NettingSetDefinition Class Reference

Netting Set Definition. More...

#include <ored/portfolio/nettingsetdefinition.hpp>

Inheritance diagram for NettingSetDefinition:

Collaboration diagram for NettingSetDefinition:

Public Member Functions
	NettingSetDefinition (XMLNode *node)
	NettingSetDefinition (const NettingSetDetails &nettingSetDetails)
	NettingSetDefinition (const string &nettingSetId)
	NettingSetDefinition (const NettingSetDetails &nettingSetDetails, const string &bilateral, const string &csaCurrency, const string &index, const Real &thresholdPay, const Real &thresholdRcv, const Real &mtaPay, const Real &mtaRcv, const Real &iaHeld, const string &iaType, const string &marginCallFreq, const string &marginPostFreq, const string &mpr, const Real &collatSpreadPay, const Real &collatSpreadRcv, const vector< string > &eligCollatCcys, bool applyInitialMargin=false, const string &initialMarginType="Bilateral", const bool calculateIMAmount=false, const bool calculateVMAmount=false, const string &nonExemptIMRegulations="")
	NettingSetDefinition (const string &nettingSetId, const string &bilateral, const string &csaCurrency, const string &index, const Real &thresholdPay, const Real &thresholdRcv, const Real &mtaPay, const Real &mtaRcv, const Real &iaHeld, const string &iaType, const string &marginCallFreq, const string &marginPostFreq, const string &mpr, const Real &collatSpreadPay, const Real &collatSpreadRcv, const vector< string > &eligCollatCcys, bool applyInitialMargin=false, const string &initialMarginType="Bilateral", const bool calculateIMAmount=false, const bool calculateVMAmount=false, const string &nonExemptIMRegulations="")
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	validate ()
const string &	nettingSetId () const
	Inspectors. More...
const NettingSetDetails	nettingSetDetails () const
bool	activeCsaFlag () const
const QuantLib::ext::shared_ptr< CSA > &	csaDetails ()
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...

Detailed Description

Netting Set Definition.

This class is a container for a definition of a netting agreement (including CSA information)

Definition at line 146 of file nettingsetdefinition.hpp.

Constructor & Destructor Documentation

NettingSetDefinition() [1/5]

NettingSetDefinition

(

XMLNode *

node

)

builds a NettingSetDefinition from an XML input

Definition at line 109 of file nettingsetdefinition.cpp.

                                                        {
    fromXML(node);
    DLOG(nettingSetDetails_ << ": NettingSetDefinition built from XML... ");
}

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NettingSetDefinition() [2/5]

NettingSetDefinition

(

const NettingSetDetails &

nettingSetDetails

)

Constructor for "uncollateralised" netting sets

Definition at line 114 of file nettingsetdefinition.cpp.

    : nettingSetDetails_(nettingSetDetails), activeCsaFlag_(false) {
    validate();
    DLOG(nettingSetDetails_ << ": uncollateralised NettingSetDefinition built.");
}

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NettingSetDefinition() [3/5]

NettingSetDefinition

(

const string &

nettingSetId

)

Definition at line 157 of file nettingsetdefinition.hpp.

        : NettingSetDefinition(NettingSetDetails(nettingSetId)) {}

NettingSetDefinition() [4/5]

NettingSetDefinition	(	const NettingSetDetails &	nettingSetDetails,
		const string &	bilateral,
		const string &	csaCurrency,
		const string &	index,
		const Real &	thresholdPay,
		const Real &	thresholdRcv,
		const Real &	mtaPay,
		const Real &	mtaRcv,
		const Real &	iaHeld,
		const string &	iaType,
		const string &	marginCallFreq,
		const string &	marginPostFreq,
		const string &	mpr,
		const Real &	collatSpreadPay,
		const Real &	collatSpreadRcv,
		const vector< string > &	eligCollatCcys,
		bool	applyInitialMargin = false,
		const string &	initialMarginType = "Bilateral",
		const bool	calculateIMAmount = false,
		const bool	calculateVMAmount = false,
		const string &	nonExemptIMRegulations = ""
	)

Constructor for "collateralised" netting sets

Definition at line 120 of file nettingsetdefinition.cpp.

    : nettingSetDetails_(nettingSetDetails), activeCsaFlag_(true) {
 
    csa_ = QuantLib::ext::make_shared<CSA>(
        parseCsaType(bilateral), csaCurrency, index, thresholdPay, thresholdRcv, mtaPay, mtaRcv, iaHeld, iaType,
        parsePeriod(marginCallFreq), parsePeriod(marginPostFreq), parsePeriod(mpr), collatSpreadPay, collatSpreadRcv,
        eligCollatCcys, applyInitialMargin, parseCsaType(initialMarginType), calculateIMAmount, calculateVMAmount,
        nonExemptIMRegulations);
 
    validate();
    DLOG(nettingSetDetails_ << ": collateralised NettingSetDefinition built. ");
}

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NettingSetDefinition() [5/5]

NettingSetDefinition	(	const string &	nettingSetId,
		const string &	bilateral,
		const string &	csaCurrency,
		const string &	index,
		const Real &	thresholdPay,
		const Real &	thresholdRcv,
		const Real &	mtaPay,
		const Real &	mtaRcv,
		const Real &	iaHeld,
		const string &	iaType,
		const string &	marginCallFreq,
		const string &	marginPostFreq,
		const string &	mpr,
		const Real &	collatSpreadPay,
		const Real &	collatSpreadRcv,
		const vector< string > &	eligCollatCcys,
		bool	applyInitialMargin = false,
		const string &	initialMarginType = "Bilateral",
		const bool	calculateIMAmount = false,
		const bool	calculateVMAmount = false,
		const string &	nonExemptIMRegulations = ""
	)

Definition at line 176 of file nettingsetdefinition.hpp.

        : NettingSetDefinition(NettingSetDetails(nettingSetId), bilateral, csaCurrency, index, thresholdPay,
                               thresholdRcv, mtaPay, mtaRcv, iaHeld, iaType, marginCallFreq, marginPostFreq, mpr,
                               collatSpreadPay, collatSpreadRcv, eligCollatCcys, applyInitialMargin, initialMarginType,
                               calculateIMAmount, calculateVMAmount, nonExemptIMRegulations) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

loads NettingSetDefinition object from XML

Implements XMLSerializable.

Definition at line 141 of file nettingsetdefinition.cpp.

                                                {
    XMLUtils::checkNode(node, "NettingSet");
 
    // Read in the mandatory nodes.
    XMLNode* nettingSetDetailsNode = XMLUtils::getChildNode(node, "NettingSetDetails");
    if (nettingSetDetailsNode) {
        nettingSetDetails_.fromXML(nettingSetDetailsNode);
    } else {
        nettingSetId_ = XMLUtils::getChildValue(node, "NettingSetId", false);
        nettingSetDetails_ = NettingSetDetails(nettingSetId_);
    }
 
    activeCsaFlag_ = XMLUtils::getChildValueAsBool(node, "ActiveCSAFlag", false, true);
 
    // Load "CSA" information, if necessary
    if (activeCsaFlag_) {
        XMLNode* csaChild = XMLUtils::getChildNode(node, "CSADetails");
        XMLUtils::checkNode(csaChild, "CSADetails");
 
        string csaTypeStr = XMLUtils::getChildValue(csaChild, "Bilateral", false);
        if (csaTypeStr.empty())
            csaTypeStr = "Bilateral";
        string csaCurrency = XMLUtils::getChildValue(csaChild, "CSACurrency", false);
        string index = XMLUtils::getChildValue(csaChild, "Index", false);
        Real thresholdPay = XMLUtils::getChildValueAsDouble(csaChild, "ThresholdPay", false, 0.0);
        Real thresholdRcv = XMLUtils::getChildValueAsDouble(csaChild, "ThresholdReceive", false, 0.0);
        Real mtaPay = XMLUtils::getChildValueAsDouble(csaChild, "MinimumTransferAmountPay", false, 0.0);
        Real mtaRcv = XMLUtils::getChildValueAsDouble(csaChild, "MinimumTransferAmountReceive", false, 0.0);
        string mprStr = XMLUtils::getChildValue(csaChild, "MarginPeriodOfRisk", false);
        if (mprStr.empty())
            mprStr = "2W";
        Real collatSpreadRcv =
            XMLUtils::getChildValueAsDouble(csaChild, "CollateralCompoundingSpreadReceive", false, 0.0);
        Real collatSpreadPay = XMLUtils::getChildValueAsDouble(csaChild, "CollateralCompoundingSpreadPay", false, 0.0);
 
        string marginCallFreqStr, marginPostFreqStr;
        if (XMLNode* freqChild = XMLUtils::getChildNode(csaChild, "MarginingFrequency")) {
            marginCallFreqStr = XMLUtils::getChildValue(freqChild, "CallFrequency", false);
            marginPostFreqStr = XMLUtils::getChildValue(freqChild, "PostFrequency", false);
        }
        if (marginCallFreqStr.empty())
            marginCallFreqStr = "1D";
        if (marginPostFreqStr.empty())
            marginPostFreqStr = "1D";
 
        Real iaHeld = 0.0;
        string iaType;
        if (XMLNode* iaChild = XMLUtils::getChildNode(csaChild, "IndependentAmount")) {
            iaHeld = XMLUtils::getChildValueAsDouble(iaChild, "IndependentAmountHeld", false, 0.0);
            iaType = XMLUtils::getChildValue(iaChild, "IndependentAmountType", false);
        }
        if (iaType.empty())
            iaType = "FIXED";
 
        vector<string> eligCollatCcys;
        if (XMLNode* collatChild = XMLUtils::getChildNode(csaChild, "EligibleCollaterals")) {
            eligCollatCcys = XMLUtils::getChildrenValues(collatChild, "Currencies", "Currency", false);
        }
 
        bool applyInitialMargin = XMLUtils::getChildValueAsBool(csaChild, "ApplyInitialMargin", false, false);
 
        string initialMarginType = XMLUtils::getChildValue(csaChild, "InitialMarginType", false);
        if (initialMarginType.empty())
            initialMarginType = "Bilateral";
 
        bool calculateIMAmount = XMLUtils::getChildValueAsBool(csaChild, "CalculateIMAmount", false, false);
        bool calculateVMAmount = XMLUtils::getChildValueAsBool(csaChild, "CalculateVMAmount", false, false);
 
        string nonExemptIMRegulations = XMLUtils::getChildValue(csaChild, "NonExemptIMRegulations", false);
 
        csa_ = QuantLib::ext::make_shared<CSA>(parseCsaType(csaTypeStr), csaCurrency, index, thresholdPay, thresholdRcv, mtaPay,
                                       mtaRcv, iaHeld, iaType, parsePeriod(marginCallFreqStr),
                                       parsePeriod(marginPostFreqStr), parsePeriod(mprStr), collatSpreadPay,
                                       collatSpreadRcv, eligCollatCcys, applyInitialMargin,
                                       parseCsaType(initialMarginType), calculateIMAmount, calculateVMAmount,
                                       nonExemptIMRegulations);
    }
 
    validate();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

writes object to XML

Implements XMLSerializable.

Definition at line 222 of file nettingsetdefinition.cpp.

                                                           {
    // Allocate a node.
    XMLNode* node = doc.allocNode("NettingSet");
 
    // Add the mandatory members.
    if (nettingSetDetails_.emptyOptionalFields()) {
        XMLUtils::addChild(doc, node, "NettingSetId", nettingSetId_);
    } else {
        XMLUtils::appendNode(node, nettingSetDetails_.toXML(doc));
    }
    XMLUtils::addChild(doc, node, "ActiveCSAFlag", activeCsaFlag_);
 
    XMLNode* csaSubNode = doc.allocNode("CSADetails");
    XMLUtils::appendNode(node, csaSubNode);
 
    if (activeCsaFlag_) {
        QL_REQUIRE(csa_, "CSA details not defined");
 
        XMLUtils::addChild(doc, csaSubNode, "Bilateral", to_string(csa_->type()));
        XMLUtils::addChild(doc, csaSubNode, "CSACurrency", csa_->csaCurrency());
        XMLUtils::addChild(doc, csaSubNode, "ThresholdPay", csa_->thresholdPay());
        XMLUtils::addChild(doc, csaSubNode, "ThresholdReceive", csa_->thresholdRcv());
        XMLUtils::addChild(doc, csaSubNode, "MinimumTransferAmountPay", csa_->mtaPay());
        XMLUtils::addChild(doc, csaSubNode, "MinimumTransferAmountReceive", csa_->mtaRcv());
        XMLUtils::addChild(doc, csaSubNode, "MarginPeriodOfRisk", to_string(csa_->marginPeriodOfRisk()));
        XMLUtils::addChild(doc, csaSubNode, "CollateralCompoundingSpreadPay", csa_->collatSpreadPay());
        XMLUtils::addChild(doc, csaSubNode, "CollateralCompoundingSpreadReceive", csa_->collatSpreadRcv());
 
        XMLNode* freqSubNode = doc.allocNode("MarginingFrequency");
        XMLUtils::appendNode(csaSubNode, freqSubNode);
        XMLUtils::addChild(doc, freqSubNode, "CallFrequency", to_string(csa_->marginCallFrequency()));
        XMLUtils::addChild(doc, freqSubNode, "PostFrequency", to_string(csa_->marginPostFrequency()));
 
        XMLNode* iaSubNode = doc.allocNode("IndependentAmount");
        XMLUtils::appendNode(csaSubNode, iaSubNode);
        XMLUtils::addChild(doc, iaSubNode, "IndependentAmountHeld", csa_->independentAmountHeld());
        XMLUtils::addChild(doc, iaSubNode, "IndependentAmountType", csa_->independentAmountType());
 
        XMLNode* collatSubNode = doc.allocNode("EligibleCollaterals");
        XMLUtils::appendNode(csaSubNode, collatSubNode);
        XMLUtils::addChildren(doc, collatSubNode, "Currencies", "Currency", csa_->eligCollatCcys());
 
        XMLUtils::addChild(doc, csaSubNode, "ApplyInitialMargin", csa_->applyInitialMargin());
        XMLUtils::addChild(doc, csaSubNode, "InitialMarginType", to_string(csa_->initialMarginType()));
        XMLUtils::addChild(doc, csaSubNode, "CalculateIMAmount", csa_->calculateIMAmount());
        XMLUtils::addChild(doc, csaSubNode, "CalculateVMAmount", csa_->calculateVMAmount());
        XMLUtils::addChild(doc, csaSubNode, "NonExemptIMRegulations", csa_->nonExemptIMRegulations());
    }
 
    return node;
}

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validate()

void validate

(

)

validate the netting set definition including CSA details

Definition at line 274 of file nettingsetdefinition.cpp.

                                    {
    string nettingSetLog = nettingSetDetails_.empty() ? nettingSetId_ : ore::data::to_string(nettingSetDetails_);
    LOG(nettingSetLog << ": Validating netting set definition");
    QL_REQUIRE(nettingSetId_.size() > 0 || !nettingSetDetails_.empty(),
               "NettingSetDefinition build error; no netting set ID or netting set details");
 
    if (activeCsaFlag_) {
        QL_REQUIRE(csa_, "CSA not defined yet");
        string nettingSetLog = nettingSetDetails_.empty() ? nettingSetId_ : ore::data::to_string(nettingSetDetails_);
        LOG(nettingSetLog << ": Validating netting set definition's CSA details");
        csa_->validate();
    }
}

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nettingSetId()

const string & nettingSetId

(

)

const

Inspectors.

returns netting set id

Definition at line 210 of file nettingsetdefinition.hpp.

                                       {
        return (nettingSetDetails_.empty() ? nettingSetId_ : nettingSetDetails_.nettingSetId());
    }

nettingSetDetails()

const NettingSetDetails nettingSetDetails

(

)

const

returns netting set details

Definition at line 214 of file nettingsetdefinition.hpp.

{ return nettingSetDetails_; }

activeCsaFlag()

bool activeCsaFlag

(

)

const

boolean specifying if ISDA agreement is covered by a Credit Support Annex

Definition at line 216 of file nettingsetdefinition.hpp.

{ return activeCsaFlag_; }

csaDetails()

const QuantLib::ext::shared_ptr< CSA > & csaDetails

(

)

CSA details, if active

Definition at line 218 of file nettingsetdefinition.hpp.

{ return csa_; }