#include <ored/portfolio/tarf.hpp>

Inheritance diagram for TaRF:

Collaboration diagram for TaRF:

Public Member Functions
	TaRF (const std::string &tradeType="TaRF")

	TaRF (const std::string &currency, const std::string &fixingAmount, const std::string &targetAmount, const std::string &targetPoints, const std::vector< std::string > &strikes, const std::vector< std::string > &strikeDates, const QuantLib::ext::shared_ptr< Underlying > &underlying, const ScheduleData &fixingDates, const std::string &settlementLag, const std::string &settlementCalendar, const std::string &settlementConvention, OptionData &optionData, const std::vector< std::vector< RangeBound > > &rangeBoundSet, const std::vector< std::string > &rangeBoundSetDates, const std::vector< BarrierData > &barriers)

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Public Member Functions inherited from ScriptedTrade
	ScriptedTrade (const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::map< std::string, ScriptedTradeScriptData > &script, const std::string &productTag, const std::string &tradeType="ScriptedTrade")

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::string &scriptName, const std::string &tradeType="ScriptedTrade")

void	clear ()

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

std::string	notionalCurrency () const override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (ore::data::XMLDocument &doc) const override

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const PremiumData &premiumData, const Real premiumMultiplier)

std::map< ore::data::AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override

virtual void	setIsdaTaxonomyFields ()

const std::vector< ScriptedTradeEventData > &	events () const

const std::vector< ScriptedTradeValueTypeData > &	numbers () const

const std::vector< ScriptedTradeValueTypeData > &	indices () const

const std::vector< ScriptedTradeValueTypeData > &	currencies () const

const std::vector< ScriptedTradeValueTypeData > &	daycounters () const

const std::map< std::string, ScriptedTradeScriptData > &	script () const

const std::string &	productTag () const

const std::string &	scriptName () const

const std::string &	simmProductClass () const

const std::string &	scheduleProductClass () const

const ScriptedTradeScriptData &	script (const std::string &purpose, const bool fallBackOnEmptyPurpose=true) const

Public Member Functions inherited from Trade
	Trade ()
	Default constructor. More...

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor. More...

virtual	~Trade ()
	Default destructor. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0

virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const

const RequiredFixings &	requiredFixings () const

virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const

void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade. More...

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values. More...

string &	id ()
	Set the trade id. More...

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info. More...

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions. More...

const string &	id () const

const string &	tradeType () const

const Envelope &	envelope () const

const set< string > &	portfolioIds () const

const TradeActions &	tradeActions () const

const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const

const std::vector< QuantLib::Leg > &	legs () const

const std::vector< string > &	legCurrencies () const

const std::vector< bool > &	legPayers () const

const string &	npvCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum. More...

virtual const std::map< std::string, boost::any > &	additionalData () const
	returns all additional data returned by the trade once built More...

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set. More...

virtual bool	hasCashflows () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

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...

Inspectors
std::string	currency_

std::string	fixingAmount_

std::string	targetAmount_

std::string	targetPoints_

std::vector< std::string >	strikes_

std::vector< std::string >	strikeDates_

QuantLib::ext::shared_ptr< Underlying >	underlying_

ScheduleData	fixingDates_

std::string	settlementLag_

std::string	settlementCalendar_

std::string	settlementConvention_

OptionData	optionData_

std::vector< std::vector< RangeBound > >	rangeBoundSet_

std::vector< std::string >	rangeBoundSetDates_

std::vector< BarrierData >	barriers_

const std::string &	name () const

void	initIndices ()

Additional Inherited Members
Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Protected Attributes inherited from ScriptedTrade
std::vector< ScriptedTradeEventData >	events_

std::vector< ScriptedTradeValueTypeData >	numbers_

std::vector< ScriptedTradeValueTypeData >	indices_

std::vector< ScriptedTradeValueTypeData >	currencies_

std::vector< ScriptedTradeValueTypeData >	daycounters_

std::map< std::string, ScriptedTradeScriptData >	script_

std::string	productTag_

std::string	scriptName_

std::string	simmProductClass_

std::string	scheduleProductClass_

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Detailed Description

Definition at line 37 of file tarf.hpp.

Constructor & Destructor Documentation

◆ TaRF() [1/2]

TaRF ( const std::string & tradeType = "TaRF" )

explicit

Definition at line 39 of file tarf.hpp.

39: ScriptedTrade(tradeType) {}

ore::data::ScriptedTrade::ScriptedTrade

ScriptedTrade(const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

Definition: scriptedtrade.hpp:205

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ TaRF() [2/2]

TaRF	(	const std::string &	currency,
		const std::string &	fixingAmount,
		const std::string &	targetAmount,
		const std::string &	targetPoints,
		const std::vector< std::string > &	strikes,
		const std::vector< std::string > &	strikeDates,
		const QuantLib::ext::shared_ptr< Underlying > &	underlying,
		const ScheduleData &	fixingDates,
		const std::string &	settlementLag,
		const std::string &	settlementCalendar,
		const std::string &	settlementConvention,
		OptionData &	optionData,
		const std::vector< std::vector< RangeBound > > &	rangeBoundSet,
		const std::vector< std::string > &	rangeBoundSetDates,
		const std::vector< BarrierData > &	barriers
	)

Definition at line 246 of file tarf.cpp.

    : currency_(currency), fixingAmount_(fixingAmount), targetAmount_(targetAmount), targetPoints_(targetPoints),
      strikes_(strikes), underlying_(underlying), fixingDates_(fixingDates), settlementLag_(settlementLag),
      settlementCalendar_(settlementCalendar), settlementConvention_(settlementConvention), optionData_(optionData),
      rangeBoundSet_(rangeBoundSet), barriers_(barriers) {
    QL_REQUIRE(strikes_.size() == strikeDates_.size(), "TaRF: strike size (" << strikes_.size()
                                                                             << ") does not match strikeDates size ("
                                                                             << strikeDates_.size() << ")");
    QL_REQUIRE(rangeBoundSet_.size() == rangeBoundSetDates_.size(),
               "TaRF: rangeBoundSet size (" << rangeBoundSet_.size() << ") does not match rangeBoundSetDates size ("
                                            << rangeBoundSetDates_.size());
    QL_REQUIRE(targetAmount_.empty() || targetPoints_.empty(),
               "TaRF: both ttargetAmount, targetPoints is populated, only one is allowed");
    initIndices();
}

Here is the call graph for this function:

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & )

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Reimplemented from ScriptedTrade.

Definition at line 268 of file tarf.cpp.

                                                                    {
 
    // 1 inits
 
    clear();
    initIndices();
 
    // 2 build rangeBounds and strikes vectors according to fixing date schedule
 
    std::vector<QuantLib::Date> fixingSchedulePlusInf = makeSchedule(fixingDates_).dates();
    fixingSchedulePlusInf.push_back(Date::maxDate());
    std::vector<std::vector<RangeBound>> rangeBoundSet = buildScheduledVectorNormalised<std::vector<RangeBound>>(
        rangeBoundSet_, rangeBoundSetDates_, fixingSchedulePlusInf, std::vector<RangeBound>());
    std::vector<std::string> strikes =
        buildScheduledVectorNormalised<std::string>(strikes_, strikeDates_, fixingSchedulePlusInf, "");
    Size numberOfRangeBounds = Null<Size>();
 
    QL_REQUIRE(rangeBoundSet.size() == fixingSchedulePlusInf.size() - 1,
               "RangeBoundSet has " << rangeBoundSet.size() << " elements for " << (fixingSchedulePlusInf.size() - 1)
                                    << " fixing dates.");
    QL_REQUIRE(strikes.size() == fixingSchedulePlusInf.size() - 1, "Strikes has " << strikes.size() << " elements for "
                                                                                  << (fixingSchedulePlusInf.size() - 1)
                                                                                  << " fixing dates.");
 
    // 3 populate range-bound data (per fixing date)
 
    std::vector<std::string> rangeStrikes, rangeUpperBounds, rangeLowerBounds, rangeLeverages;
    for (Size i = 0; i < rangeBoundSet.size(); ++i) {
 
        for (auto const& r : rangeBoundSet[i]) {
            if (r.strike() != Null<Real>())
                rangeStrikes.push_back(boost::lexical_cast<std::string>(r.strike()));
            else if (r.strikeAdjustment() != Null<Real>() && !strikes[i].empty())
                rangeStrikes.push_back(boost::lexical_cast<std::string>(r.strikeAdjustment() + parseReal(strikes[i])));
            else if (!strikes[i].empty())
                rangeStrikes.push_back(boost::lexical_cast<std::string>(parseReal(strikes[i])));
            else {
                QL_FAIL("insufficient strike information");
            }
            rangeLowerBounds.push_back(
                boost::lexical_cast<std::string>(r.from() == Null<Real>() ? -QL_MAX_REAL : r.from()));
            rangeUpperBounds.push_back(boost::lexical_cast<std::string>(r.to() == Null<Real>() ? QL_MAX_REAL : r.to()));
            rangeLeverages.push_back(
                boost::lexical_cast<std::string>(r.leverage() == Null<Real>() ? 1.0 : r.leverage()));
        }
 
        if (i == 0)
            numberOfRangeBounds = rangeLowerBounds.size();
        else {
            QL_REQUIRE(
                numberOfRangeBounds * (i + 1) == rangeLowerBounds.size(),
                "Each RangeBounds subnode (under RangeBoundSets) must contain the same number of RangeBound nodes");
        }
    }
 
    QL_REQUIRE(numberOfRangeBounds != Null<Size>(), "internal error: numberOfRangeBounds not set.");
 
    // 4 set parameters
 
    numbers_.emplace_back("Number", "NumberOfRangeBounds", std::to_string(numberOfRangeBounds));
    numbers_.emplace_back("Number", "RangeStrikes", rangeStrikes);
    numbers_.emplace_back("Number", "RangeLowerBounds", rangeLowerBounds);
    numbers_.emplace_back("Number", "RangeUpperBounds", rangeUpperBounds);
    numbers_.emplace_back("Number", "RangeLeverages", rangeLeverages);
 
    numbers_.emplace_back("Number", "FixingAmount", fixingAmount_);
    numbers_.emplace_back("Number", "LongShort",
                          parsePositionType(optionData_.longShort()) == Position::Long ? "1" : "-1");
 
    currencies_.emplace_back("Currency", "PayCcy", currency_);
 
    events_.emplace_back("FixingDates", fixingDates_);
    events_.emplace_back("SettlementDates", "FixingDates", settlementLag_.empty() ? "0D" : settlementLag_,
                         settlementCalendar_.empty() ? "NullCalendar" : settlementCalendar_,
                         settlementConvention_.empty() ? "F" : settlementConvention_);
 
    std::string knockOutProfitAmount = "0", knockOutProfitAmountPoints = "0", knockOutProfitEvents = "0";
    for (auto const& b : barriers_) {
        QL_REQUIRE(b.style().empty() || b.style() == "European", "only european barrier style supported");
        if (b.type() == "CumulatedProfitCap" && !b.levels().empty())
            knockOutProfitAmount = boost::lexical_cast<std::string>(b.levels().front().value());
        else if (b.type() == "CumulatedProfitCapPoints" && !b.levels().empty())
            knockOutProfitAmountPoints = boost::lexical_cast<std::string>(b.levels().front().value());
        else if (b.type() == "FixingCap" && !b.levels().empty())
            knockOutProfitEvents = boost::lexical_cast<std::string>(b.levels().front().value());
        else {
            QL_FAIL("invalid barrier definition, expected CumulatedProfitCap or FixingCap with exactly one level");
        }
    }
 
    // 4a compute both target amount and points from given trade data, it depends on the variant which we use below
 
    Real targetAmount = 0.0, targetPoints = 0.0;
    if (!targetAmount_.empty()) {
        targetAmount = parseReal(targetAmount_);
        targetPoints = targetAmount / parseReal(fixingAmount_);
    } else if (!targetPoints_.empty()) {
        targetPoints = parseReal(targetPoints_);
        targetAmount = targetPoints * parseReal(fixingAmount_);
    }
 
    // 4b choose the variant and check barrier types, set target amount or points dependent on variant
 
    std::string scriptToUse, amcScriptToUse;
    if (knockOutProfitAmountPoints != "0") {
        scriptToUse = tarf_script_points;
        amcScriptToUse = tarf_script_points_amc;
        QL_REQUIRE(
            knockOutProfitAmount == "0",
            "CumulatedProfitCapPoints can not be combined with other barrier types CumulatedPorfitCap, FixingCap");
        numbers_.emplace_back("Number", "TargetPoints", boost::lexical_cast<std::string>(targetPoints));
        numbers_.emplace_back("Number", "KnockOutProfitAmountPoints", knockOutProfitAmountPoints);
    } else {
        scriptToUse = tarf_script_regular;
        amcScriptToUse = tarf_script_regular_amc;
        numbers_.emplace_back("Number", "TargetAmount", boost::lexical_cast<std::string>(targetAmount));
        numbers_.emplace_back("Number", "KnockOutProfitAmount", knockOutProfitAmount);
        numbers_.emplace_back("Number", "KnockOutProfitEvents", knockOutProfitEvents);
    }
 
    // 4c set target type
 
    std::string targetType;
    if (optionData_.payoffType() == "TargetTruncated")
        targetType = "-1";
    else if (optionData_.payoffType() == "TargetExact")
        targetType = "0";
    else if (optionData_.payoffType() == "TargetFull")
        targetType = "1";
    else {
        QL_FAIL("invalid payoffType, expected TargetTruncated, TargetExact, TargetFull");
    }
    numbers_.emplace_back("Number", "TargetType", targetType);
 
    // 5 set product tag
 
    productTag_ = "SingleAssetOptionCG({AssetClass})";
 
    // 6 set script
 
    script_.clear();
 
    script_[""] = ScriptedTradeScriptData(scriptToUse, "value",
                                          {{"currentNotional", "currentNotional"},
                                           {"notionalCurrency", "PayCcy"},
                                           {"FixingAmount", "FixingAmount"},
                                           {"Fixing", "Fixing"},
                                           {"Triggered", "Triggered"}},
                                          {});
 
    script_["AMC"] = ScriptedTradeScriptData(
        amcScriptToUse, "value",
        {{"currentNotional", "currentNotional"},
         {"notionalCurrency", "PayCcy"},
         {"FixingAmount", "FixingAmount"},
         {"Fixing", "Fixing"},
         {"Triggered", "Triggered"}},
        {}, {ScriptedTradeScriptData::NewScheduleData("FixingAndSimDates", "Join", {"_AMC_SimDates", "FixingDates"})},
        {}, {}, {"Asset"});
 
    // 7 build trade
 
    ScriptedTrade::build(factory);
}

Here is the call graph for this function:

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from ScriptedTrade.

Definition at line 435 of file tarf.cpp.

                                {
    Trade::fromXML(node);
    XMLNode* dataNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    QL_REQUIRE(dataNode, tradeType() + "Data node not found");
    currency_ = XMLUtils::getChildValue(dataNode, "Currency", true);
    fixingAmount_ = XMLUtils::getChildValue(dataNode, "FixingAmount", true);
    targetAmount_ = XMLUtils::getChildValue(dataNode, "TargetAmount", false);
    targetPoints_ = XMLUtils::getChildValue(dataNode, "TargetPoints", false);
    QL_REQUIRE(targetAmount_.empty() || targetPoints_.empty(),
               "both TargetAmount and TargetPoints are given, only one of these is allowed at the same time");
    strikes_ = {XMLUtils::getChildValue(dataNode, "Strike", false)};
    if (XMLUtils::getChildNode(dataNode, "Strikes")) {
        QL_REQUIRE(strikes_.front().empty(),
                   "both Strike and Strikes nodes are given, only one of these is allowed at the same time.");
        strikes_ = XMLUtils::getChildrenValuesWithAttributes(dataNode, "Strikes", "Strike", "startDate", strikeDates_);
        QL_REQUIRE(!strikes_.empty(), "noch Strike nodes under Strikes given.");
    }
    strikeDates_.resize(strikes_.size());
    XMLNode* tmp = XMLUtils::getChildNode(dataNode, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(dataNode, "Name");
    UnderlyingBuilder underlyingBuilder;
    underlyingBuilder.fromXML(tmp);
    underlying_ = underlyingBuilder.underlying();
 
    fixingDates_.fromXML(XMLUtils::getChildNode(dataNode, "ScheduleData"));
    settlementLag_ = XMLUtils::getChildValue(dataNode, "SettlementLag", false);
    settlementCalendar_ = XMLUtils::getChildValue(dataNode, "SettlementCalendar", false);
    settlementConvention_ = XMLUtils::getChildValue(dataNode, "SettlementConvention", false);
    optionData_.fromXML(XMLUtils::getChildNode(dataNode, "OptionData"));
    std::vector<XMLNode*> rangeBounds = {XMLUtils::getChildNode(dataNode, "RangeBounds")};
    if (XMLUtils::getChildNode(dataNode, "RangeBoundSet")) {
        QL_REQUIRE(rangeBounds.front() == nullptr,
                   "both RangeBounds and RangeBoundSet nodes are given, only one allowed at the same time");
        rangeBounds = XMLUtils::getChildrenNodesWithAttributes(dataNode, "RangeBoundSet", "RangeBounds", "startDate",
                                                               rangeBoundSetDates_);
        QL_REQUIRE(!rangeBounds.empty(), "no RangeBounds subnode under RangeBoundSets given");
    }
    QL_REQUIRE(rangeBounds.front() != nullptr, "either RangeBounds or RangeBoundSet nodes required");
    rangeBoundSetDates_.resize(rangeBounds.size());
    for (auto const& r : rangeBounds) {
        rangeBoundSet_.push_back(std::vector<RangeBound>());
        auto rb = XMLUtils::getChildrenNodes(r, "RangeBound");
        for (auto const& n : rb) {
            rangeBoundSet_.back().push_back(RangeBound());
            rangeBoundSet_.back().back().fromXML(n);
        }
    }
    auto barriersNode = XMLUtils::getChildNode(dataNode, "Barriers");
    QL_REQUIRE(barriersNode, "No Barriers node");
    auto barriers = XMLUtils::getChildrenNodes(barriersNode, "BarrierData");
    for (auto const& n : barriers) {
        barriers_.push_back(BarrierData());
        barriers_.back().fromXML(n);
    }
    initIndices();
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from ScriptedTrade.

Definition at line 493 of file tarf.cpp.

                                           {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* dataNode = doc.allocNode(tradeType() + "Data");
    XMLUtils::appendNode(node, dataNode);
    XMLUtils::addChild(doc, dataNode, "Currency", currency_);
    XMLUtils::addChild(doc, dataNode, "FixingAmount", fixingAmount_);
    if (!targetAmount_.empty())
        XMLUtils::addChild(doc, dataNode, "TargetAmount", targetAmount_);
    if (!targetPoints_.empty())
        XMLUtils::addChild(doc, dataNode, "TargetPoints", targetPoints_);
    if (!strikes_.front().empty())
        XMLUtils::addChildrenWithAttributes(doc, dataNode, "Strikes", "Strike", strikes_, "startDate", strikeDates_);
    XMLUtils::appendNode(dataNode, underlying_->toXML(doc));
    XMLUtils::appendNode(dataNode, fixingDates_.toXML(doc));
    if (!settlementLag_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementLag", settlementLag_);
    if (!settlementCalendar_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementCalendar", settlementCalendar_);
    if (!settlementConvention_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementConvention", settlementConvention_);
    XMLUtils::appendNode(dataNode, optionData_.toXML(doc));
    XMLNode* rangeBoundSet = doc.allocNode("RangeBoundSet");
    for (Size i = 0; i < rangeBoundSet_.size(); ++i) {
        XMLNode* rangeBoundsNode = doc.allocNode("RangeBounds");
        for (auto& n : rangeBoundSet_[i]) {
            XMLUtils::appendNode(rangeBoundsNode, n.toXML(doc));
        }
        if (!rangeBoundSetDates_[i].empty())
            XMLUtils::addAttribute(doc, rangeBoundsNode, "startDate", rangeBoundSetDates_[i]);
        XMLUtils::appendNode(rangeBoundSet, rangeBoundsNode);
    }
    XMLUtils::appendNode(dataNode, rangeBoundSet);
    XMLNode* barriers = doc.allocNode("Barriers");
    for (auto& n : barriers_) {
        XMLUtils::appendNode(barriers, n.toXML(doc));
    }
    XMLUtils::appendNode(dataNode, barriers);
    return node;
}

Here is the call graph for this function:

◆ name()

const std::string & name ( ) const

Definition at line 53 of file tarf.hpp.

53{ return underlying_->name(); }

◆ initIndices()

void initIndices ( )

private

Definition at line 433 of file tarf.cpp.

433{ indices_.emplace_back("Index", "Underlying", scriptedIndexName(underlying_)); }

ore::data::ScriptedTrade::indices_

std::vector< ScriptedTradeValueTypeData > indices_

Definition: scriptedtrade.hpp:267

ore::data::scriptedIndexName

QL_DEPRECATED_ENABLE_WARNING std::string scriptedIndexName(const QuantLib::ext::shared_ptr< Underlying > &underlying)

Definition: utilities.cpp:614

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

◆ currency_

std::string currency_

private

Definition at line 58 of file tarf.hpp.

◆ fixingAmount_

std::string fixingAmount_

private

Definition at line 58 of file tarf.hpp.

◆ targetAmount_

std::string targetAmount_

private

Definition at line 58 of file tarf.hpp.

◆ targetPoints_

std::string targetPoints_

private

Definition at line 58 of file tarf.hpp.

◆ strikes_

std::vector<std::string> strikes_

private

Definition at line 59 of file tarf.hpp.

◆ strikeDates_

std::vector<std::string> strikeDates_

private

Definition at line 59 of file tarf.hpp.

◆ underlying_

QuantLib::ext::shared_ptr<Underlying> underlying_

private

Definition at line 60 of file tarf.hpp.

◆ fixingDates_

ScheduleData fixingDates_

private

Definition at line 61 of file tarf.hpp.

◆ settlementLag_

std::string settlementLag_

private

Definition at line 62 of file tarf.hpp.

◆ settlementCalendar_

std::string settlementCalendar_

private

Definition at line 62 of file tarf.hpp.

◆ settlementConvention_

std::string settlementConvention_

private

Definition at line 62 of file tarf.hpp.

◆ optionData_

OptionData optionData_

private

Definition at line 63 of file tarf.hpp.

◆ rangeBoundSet_

std::vector<std::vector<RangeBound> > rangeBoundSet_

private

Definition at line 64 of file tarf.hpp.

◆ rangeBoundSetDates_

std::vector<std::string> rangeBoundSetDates_

private

Definition at line 65 of file tarf.hpp.

◆ barriers_

std::vector<BarrierData> barriers_

private

Definition at line 66 of file tarf.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TaRF() [1/2]

◆ TaRF() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ name()

◆ initIndices()

Member Data Documentation

◆ currency_

◆ fixingAmount_

◆ targetAmount_

◆ targetPoints_

◆ strikes_

◆ strikeDates_

◆ underlying_

◆ fixingDates_

◆ settlementLag_

◆ settlementCalendar_

◆ settlementConvention_

◆ optionData_

◆ rangeBoundSet_

◆ rangeBoundSetDates_

◆ barriers_