OptionPaymentData Class Reference

#include <ored/portfolio/optionpaymentdata.hpp>

Inheritance diagram for OptionPaymentData:

Collaboration diagram for OptionPaymentData:

Public Types
enum class	RelativeTo { Expiry , Exercise }
	When we have payment rules, specifies what date the payment is relative to. More...

Public Member Functions
	OptionPaymentData ()
	Default constructor. More...
	OptionPaymentData (const std::vector< std::string > &dates)
	Constructor taking an explicit set of payment dates. More...
	OptionPaymentData (const std::string &lag, const std::string &calendar, const std::string &convention, const std::string &relativeTo="Expiry")
	Constructor taking a set of payment rules. More...
bool	rulesBased () const
Inspectors
const std::vector< QuantLib::Date > &	dates () const
QuantLib::Natural	lag () const
const QuantLib::Calendar &	calendar () const
QuantLib::BusinessDayConvention	convention () const
RelativeTo	relativeTo () 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...

Serialisation
std::vector< std::string >	strDates_
std::string	strLag_
std::string	strCalendar_
std::string	strConvention_
std::string	strRelativeTo_
bool	rulesBased_
std::vector< QuantLib::Date >	dates_
QuantLib::Natural	lag_
QuantLib::Calendar	calendar_
QuantLib::BusinessDayConvention	convention_
RelativeTo	relativeTo_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
void	init ()
	Initialisation. More...
void	populateRelativeTo ()
	Populate the value of relativeTo_ member from string. More...

Detailed Description

Serializable object holding option payment data for cash settled options.

Definition at line 36 of file optionpaymentdata.hpp.

Member Enumeration Documentation

RelativeTo

enum class RelativeTo

strong

When we have payment rules, specifies what date the payment is relative to.

Enumerator
Expiry
Exercise

Definition at line 39 of file optionpaymentdata.hpp.

{ Expiry, Exercise };

Constructor & Destructor Documentation

OptionPaymentData() [1/3]

OptionPaymentData

(

)

Default constructor.

Definition at line 31 of file optionpaymentdata.cpp.

    : rulesBased_(false), lag_(0), convention_(Following), relativeTo_(RelativeTo::Expiry) {}

OptionPaymentData() [2/3]

OptionPaymentData

(

const std::vector< std::string > &

dates

)

Constructor taking an explicit set of payment dates.

Definition at line 34 of file optionpaymentdata.cpp.

    : strDates_(dates), rulesBased_(false), lag_(0), convention_(Following), relativeTo_(RelativeTo::Expiry) {
    init();
}

Here is the call graph for this function:

OptionPaymentData() [3/3]

OptionPaymentData	(	const std::string &	lag,
		const std::string &	calendar,
		const std::string &	convention,
		const std::string &	relativeTo = "Expiry"
	)

Constructor taking a set of payment rules.

Definition at line 39 of file optionpaymentdata.cpp.

    : strLag_(lag), strCalendar_(calendar), strConvention_(convention), strRelativeTo_(relativeTo), rulesBased_(true),
      lag_(0), convention_(Following), relativeTo_(RelativeTo::Expiry) {
    init();
}

Here is the call graph for this function:

Member Function Documentation

rulesBased()

bool rulesBased

(

)

const

Returns true if the OptionPaymentData was constructed using rules and false if it was constructed using explicit payment dates.

Definition at line 54 of file optionpaymentdata.hpp.

{ return rulesBased_; }

Here is the caller graph for this function:

dates()

const std::vector< QuantLib::Date > & dates

(

)

const

Definition at line 58 of file optionpaymentdata.hpp.

{ return dates_; }

Here is the caller graph for this function:

lag()

QuantLib::Natural lag

(

)

const

Definition at line 59 of file optionpaymentdata.hpp.

{ return lag_; }

Here is the caller graph for this function:

calendar()

const QuantLib::Calendar & calendar

(

)

const

Definition at line 60 of file optionpaymentdata.hpp.

{ return calendar_; }

Here is the caller graph for this function:

convention()

QuantLib::BusinessDayConvention convention

(

)

const

Definition at line 61 of file optionpaymentdata.hpp.

{ return convention_; }

Here is the caller graph for this function:

relativeTo()

RelativeTo relativeTo

(

)

const

Definition at line 62 of file optionpaymentdata.hpp.

{ return relativeTo_; }

Here is the caller graph for this function:

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 46 of file optionpaymentdata.cpp.

                                             {
    XMLUtils::checkNode(node, "PaymentData");
    if (XMLUtils::getChildNode(node, "Dates")) {
        strDates_ = XMLUtils::getChildrenValues(node, "Dates", "Date", true);
        rulesBased_ = false;
    } else if (XMLNode* n = XMLUtils::getChildNode(node, "Rules")) {
        strLag_ = XMLUtils::getChildValue(n, "Lag", true);
        strCalendar_ = XMLUtils::getChildValue(n, "Calendar", true);
        strConvention_ = XMLUtils::getChildValue(n, "Convention", true);
        strRelativeTo_ = "Expiry";
        if (XMLNode* rtNode = XMLUtils::getChildNode(n, "RelativeTo"))
            strRelativeTo_ = XMLUtils::getNodeValue(rtNode);
        rulesBased_ = true;
    } else {
        QL_FAIL("Expected that PaymentData node has a PaymentDates or PaymentRules child node.");
    }
    init();
}

Here is the call graph for this function:

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 65 of file optionpaymentdata.cpp.

                                                        {
    XMLNode* node = doc.allocNode("PaymentData");
 
    if (rulesBased_) {
        XMLNode* rulesNode = doc.allocNode("Rules");
        XMLUtils::addChild(doc, rulesNode, "Lag", strLag_);
        XMLUtils::addChild(doc, rulesNode, "Calendar", strCalendar_);
        XMLUtils::addChild(doc, rulesNode, "Convention", strConvention_);
        XMLUtils::addChild(doc, rulesNode, "RelativeTo", strRelativeTo_);
        XMLUtils::appendNode(node, rulesNode);
    } else {
        XMLUtils::addChildren(doc, node, "Dates", "Date", strDates_);
    }
 
    return node;
}

Here is the call graph for this function:

init()

void init ( )

private

Initialisation.

Definition at line 82 of file optionpaymentdata.cpp.

                             {
    if (rulesBased_) {
        lag_ = parseInteger(strLag_);
        calendar_ = parseCalendar(strCalendar_);
        convention_ = parseBusinessDayConvention(strConvention_);
        populateRelativeTo();
    } else {
        QL_REQUIRE(strDates_.size() > 0, "Expected at least 1 option payment date.");
        dates_.reserve(strDates_.size());
        for (const string& d : strDates_) {
            dates_.push_back(parseDate(d));
        }
    }
}

Here is the call graph for this function:

Here is the caller graph for this function:

populateRelativeTo()

void populateRelativeTo ( )

private

Populate the value of relativeTo_ member from string.

Definition at line 97 of file optionpaymentdata.cpp.

                                           {
    if (strRelativeTo_ == "Expiry") {
        relativeTo_ = RelativeTo::Expiry;
    } else if (strRelativeTo_ == "Exercise") {
        relativeTo_ = RelativeTo::Exercise;
    } else {
        QL_FAIL("Could not convert string " << strRelativeTo_ << " to a valid RelativeTo value.");
    }
}

Here is the caller graph for this function:

Member Data Documentation

strDates_

std::vector<std::string> strDates_

private

Definition at line 72 of file optionpaymentdata.hpp.

strLag_

std::string strLag_

private

Definition at line 73 of file optionpaymentdata.hpp.

strCalendar_

std::string strCalendar_

private

Definition at line 74 of file optionpaymentdata.hpp.

strConvention_

std::string strConvention_

private

Definition at line 75 of file optionpaymentdata.hpp.

strRelativeTo_

std::string strRelativeTo_

private

Definition at line 76 of file optionpaymentdata.hpp.

rulesBased_

bool rulesBased_

private

Definition at line 78 of file optionpaymentdata.hpp.

dates_

std::vector<QuantLib::Date> dates_

private

Definition at line 79 of file optionpaymentdata.hpp.

lag_

QuantLib::Natural lag_

private

Definition at line 80 of file optionpaymentdata.hpp.

calendar_

QuantLib::Calendar calendar_

private

Definition at line 81 of file optionpaymentdata.hpp.

convention_

QuantLib::BusinessDayConvention convention_

private

Definition at line 82 of file optionpaymentdata.hpp.

relativeTo_

RelativeTo relativeTo_

private

Definition at line 83 of file optionpaymentdata.hpp.