ScheduleBuilder Class Reference

#include <ored/portfolio/schedule.hpp>

Collaboration diagram for ScheduleBuilder:

Public Member Functions
void	add (QuantLib::Schedule &schedule, const ScheduleData &scheduleData)
void	makeSchedules (const QuantLib::Date &openEndDateReplacement=QuantLib::Null< QuantLib::Date >())

Private Attributes
map< string, pair< ScheduleData, QuantLib::Schedule & > >	schedules_

Detailed Description

Definition at line 256 of file schedule.hpp.

Member Function Documentation

add()

void add	(	QuantLib::Schedule &	schedule,
		const ScheduleData &	scheduleData
	)

Definition at line 209 of file schedule.cpp.

                                                                      {
    string name = data.name();
    schedules_.insert(pair<string, pair<ScheduleData, Schedule&>>({name, {data, schedule}}));
}

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makeSchedules()

void makeSchedules

(

const QuantLib::Date &

openEndDateReplacement = QuantLib::Null<QuantLib::Date>()

)

Definition at line 214 of file schedule.cpp.

                                                                      {
    map<string, Schedule> builtSchedules;
    map<string, ScheduleData> derivedSchedules;
 
    // First, we build all the rules-based and dates-based schedules
    for (auto& s : schedules_) {
        string schName = s.first;
        ScheduleData& schData = s.second.first;
        Schedule& sch = s.second.second;
 
        if (!schData.hasDerived()) {
            sch = makeSchedule(schData, openEndDateReplacement);
            builtSchedules[schName] = sch;
        } else {
            derivedSchedules[schName] = schData;
        }
    }
 
    // We then keep looping through the list of derived schedules and building these from the list of built schedules.
    bool calculated;
    while (derivedSchedules.size() > 0) {
        calculated = false;
        for (auto& ds : derivedSchedules) {
            string dsName = ds.first;
            ScheduleData& dsSchedData = ds.second;
            vector<string> baseNames = dsSchedData.baseScheduleNames();
            for (string& bn : baseNames) {
                QL_REQUIRE(builtSchedules.find(bn) != builtSchedules.end(), "Could not find base schedule \" " << bn << "\" for derived schedule \" " << dsName << "\"");
            }
            Schedule schedule;
            schedule = makeSchedule(dsSchedData, openEndDateReplacement, builtSchedules);
            schedules_.find(dsName)->second.second = schedule;
            builtSchedules[dsName] = schedule;
            derivedSchedules.erase(dsName);
            calculated = true;
            break;
        }
 
        // If we go through the whole list without having built a schedule, then assume that we cannot build them
        // anymore.
        if (!calculated) {
            for (auto& ds : derivedSchedules)
                ALOG("makeSchedules(): could not find base schedule \"" << ds.first << "\"");
            QL_FAIL("makeSchedules(): failed to build at least one derived schedule");
            break;
        }
    }
}

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Member Data Documentation

schedules_

map<string, pair<ScheduleData, QuantLib::Schedule&> > schedules_

private

Definition at line 274 of file schedule.hpp.