TRS::ReturnData Class Reference

#include <ored/portfolio/trs.hpp>

Inheritance diagram for TRS::ReturnData:

Collaboration diagram for TRS::ReturnData:

Public Member Functions
	ReturnData ()
	ReturnData (const bool payer, const std::string &currency, const ScheduleData &scheduleData, const std::string &observationLag, const std::string &observationConvention, const std::string &observationCalendar, const std::string &paymentLag, const std::string &paymentConvention, const std::string &paymentCalendar, const std::vector< std::string > &paymentDates, const Real initialPrice, const std::string &initialPriceCurrency, const std::vector< std::string > &fxTerms, const boost::optional< bool > payUnderlyingCashFlowsImmediately)
bool	payer () const
const std::string &	currency () const
const ScheduleData &	scheduleData () const
const std::string &	observationLag () const
const std::string &	observationConvention () const
const std::string &	observationCalendar () const
const std::string &	paymentLag () const
const std::string &	paymentConvention () const
const std::string &	paymentCalendar () const
const std::vector< std::string > &	paymentDates () const
Real	initialPrice () const
const std::string &	initialPriceCurrency () const
const std::vector< std::string > &	fxTerms () const
boost::optional< bool >	payUnderlyingCashFlowsImmediately () const
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
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
bool	payer_
std::string	currency_
ScheduleData	scheduleData_
std::string	observationLag_
std::string	observationConvention_
std::string	observationCalendar_
std::string	paymentLag_
std::string	paymentConvention_
std::string	paymentCalendar_
std::vector< std::string >	paymentDates_
Real	initialPrice_
std::string	initialPriceCurrency_
std::vector< std::string >	fxTerms_
boost::optional< bool >	payUnderlyingCashFlowsImmediately_

Detailed Description

Definition at line 38 of file trs.hpp.

Constructor & Destructor Documentation

ReturnData() [1/2]

ReturnData

(

)

Definition at line 40 of file trs.hpp.

: payer_(false), initialPrice_(Null<Real>()), payUnderlyingCashFlowsImmediately_(false) {}

ReturnData() [2/2]

ReturnData	(	const bool	payer,
		const std::string &	currency,
		const ScheduleData &	scheduleData,
		const std::string &	observationLag,
		const std::string &	observationConvention,
		const std::string &	observationCalendar,
		const std::string &	paymentLag,
		const std::string &	paymentConvention,
		const std::string &	paymentCalendar,
		const std::vector< std::string > &	paymentDates,
		const Real	initialPrice,
		const std::string &	initialPriceCurrency,
		const std::vector< std::string > &	fxTerms,
		const boost::optional< bool >	payUnderlyingCashFlowsImmediately
	)

Definition at line 41 of file trs.hpp.

            : payer_(payer), currency_(currency), scheduleData_(scheduleData), observationLag_(observationLag),
              observationCalendar_(observationCalendar), paymentLag_(paymentLag), paymentConvention_(paymentConvention),
              paymentCalendar_(paymentCalendar), paymentDates_(paymentDates), initialPrice_(initialPrice),
              initialPriceCurrency_(initialPriceCurrency), fxTerms_(fxTerms),
              payUnderlyingCashFlowsImmediately_(payUnderlyingCashFlowsImmediately) {}

Member Function Documentation

payer()

bool payer

(

)

const

Definition at line 54 of file trs.hpp.

{ return payer_; }

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currency()

const std::string & currency

(

)

const

Definition at line 55 of file trs.hpp.

{ return currency_; }

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scheduleData()

const ScheduleData & scheduleData

(

)

const

Definition at line 56 of file trs.hpp.

{ return scheduleData_; }

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observationLag()

const std::string & observationLag

(

)

const

Definition at line 57 of file trs.hpp.

{ return observationLag_; }

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observationConvention()

const std::string & observationConvention

(

)

const

Definition at line 58 of file trs.hpp.

{ return observationConvention_; }

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observationCalendar()

const std::string & observationCalendar

(

)

const

Definition at line 59 of file trs.hpp.

{ return observationCalendar_; }

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paymentLag()

const std::string & paymentLag

(

)

const

Definition at line 60 of file trs.hpp.

{ return paymentLag_; }

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paymentConvention()

const std::string & paymentConvention

(

)

const

Definition at line 61 of file trs.hpp.

{ return paymentConvention_; }

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paymentCalendar()

const std::string & paymentCalendar

(

)

const

Definition at line 62 of file trs.hpp.

{ return paymentCalendar_; }

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paymentDates()

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

(

)

const

Definition at line 63 of file trs.hpp.

{ return paymentDates_; }

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initialPrice()

Real initialPrice

(

)

const

Definition at line 64 of file trs.hpp.

{ return initialPrice_; }

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initialPriceCurrency()

const std::string & initialPriceCurrency

(

)

const

Definition at line 65 of file trs.hpp.

{ return initialPriceCurrency_; }

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fxTerms()

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

(

)

const

Definition at line 66 of file trs.hpp.

{ return fxTerms_; }

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payUnderlyingCashFlowsImmediately()

boost::optional< bool > payUnderlyingCashFlowsImmediately

(

)

const

Definition at line 67 of file trs.hpp.

{ return payUnderlyingCashFlowsImmediately_; }

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 51 of file trs.cpp.

                                         {
    XMLUtils::checkNode(node, "ReturnData");
    payer_ = XMLUtils::getChildValueAsBool(node, "Payer", true);
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
    scheduleData_.fromXML(XMLUtils::getChildNode(node, "ScheduleData"));
    observationLag_ = XMLUtils::getChildValue(node, "ObservationLag", false);
    observationConvention_ = XMLUtils::getChildValue(node, "ObservationConvention", false);
    observationCalendar_ = XMLUtils::getChildValue(node, "ObservationCalendar", false);
    paymentLag_ = XMLUtils::getChildValue(node, "PaymentLag", false);
    paymentConvention_ = XMLUtils::getChildValue(node, "PaymentConvention", false);
    paymentCalendar_ = XMLUtils::getChildValue(node, "PaymentCalendar", false);
    paymentDates_ = XMLUtils::getChildrenValues(node, "PaymentDates", "PaymentDate", false);
    initialPrice_ = Null<Real>();
    if (auto n = XMLUtils::getChildNode(node, "InitialPrice")) {
        initialPrice_ = parseReal(XMLUtils::getNodeValue(n));
    }
    initialPriceCurrency_ = XMLUtils::getChildValue(node, "InitialPriceCurrency");
    payUnderlyingCashFlowsImmediately_ = boost::none;
    if (auto n = XMLUtils::getChildNode(node, "PayUnderlyingCashFlowsImmediately")) {
        payUnderlyingCashFlowsImmediately_ = parseBool(XMLUtils::getNodeValue(n));
    }
    fxTerms_ = XMLUtils::getChildrenValues(node, "FXTerms", "FXIndex", false);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 75 of file trs.cpp.

                                                    {
    XMLNode* n = doc.allocNode("ReturnData");
    XMLUtils::addChild(doc, n, "Payer", payer_);
    XMLUtils::addChild(doc, n, "Currency", currency_);
    XMLUtils::appendNode(n, scheduleData_.toXML(doc));
    if (!observationLag_.empty())
        XMLUtils::addChild(doc, n, "ObservationLag", observationLag_);
    if (!observationConvention_.empty())
        XMLUtils::addChild(doc, n, "ObservationConvention", observationConvention_);
    if (!observationCalendar_.empty())
        XMLUtils::addChild(doc, n, "ObservationCalendar", observationCalendar_);
    if (!paymentLag_.empty())
        XMLUtils::addChild(doc, n, "PaymentLag", paymentLag_);
    if (!paymentConvention_.empty())
        XMLUtils::addChild(doc, n, "PaymentConvention", paymentConvention_);
    if (!paymentCalendar_.empty())
        XMLUtils::addChild(doc, n, "PaymentCalendar", paymentCalendar_);
    if (!paymentDates_.empty())
        XMLUtils::addChildren(doc, n, "PaymentDates", "PaymentDate", paymentDates_);
    if (initialPrice_ != Null<Real>())
        XMLUtils::addChild(doc, n, "InitialPrice", initialPrice_);
    if (!initialPriceCurrency_.empty())
        XMLUtils::addChild(doc, n, "InitialPriceCurrency", initialPriceCurrency_);
    if (payUnderlyingCashFlowsImmediately_)
        XMLUtils::addChild(doc, n, "PayUnderlyingCashFlowsImmediately", *payUnderlyingCashFlowsImmediately_);
    if (!fxTerms_.empty())
        XMLUtils::addChildren(doc, n, "FXTerms", "FXIndex", fxTerms_);
    return n;
}

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Member Data Documentation

payer_

bool payer_

private

Definition at line 73 of file trs.hpp.

currency_

std::string currency_

private

Definition at line 74 of file trs.hpp.

scheduleData_

ScheduleData scheduleData_

private

Definition at line 75 of file trs.hpp.

observationLag_

std::string observationLag_

private

Definition at line 76 of file trs.hpp.

observationConvention_

std::string observationConvention_

private

Definition at line 76 of file trs.hpp.

observationCalendar_

std::string observationCalendar_

private

Definition at line 76 of file trs.hpp.

paymentLag_

std::string paymentLag_

private

Definition at line 76 of file trs.hpp.

paymentConvention_

std::string paymentConvention_

private

Definition at line 76 of file trs.hpp.

paymentCalendar_

std::string paymentCalendar_

private

Definition at line 77 of file trs.hpp.

paymentDates_

std::vector<std::string> paymentDates_

private

Definition at line 78 of file trs.hpp.

initialPrice_

Real initialPrice_

private

Definition at line 79 of file trs.hpp.

initialPriceCurrency_

std::string initialPriceCurrency_

private

Definition at line 80 of file trs.hpp.

fxTerms_

std::vector<std::string> fxTerms_

private

Definition at line 81 of file trs.hpp.

payUnderlyingCashFlowsImmediately_

boost::optional<bool> payUnderlyingCashFlowsImmediately_

private

Definition at line 82 of file trs.hpp.