

bool	notionalFinalExchange () const

bool	notionalAmortizingExchange () const

bool	isNotResetXCCY () const

const string &	foreignCurrency () const

double	foreignAmount () const

const string &	fxIndex () const

const string &	paymentLag () const

const string &	notionalPaymentLag () const

const std::vector< AmortizationData > &	amortizationData () const

const std::string &	paymentCalendar () const

const string &	legType () const

QuantLib::ext::shared_ptr< LegAdditionalData >	concreteLegData () const

const std::set< std::string > &	indices () const

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

const std::vector< Indexing > &	indexing () const

const bool	indexingFromAssetLeg () const

const string &	lastPeriodDayCounter () const

const ScheduleData &	paymentSchedule () const

bool	strictNotionalDates () 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...

modifiers
std::set< std::string >	indices_

QuantLib::ext::shared_ptr< LegAdditionalData >	concreteLegData_

bool	isPayer_ = true

string	currency_

string	legType_

ScheduleData	schedule_

string	dayCounter_

vector< double >	notionals_

vector< string >	notionalDates_

string	paymentConvention_

bool	notionalInitialExchange_ = false

bool	notionalFinalExchange_ = false

bool	notionalAmortizingExchange_ =false

bool	isNotResetXCCY_ = true

string	foreignCurrency_

double	foreignAmount_ = 0.0

string	fxIndex_

std::vector< AmortizationData >	amortizationData_

string	paymentLag_

string	notionalPaymentLag_

std::string	paymentCalendar_

std::vector< std::string >	paymentDates_

std::vector< Indexing >	indexing_

bool	indexingFromAssetLeg_ = false

string	lastPeriodDayCounter_

ScheduleData	paymentSchedule_

bool	strictNotionalDates_ = false

vector< double > &	notionals ()

ScheduleData &	schedule ()

vector< string > &	notionalDates ()

string &	dayCounter ()

bool &	isPayer ()

QuantLib::ext::shared_ptr< LegAdditionalData > &	concreteLegData ()

std::vector< Indexing > &	indexing ()

bool &	indexingFromAssetLeg ()

string &	paymentConvention ()

std::vector< std::string > &	paymentDates ()

string &	lastPeriodDayCounter ()

bool &	strictNotionalDates ()

virtual QuantLib::ext::shared_ptr< LegAdditionalData >	initialiseConcreteLegData (const string &)

Detailed Description

Serializable object holding leg data.

Definition at line 844 of file legdata.hpp.

Constructor & Destructor Documentation

◆ LegData() [1/2]

LegData ( )

Default constructor.

Definition at line 847 of file legdata.hpp.

847{}

◆ LegData() [2/2]

LegData	(	const QuantLib::ext::shared_ptr< LegAdditionalData > &	innerLegData,
		bool	isPayer,
		const string &	currency,
		const ScheduleData &	scheduleData = `ScheduleData()`,
		const string &	dayCounter = `""`,
		const std::vector< double > &	notionals = `std::vector<double>()`,
		const std::vector< string > &	notionalDates = `std::vector<string>()`,
		const string &	paymentConvention = `"F"`,
		const bool	notionalInitialExchange = `false`,
		const bool	notionalFinalExchange = `false`,
		const bool	notionalAmortizingExchange = `false`,
		const bool	isNotResetXCCY = `true`,
		const string &	foreignCurrency = `""`,
		const double	foreignAmount = `0`,
		const string &	fxIndex = `""`,
		const std::vector< AmortizationData > &	amortizationData = `std::vector<AmortizationData>()`,
		const string &	paymentLag = `""`,
		const string &	notionalPaymentLag = `""`,
		const std::string &	paymentCalendar = `""`,
		const std::vector< std::string > &	paymentDates = `std::vector<std::string>()`,
		const std::vector< Indexing > &	indexing = `{}`,
		const bool	indexingFromAssetLeg = `false`,
		const string &	lastPeriodDayCounter = `""`
	)

Constructor with concrete leg data.

Definition at line 730 of file legdata.cpp.

    : concreteLegData_(concreteLegData), isPayer_(isPayer), currency_(currency), schedule_(scheduleData),
      dayCounter_(dayCounter), notionals_(notionals), notionalDates_(notionalDates),
      paymentConvention_(paymentConvention), notionalInitialExchange_(notionalInitialExchange),
      notionalFinalExchange_(notionalFinalExchange), notionalAmortizingExchange_(notionalAmortizingExchange),
      isNotResetXCCY_(isNotResetXCCY), foreignCurrency_(foreignCurrency), foreignAmount_(foreignAmount),
      fxIndex_(fxIndex), amortizationData_(amortizationData), paymentLag_(paymentLag),
      notionalPaymentLag_(notionalPaymentLag), paymentCalendar_(paymentCalendar), paymentDates_(paymentDates),
      indexing_(indexing), indexingFromAssetLeg_(indexingFromAssetLeg), lastPeriodDayCounter_(lastPeriodDayCounter) {
 
    indices_ = concreteLegData_->indices();
 
    if (!fxIndex_.empty())
        indices_.insert(fxIndex_);
 
    for (auto const& i : indexing)
        if (i.hasData())
            indices_.insert(i.index());
}

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Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 759 of file legdata.cpp.

                                   {
    XMLUtils::checkNode(node, "LegData");
    string legType = XMLUtils::getChildValue(node, "LegType", true);
    isPayer_ = XMLUtils::getChildValueAsBool(node, "Payer");
    currency_ = XMLUtils::getChildValue(node, "Currency", false);
    dayCounter_ = XMLUtils::getChildValue(node, "DayCounter"); // optional
    paymentConvention_ = XMLUtils::getChildValue(node, "PaymentConvention");
    paymentLag_ = XMLUtils::getChildValue(node, "PaymentLag");
    notionalPaymentLag_ = XMLUtils::getChildValue(node, "NotionalPaymentLag");
    paymentCalendar_ = XMLUtils::getChildValue(node, "PaymentCalendar", false);
    // if not given, default of getChildValueAsBool is true, which fits our needs here
    notionals_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Notionals", "Notional", "startDate",
                                                                 notionalDates_, &parseReal);
    isNotResetXCCY_ = true;
    notionalInitialExchange_ = false;
    notionalFinalExchange_ = false;
    notionalAmortizingExchange_ = false;
    if (auto tmp = XMLUtils::getChildNode(node, "Notionals")) {
        XMLNode* fxResetNode = XMLUtils::getChildNode(tmp, "FXReset");
        if (fxResetNode) {
            isNotResetXCCY_ = false;
            foreignCurrency_ = XMLUtils::getChildValue(fxResetNode, "ForeignCurrency", true);
            foreignAmount_ = XMLUtils::getChildValueAsDouble(fxResetNode, "ForeignAmount", true);
            fxIndex_ = XMLUtils::getChildValue(fxResetNode, "FXIndex", true);
            indices_.insert(fxIndex_);
            if (XMLUtils::getChildNode(node, "FixingDays")) {
                WLOG("LegData::fromXML, node FixingDays has been deprecated, fixing days are "
                     "taken from conventions.");
            }
            if (XMLUtils::getChildNode(node, "FixingCalendar")) {
                WLOG("LegData::fromXML, node FixingCalendar has been deprecated, fixing calendar is "
                     "taken from conventions.");
            }
            // TODO add schedule
        }
        XMLNode* exchangeNode = XMLUtils::getChildNode(tmp, "Exchanges");
        if (exchangeNode) {
 
            notionalInitialExchange_ = XMLUtils::getChildValueAsBool(exchangeNode, "NotionalInitialExchange");
            notionalFinalExchange_ = XMLUtils::getChildValueAsBool(exchangeNode, "NotionalFinalExchange");
            if (XMLUtils::getChildNode(exchangeNode, "NotionalAmortizingExchange"))
                notionalAmortizingExchange_ = XMLUtils::getChildValueAsBool(exchangeNode, "NotionalAmortizingExchange");
        }
    }
 
    XMLNode* amortizationParentNode = XMLUtils::getChildNode(node, "Amortizations");
    if (amortizationParentNode) {
        auto adNodes = XMLUtils::getChildrenNodes(amortizationParentNode, "AmortizationData");
        for (auto const& a : adNodes) {
            amortizationData_.push_back(AmortizationData());
            amortizationData_.back().fromXML(a);
        }
    }
 
    if (auto tmp = XMLUtils::getChildNode(node, "ScheduleData"))
        schedule_.fromXML(tmp);
 
    paymentDates_ = XMLUtils::getChildrenValues(node, "PaymentDates", "PaymentDate", false);
    if (!paymentDates_.empty()) {
        WLOG("Usage of PaymentDates is deprecated, use PaymentSchedule instead.");
    }
 
    strictNotionalDates_ = XMLUtils::getChildValueAsBool(node, "StrictNotionalDates", false, false);
 
    if (auto tmp = XMLUtils::getChildNode(node, "PaymentSchedule")) {
        paymentSchedule_.fromXML(tmp);
        QL_REQUIRE(paymentDates_.empty(), "Both PaymentDates and PaymentSchedule is given. Remove one of them. "
                                          "PaymentDates is deprecated, so preferably use PaymentSchedule.");
    }
 
    if (auto tmp = XMLUtils::getChildNode(node, "Indexings")) {
        if (auto n = XMLUtils::getChildNode(tmp, "FromAssetLeg")) {
            indexingFromAssetLeg_ = parseBool(XMLUtils::getNodeValue(n));
        } else {
            indexingFromAssetLeg_ = false;
        }
        auto indexings = XMLUtils::getChildrenNodes(tmp, "Indexing");
        for (auto const& i : indexings) {
            indexing_.push_back(Indexing());
            indexing_.back().fromXML(i);
        }
    }
 
    lastPeriodDayCounter_ = XMLUtils::getChildValue(node, "LastPeriodDayCounter", false);
 
    concreteLegData_ = initialiseConcreteLegData(legType);
    concreteLegData_->fromXML(XMLUtils::getChildNode(node, concreteLegData_->legNodeName()));
 
    indices_.insert(concreteLegData_->indices().begin(), concreteLegData_->indices().end());
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 856 of file legdata.cpp.

                                              {
    XMLNode* node = doc.allocNode("LegData");
    QL_REQUIRE(node, "Failed to create LegData node");
    XMLUtils::addChild(doc, node, "LegType", legType());
    XMLUtils::addChild(doc, node, "Payer", isPayer_);
    XMLUtils::addChild(doc, node, "Currency", currency_);
    if (paymentConvention_ != "")
        XMLUtils::addChild(doc, node, "PaymentConvention", paymentConvention_);
    if (!paymentLag_.empty())
        XMLUtils::addChild(doc, node, "PaymentLag", paymentLag_);
    if (!notionalPaymentLag_.empty())
        XMLUtils::addChild(doc, node, "NotionalPaymentLag", notionalPaymentLag_);
    if (!paymentCalendar_.empty())
        XMLUtils::addChild(doc, node, "PaymentCalendar", paymentCalendar_);
    if (dayCounter_ != "")
        XMLUtils::addChild(doc, node, "DayCounter", dayCounter_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Notionals", "Notional", notionals_, "startDate",
                                                notionalDates_);
    XMLNode* notionalsNodePtr = XMLUtils::getChildNode(node, "Notionals");
 
    if (!isNotResetXCCY_) {
        XMLNode* resetNode = doc.allocNode("FXReset");
        XMLUtils::addChild(doc, resetNode, "ForeignCurrency", foreignCurrency_);
        XMLUtils::addChild(doc, resetNode, "ForeignAmount", foreignAmount_);
        XMLUtils::addChild(doc, resetNode, "FXIndex", fxIndex_);
        XMLUtils::appendNode(notionalsNodePtr, resetNode);
    }
 
    XMLNode* exchangeNode = doc.allocNode("Exchanges");
    XMLUtils::addChild(doc, exchangeNode, "NotionalInitialExchange", notionalInitialExchange_);
    XMLUtils::addChild(doc, exchangeNode, "NotionalFinalExchange", notionalFinalExchange_);
    XMLUtils::addChild(doc, exchangeNode, "NotionalAmortizingExchange", notionalAmortizingExchange_);
    XMLUtils::appendNode(notionalsNodePtr, exchangeNode);
 
    XMLUtils::appendNode(node, schedule_.toXML(doc));
 
    if (!paymentDates_.empty())
        XMLUtils::addChildren(doc, node, "PaymentDates", "PaymentDate", paymentDates_);
 
    if (!amortizationData_.empty()) {
        XMLNode* amortisationsParentNode = doc.allocNode("Amortizations");
        for (auto& amort : amortizationData_) {
            if (amort.initialized()) {
                XMLUtils::appendNode(amortisationsParentNode, amort.toXML(doc));
            }
        }
        XMLUtils::appendNode(node, amortisationsParentNode);
    }
 
    if (strictNotionalDates_) {
        XMLUtils::addChild(doc, node, "StrictNotionalDates", strictNotionalDates_);
    }
 
    if (paymentSchedule_.hasData()) {
        auto tmp = paymentSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, tmp, "PaymentSchedule");
        XMLUtils::appendNode(node, tmp);
    }
 
    if (!indexing_.empty() || indexingFromAssetLeg_) {
        XMLNode* indexingsNode = doc.allocNode("Indexings");
        if (indexingFromAssetLeg_)
            XMLUtils::addChild(doc, indexingsNode, "FromAssetLeg", indexingFromAssetLeg_);
        for (auto& i : indexing_) {
            if (i.hasData())
                XMLUtils::appendNode(indexingsNode, i.toXML(doc));
        }
        XMLUtils::appendNode(node, indexingsNode);
    }
 
    if (!lastPeriodDayCounter_.empty())
        XMLUtils::addChild(doc, node, "LastPeriodDayCounter", lastPeriodDayCounter_);
 
    XMLUtils::appendNode(node, concreteLegData_->toXML(doc));
    return node;
}

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◆ isPayer() [1/2]

bool isPayer ( ) const

Definition at line 872 of file legdata.hpp.

872{ return isPayer_; }

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◆ currency()

const string & currency ( ) const

Definition at line 873 of file legdata.hpp.

873{ return currency_; }

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◆ schedule() [1/2]

const ScheduleData & schedule ( ) const

Definition at line 874 of file legdata.hpp.

874{ return schedule_; }

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◆ notionals() [1/2]

const vector< double > & notionals ( ) const

Definition at line 875 of file legdata.hpp.

875{ return notionals_; }

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◆ notionalDates() [1/2]

const vector< string > & notionalDates ( ) const

Definition at line 876 of file legdata.hpp.

876{ return notionalDates_; }

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◆ dayCounter() [1/2]

const string & dayCounter ( ) const

Definition at line 877 of file legdata.hpp.

877{ return dayCounter_; }

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◆ paymentConvention() [1/2]

const string & paymentConvention ( ) const

Definition at line 878 of file legdata.hpp.

878{ return paymentConvention_; }

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◆ notionalInitialExchange()

bool notionalInitialExchange ( ) const

Definition at line 879 of file legdata.hpp.

879{ return notionalInitialExchange_; }

◆ notionalFinalExchange()

bool notionalFinalExchange ( ) const

Definition at line 880 of file legdata.hpp.

880{ return notionalFinalExchange_; }

◆ notionalAmortizingExchange()

bool notionalAmortizingExchange ( ) const

Definition at line 881 of file legdata.hpp.

881{ return notionalAmortizingExchange_; }

◆ isNotResetXCCY()

bool isNotResetXCCY ( ) const

Definition at line 882 of file legdata.hpp.

882{ return isNotResetXCCY_; }

◆ foreignCurrency()

const string & foreignCurrency ( ) const

Definition at line 883 of file legdata.hpp.

883{ return foreignCurrency_; }

◆ foreignAmount()

double foreignAmount ( ) const

Definition at line 884 of file legdata.hpp.

884{ return foreignAmount_; }

◆ fxIndex()

const string & fxIndex ( ) const

Definition at line 885 of file legdata.hpp.

885{ return fxIndex_; }

◆ paymentLag()

const string & paymentLag ( ) const

Definition at line 886 of file legdata.hpp.

886{ return paymentLag_; }

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◆ notionalPaymentLag()

const string & notionalPaymentLag ( ) const

Definition at line 887 of file legdata.hpp.

887{ return notionalPaymentLag_; }

◆ amortizationData()

const std::vector< AmortizationData > & amortizationData ( ) const

Definition at line 888 of file legdata.hpp.

888{ return amortizationData_; }

◆ paymentCalendar()

const std::string & paymentCalendar ( ) const

Definition at line 889 of file legdata.hpp.

889{ return paymentCalendar_; }

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◆ legType()

const string & legType ( ) const

Definition at line 890 of file legdata.hpp.

890{ return concreteLegData_->legType(); }

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◆ concreteLegData() [1/2]

QuantLib::ext::shared_ptr< LegAdditionalData > concreteLegData ( ) const

Definition at line 891 of file legdata.hpp.

891{ return concreteLegData_; }

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◆ indices()

const std::set< std::string > & indices ( ) const

Definition at line 892 of file legdata.hpp.

892{ return indices_; }

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◆ paymentDates() [1/2]

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

Definition at line 893 of file legdata.hpp.

893{ return paymentDates_; }

◆ indexing() [1/2]

const std::vector< Indexing > & indexing ( ) const

Definition at line 894 of file legdata.hpp.

894{ return indexing_; }

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◆ indexingFromAssetLeg() [1/2]

const bool indexingFromAssetLeg ( ) const

Definition at line 895 of file legdata.hpp.

895{ return indexingFromAssetLeg_; }

◆ lastPeriodDayCounter() [1/2]

const string & lastPeriodDayCounter ( ) const

Definition at line 896 of file legdata.hpp.

896{ return lastPeriodDayCounter_; }

◆ paymentSchedule()

const ScheduleData & paymentSchedule ( ) const

Definition at line 897 of file legdata.hpp.

897{ return paymentSchedule_; }

◆ strictNotionalDates() [1/2]

bool strictNotionalDates ( ) const

Definition at line 898 of file legdata.hpp.

898{ return strictNotionalDates_; }

◆ notionals() [2/2]

vector< double > & notionals ( )

Definition at line 903 of file legdata.hpp.

903{ return notionals_; }

◆ schedule() [2/2]

ScheduleData & schedule ( )

Definition at line 904 of file legdata.hpp.

904{ return schedule_; }

◆ notionalDates() [2/2]

vector< string > & notionalDates ( )

Definition at line 905 of file legdata.hpp.

905{ return notionalDates_; }

◆ dayCounter() [2/2]

string & dayCounter ( )

Definition at line 906 of file legdata.hpp.

906{ return dayCounter_; }

◆ isPayer() [2/2]

bool & isPayer ( )

Definition at line 907 of file legdata.hpp.

907{ return isPayer_; }

◆ concreteLegData() [2/2]

QuantLib::ext::shared_ptr< LegAdditionalData > & concreteLegData ( )

Definition at line 908 of file legdata.hpp.

908{ return concreteLegData_; }

◆ indexing() [2/2]

std::vector< Indexing > & indexing ( )

Definition at line 909 of file legdata.hpp.

909{ return indexing_; }

◆ indexingFromAssetLeg() [2/2]

bool & indexingFromAssetLeg ( )

Definition at line 910 of file legdata.hpp.

910{ return indexingFromAssetLeg_; }

◆ paymentConvention() [2/2]

string & paymentConvention ( )

Definition at line 911 of file legdata.hpp.

911{ return paymentConvention_; }

◆ paymentDates() [2/2]

std::vector< std::string > & paymentDates ( )

Definition at line 912 of file legdata.hpp.

912{ return paymentDates_; }

◆ lastPeriodDayCounter() [2/2]

string & lastPeriodDayCounter ( )

Definition at line 913 of file legdata.hpp.

913{ return lastPeriodDayCounter_; }

◆ strictNotionalDates() [2/2]

bool & strictNotionalDates ( )

Definition at line 914 of file legdata.hpp.

914{ return strictNotionalDates_; }

◆ initialiseConcreteLegData()

QuantLib::ext::shared_ptr< LegAdditionalData > initialiseConcreteLegData ( const string & legType )

virtual

Definition at line 850 of file legdata.cpp.

                                                                                                 {
    auto legData = LegDataFactory::instance().build(legType);
    QL_REQUIRE(legData, "Leg type " << legType << " has not been registered with the leg data factory.");
    return legData;
}

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Member Data Documentation

◆ indices_

std::set<std::string> indices_

protected

Store the set of ORE index names that appear on this leg.

Take the set appearing in LegAdditionalData::indices() and add on any appearing here. Currently, the only possible extra index appearing at LegData level is fxIndex.

Definition at line 926 of file legdata.hpp.

◆ concreteLegData_

QuantLib::ext::shared_ptr<LegAdditionalData> concreteLegData_

private

Definition at line 929 of file legdata.hpp.

◆ isPayer_

bool isPayer_ = true

private

Definition at line 930 of file legdata.hpp.

◆ currency_

string currency_

private

Definition at line 931 of file legdata.hpp.

◆ legType_

string legType_

private

Definition at line 932 of file legdata.hpp.

◆ schedule_

ScheduleData schedule_

private

Definition at line 933 of file legdata.hpp.

◆ dayCounter_

string dayCounter_

private

Definition at line 934 of file legdata.hpp.

◆ notionals_

vector<double> notionals_

private

Definition at line 935 of file legdata.hpp.

◆ notionalDates_

vector<string> notionalDates_

private

Definition at line 936 of file legdata.hpp.

◆ paymentConvention_

string paymentConvention_

private

Definition at line 937 of file legdata.hpp.

◆ notionalInitialExchange_

bool notionalInitialExchange_ = false

private

Definition at line 938 of file legdata.hpp.

◆ notionalFinalExchange_

bool notionalFinalExchange_ = false

private

Definition at line 939 of file legdata.hpp.

◆ notionalAmortizingExchange_

bool notionalAmortizingExchange_ =false

private

Definition at line 940 of file legdata.hpp.

◆ isNotResetXCCY_

bool isNotResetXCCY_ = true

private

Definition at line 941 of file legdata.hpp.

◆ foreignCurrency_

string foreignCurrency_

private

Definition at line 942 of file legdata.hpp.

◆ foreignAmount_

double foreignAmount_ = 0.0

private

Definition at line 943 of file legdata.hpp.

◆ fxIndex_

string fxIndex_

private

Definition at line 944 of file legdata.hpp.

◆ amortizationData_

std::vector<AmortizationData> amortizationData_

private

Definition at line 945 of file legdata.hpp.

◆ paymentLag_

string paymentLag_

private

Definition at line 946 of file legdata.hpp.

◆ notionalPaymentLag_

string notionalPaymentLag_

private

Definition at line 946 of file legdata.hpp.

◆ paymentCalendar_

std::string paymentCalendar_

private

Definition at line 947 of file legdata.hpp.

◆ paymentDates_

std::vector<std::string> paymentDates_

private

Definition at line 948 of file legdata.hpp.

◆ indexing_

std::vector<Indexing> indexing_

private

Definition at line 949 of file legdata.hpp.

◆ indexingFromAssetLeg_

bool indexingFromAssetLeg_ = false

private

Definition at line 950 of file legdata.hpp.

◆ lastPeriodDayCounter_

string lastPeriodDayCounter_

private

Definition at line 951 of file legdata.hpp.

◆ paymentSchedule_

ScheduleData paymentSchedule_

private

Definition at line 952 of file legdata.hpp.

◆ strictNotionalDates_

bool strictNotionalDates_ = false

private

Definition at line 953 of file legdata.hpp.

Public Member Functions

modifiers

Detailed Description

Constructor & Destructor Documentation

◆ LegData() [1/2]

◆ LegData() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ isPayer() [1/2]

◆ currency()

◆ schedule() [1/2]

◆ notionals() [1/2]

◆ notionalDates() [1/2]

◆ dayCounter() [1/2]

◆ paymentConvention() [1/2]

◆ notionalInitialExchange()

◆ notionalFinalExchange()

◆ notionalAmortizingExchange()

◆ isNotResetXCCY()

◆ foreignCurrency()

◆ foreignAmount()

◆ fxIndex()

◆ paymentLag()

◆ notionalPaymentLag()

◆ amortizationData()

◆ paymentCalendar()

◆ legType()

◆ concreteLegData() [1/2]

◆ indices()

◆ paymentDates() [1/2]

◆ indexing() [1/2]

◆ indexingFromAssetLeg() [1/2]

◆ lastPeriodDayCounter() [1/2]

◆ paymentSchedule()

◆ strictNotionalDates() [1/2]

◆ notionals() [2/2]

◆ schedule() [2/2]

◆ notionalDates() [2/2]

◆ dayCounter() [2/2]

◆ isPayer() [2/2]

◆ concreteLegData() [2/2]

◆ indexing() [2/2]

◆ indexingFromAssetLeg() [2/2]

◆ paymentConvention() [2/2]

◆ paymentDates() [2/2]

◆ lastPeriodDayCounter() [2/2]

◆ strictNotionalDates() [2/2]

◆ initialiseConcreteLegData()

Member Data Documentation

◆ indices_

◆ concreteLegData_

◆ isPayer_

◆ currency_

◆ legType_

◆ schedule_

◆ dayCounter_

◆ notionals_

◆ notionalDates_

◆ paymentConvention_

◆ notionalInitialExchange_

◆ notionalFinalExchange_

◆ notionalAmortizingExchange_

◆ isNotResetXCCY_

◆ foreignCurrency_

◆ foreignAmount_

◆ fxIndex_

◆ amortizationData_

◆ paymentLag_

◆ notionalPaymentLag_

◆ paymentCalendar_

◆ paymentDates_

◆ indexing_

◆ indexingFromAssetLeg_

◆ lastPeriodDayCounter_

◆ paymentSchedule_

◆ strictNotionalDates_