NettingSetManager Class Reference

Netting Set Manager. More...

#include <ored/portfolio/nettingsetmanager.hpp>

Inheritance diagram for NettingSetManager:

Collaboration diagram for NettingSetManager:

Public Member Functions
	NettingSetManager ()
void	reset ()
const bool	empty () const
const bool	calculateIMAmount () const
const std::set< NettingSetDetails >	calculateIMNettingSets () const
bool	has (const string &id) const
bool	has (const NettingSetDetails &nettingSetDetails) const
void	add (const QuantLib::ext::shared_ptr< NettingSetDefinition > &nettingSet)
QuantLib::ext::shared_ptr< NettingSetDefinition >	get (const string &id) const
QuantLib::ext::shared_ptr< NettingSetDefinition >	get (const NettingSetDetails &nettingSetDetails) const
vector< NettingSetDetails >	uniqueKeys () const
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
const std::map< NettingSetDetails, const QuantLib::ext::shared_ptr< NettingSetDefinition > > &	nettingSetDefinitions ()
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...

Private Attributes
map< NettingSetDetails, const QuantLib::ext::shared_ptr< NettingSetDefinition > >	data_
vector< NettingSetDetails >	uniqueKeys_

Detailed Description

Netting Set Manager.

This class is a manager to store netting set definitions

Definition at line 42 of file nettingsetmanager.hpp.

Constructor & Destructor Documentation

NettingSetManager()

NettingSetManager

(

)

default constructor

Definition at line 47 of file nettingsetmanager.hpp.

{}

Member Function Documentation

reset()

void reset

(

)

clears the manager of all data

Definition at line 49 of file nettingsetmanager.cpp.

                              {
    data_.clear();
    uniqueKeys_.clear();
}

empty()

const bool empty

(

)

const

checks if the manager is empty

Definition at line 54 of file nettingsetmanager.cpp.

                                          {
    return data_.empty();
}

calculateIMAmount()

const bool calculateIMAmount

(

)

const

checks if at least one of the netting set definitions has calculateIMAmount = true

Definition at line 58 of file nettingsetmanager.cpp.

                                                      { 
    for (const auto& nsd : data_) {
        if (nsd.second->activeCsaFlag() && nsd.second->csaDetails()->calculateIMAmount())
            return true;
    }
    return false;
}

calculateIMNettingSets()

const set< NettingSetDetails > calculateIMNettingSets

(

)

const

returns the list of netting sets for which SIMM will be calculated as IM

Definition at line 66 of file nettingsetmanager.cpp.

                                                                             {
    set<NettingSetDetails> calculateIMNettingSets = set<NettingSetDetails>();
    for (const auto& nsd : data_) {
        if (nsd.second->activeCsaFlag() && nsd.second->csaDetails()->calculateIMAmount()) {
            calculateIMNettingSets.insert(nsd.first);
        }
    }
    return calculateIMNettingSets;
}

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has() [1/2]

bool has

(

const string &

id

)

const

checks if object named id exists in manager

Definition at line 45 of file nettingsetmanager.cpp.

                                                  {
    return has(NettingSetDetails(id));
}

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has() [2/2]

bool has

(

const NettingSetDetails &

nettingSetDetails

)

const

checks if object with the given nettingSetDetails exists in manager

Definition at line 41 of file nettingsetmanager.cpp.

                                                                            {
    return data_.find(nettingSetDetails) != data_.end();
}

add()

void add

(

const QuantLib::ext::shared_ptr< NettingSetDefinition > &

nettingSet

)

adds a new NettingSetDefinition object to manager

Definition at line 29 of file nettingsetmanager.cpp.

                                                                                         {
    const NettingSetDetails& k = nettingSet->nettingSetDetails();
 
    std::pair<NettingSetDetails, QuantLib::ext::shared_ptr<NettingSetDefinition>> newNetSetDef(k, nettingSet);
 
    bool added = data_.insert(newNetSetDef).second;
    if (added)
        uniqueKeys_.push_back(k);
 
    QL_REQUIRE(data_.size() == uniqueKeys_.size(), "NettingSetManager: vector/map size mismatch");
}

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get() [1/2]

QuantLib::ext::shared_ptr< NettingSetDefinition > get

(

const string &

id

)

const

extracts a pointer to a NettingSetDefinition from manager

Definition at line 83 of file nettingsetmanager.cpp.

                                                                                         {
    auto found = std::find_if(data_.begin(), data_.end(),
                              [&id](const auto& details) { return details.first.nettingSetId() == id; });
    if (found != data_.end())
        return found->second;
    else
        QL_FAIL("NettingSetDefinition not found in manager: " + id);
}

get() [2/2]

QuantLib::ext::shared_ptr< NettingSetDefinition > get

(

const NettingSetDetails &

nettingSetDetails

)

const

Definition at line 76 of file nettingsetmanager.cpp.

                                                                                                                   {
    if (has(nettingSetDetails))
        return data_.find(nettingSetDetails)->second;
    else
        QL_FAIL("NettingSetDefinition not found in manager: " << nettingSetDetails);
}

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uniqueKeys()

vector< NettingSetDetails > uniqueKeys

(

)

const

vector containing the ids of all objects stored in manager

Definition at line 93 of file nettingsetmanager.hpp.

{ return uniqueKeys_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 92 of file nettingsetmanager.cpp.

                                             {
    XMLUtils::checkNode(node, "NettingSetDefinitions");
    vector<XMLNode*> nettingSetNodes = XMLUtils::getChildrenNodes(node, "NettingSet");
    for (unsigned i = 0; i < nettingSetNodes.size(); i++) {
        XMLNode* child = nettingSetNodes[i];
        try {
            QuantLib::ext::shared_ptr<NettingSetDefinition> nettingSet(new NettingSetDefinition(child));
            add(nettingSet);
        } catch (std::exception& ex) {
            StructuredConfigurationWarningMessage("Netting set manager", "", "Failed to parse netting set definition",
                                                  ex.what())
                .log();
        }
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 108 of file nettingsetmanager.cpp.

                                                        {
    XMLNode* node = doc.allocNode("NettingSetDefinitions");
    // map<NettingSetDetails, const QuantLib::ext::shared_ptr<NettingSetDefinition>>::iterator it;
    for (auto it = data_.begin(); it != data_.end(); ++it)
        XMLUtils::appendNode(node, it->second->toXML(doc));
    return node;
}

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nettingSetDefinitions()

const std::map< NettingSetDetails, const QuantLib::ext::shared_ptr< NettingSetDefinition > > & nettingSetDefinitions

(

)

Definition at line 97 of file nettingsetmanager.hpp.

{ return data_; }

Member Data Documentation

data_

map<NettingSetDetails, const QuantLib::ext::shared_ptr<NettingSetDefinition> > data_

private

Definition at line 100 of file nettingsetmanager.hpp.

uniqueKeys_

vector<NettingSetDetails> uniqueKeys_

private

Definition at line 101 of file nettingsetmanager.hpp.