YYLegBuilder Class Reference

#include <ored/portfolio/legbuilders.hpp>

Inheritance diagram for YYLegBuilder:

Collaboration diagram for YYLegBuilder:

Public Member Functions
	YYLegBuilder ()
Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const override
Public Member Functions inherited from LegBuilder
	LegBuilder (const string &legType)
virtual	~LegBuilder ()
virtual Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const =0
const string &	legType () const

Detailed Description

Definition at line 79 of file legbuilders.hpp.

Constructor & Destructor Documentation

YYLegBuilder()

YYLegBuilder

(

)

Definition at line 81 of file legbuilders.hpp.

: LegBuilder("YY") {}

Member Function Documentation

buildLeg()

Leg buildLeg ( const LegData &  data, const QuantLib::ext::shared_ptr< EngineFactory > &  engineFactory, RequiredFixings &  requiredFixings, const string &  configuration, const QuantLib::Date &  openEndDateReplacement = Null<Date>(), const bool  useXbsCurves = false  ) const

overridevirtual

Implements LegBuilder.

Definition at line 171 of file legbuilders.cpp.

                                                                                                      {
    auto yyData = QuantLib::ext::dynamic_pointer_cast<YoYLegData>(data.concreteLegData());
    QL_REQUIRE(yyData, "Wrong LegType, expected YY");
    string inflationIndexName = yyData->index();
    bool irregularYoY = yyData->irregularYoY();
    Leg result;
    if (!irregularYoY) {
        auto index = *engineFactory->market()->yoyInflationIndex(inflationIndexName, configuration);
        result = makeYoYLeg(data, index, engineFactory, openEndDateReplacement);
        applyIndexing(result, data, engineFactory, requiredFixings, openEndDateReplacement, useXbsCurves);
        addToRequiredFixings(result,
                             QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings));
    } else {
        auto index = *engineFactory->market()->zeroInflationIndex(inflationIndexName, configuration);
        result = makeYoYLeg(data, index, engineFactory, openEndDateReplacement);
        applyIndexing(result, data, engineFactory, requiredFixings, openEndDateReplacement, useXbsCurves);
        addToRequiredFixings(result, QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings));
    }
    return result;
}

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