YoYLegData Class Reference

Serializable YoY Leg Data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for YoYLegData:

Collaboration diagram for YoYLegData:

Public Member Functions
	YoYLegData ()
	Default constructor. More...
	YoYLegData (string index, string observationLag, Size fixingDays, const vector< double > &gearings=std::vector< double >(), const vector< string > &gearingDates=std::vector< string >(), const vector< double > &spreads=std::vector< double >(), const vector< string > &spreadDates=std::vector< string >(), const vector< double > &caps=vector< double >(), const vector< string > &capDates=vector< string >(), const vector< double > &floors=vector< double >(), const vector< string > &floorDates=vector< string >(), bool nakedOption=false, bool addInflationNotional=false, bool irregularYoY=false)
	Constructor. More...
Inspectors
const string	index () const
const string	observationLag () const
Size	fixingDays () const
const std::vector< double > &	gearings () const
const std::vector< string > &	gearingDates () const
const std::vector< double > &	spreads () const
const std::vector< string > &	spreadDates () const
const vector< double > &	caps () const
const vector< string > &	capDates () const
const vector< double > &	floors () const
const vector< string > &	floorDates () const
bool	nakedOption () const
bool	addInflationNotional () const
bool	irregularYoY () const
Public Member Functions inherited from LegAdditionalData
	LegAdditionalData (const string &legType, const string &legNodeName)
	LegAdditionalData (const string &legType)
const string &	legType () const
const string &	legNodeName () const
const std::set< std::string > &	indices () 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
string	index_
string	observationLag_
Size	fixingDays_
vector< double >	gearings_
vector< string >	gearingDates_
vector< double >	spreads_
vector< string >	spreadDates_
vector< double >	caps_
vector< string >	capDates_
vector< double >	floors_
vector< string >	floorDates_
bool	nakedOption_
bool	addInflationNotional_
bool	irregularYoY_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Attributes inherited from LegAdditionalData
std::set< std::string >	indices_

Detailed Description

Serializable YoY Leg Data.

Definition at line 349 of file legdata.hpp.

Constructor & Destructor Documentation

YoYLegData() [1/2]

YoYLegData

(

)

Default constructor.

Definition at line 352 of file legdata.hpp.

: LegAdditionalData("YY") {}

YoYLegData() [2/2]

YoYLegData	(	string	index,
		string	observationLag,
		Size	fixingDays,
		const vector< double > &	gearings = std::vector<double>(),
		const vector< string > &	gearingDates = std::vector<string>(),
		const vector< double > &	spreads = std::vector<double>(),
		const vector< string > &	spreadDates = std::vector<string>(),
		const vector< double > &	caps = vector<double>(),
		const vector< string > &	capDates = vector<string>(),
		const vector< double > &	floors = vector<double>(),
		const vector< string > &	floorDates = vector<string>(),
		bool	nakedOption = false,
		bool	addInflationNotional = false,
		bool	irregularYoY = false
	)

Constructor.

Definition at line 354 of file legdata.hpp.

        : LegAdditionalData("YY"), index_(index), observationLag_(observationLag), fixingDays_(fixingDays),
          gearings_(gearings), gearingDates_(gearingDates), spreads_(spreads), spreadDates_(spreadDates), caps_(caps),
          capDates_(capDates), floors_(floors), floorDates_(floorDates), nakedOption_(nakedOption),
          addInflationNotional_(addInflationNotional), irregularYoY_(irregularYoY) {
        indices_.insert(index_);
    }

Member Function Documentation

index()

const string index

(

)

const

Definition at line 371 of file legdata.hpp.

{ return index_; }

observationLag()

const string observationLag

(

)

const

Definition at line 372 of file legdata.hpp.

{ return observationLag_; }

fixingDays()

Size fixingDays

(

)

const

Definition at line 373 of file legdata.hpp.

{ return fixingDays_; }

gearings()

const std::vector< double > & gearings

(

)

const

Definition at line 374 of file legdata.hpp.

{ return gearings_; }

gearingDates()

const std::vector< string > & gearingDates

(

)

const

Definition at line 375 of file legdata.hpp.

{ return gearingDates_; }

spreads()

const std::vector< double > & spreads

(

)

const

Definition at line 376 of file legdata.hpp.

{ return spreads_; }

spreadDates()

const std::vector< string > & spreadDates

(

)

const

Definition at line 377 of file legdata.hpp.

{ return spreadDates_; }

caps()

const vector< double > & caps

(

)

const

Definition at line 378 of file legdata.hpp.

{ return caps_; }

capDates()

const vector< string > & capDates

(

)

const

Definition at line 379 of file legdata.hpp.

{ return capDates_; }

floors()

const vector< double > & floors

(

)

const

Definition at line 380 of file legdata.hpp.

{ return floors_; }

floorDates()

const vector< string > & floorDates

(

)

const

Definition at line 381 of file legdata.hpp.

{ return floorDates_; }

nakedOption()

bool nakedOption

(

)

const

Definition at line 382 of file legdata.hpp.

{ return nakedOption_; }

addInflationNotional()

bool addInflationNotional

(

)

const

Definition at line 383 of file legdata.hpp.

{ return addInflationNotional_; };

irregularYoY()

bool irregularYoY

(

)

const

Definition at line 384 of file legdata.hpp.

{ return irregularYoY_; };

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 342 of file legdata.cpp.

                                      {
    XMLUtils::checkNode(node, legNodeName());
    index_ = XMLUtils::getChildValue(node, "Index", true);
    indices_.insert(index_);
    fixingDays_ = XMLUtils::getChildValueAsInt(node, "FixingDays", true);
    observationLag_ = XMLUtils::getChildValue(node, "ObservationLag", false, "");
    gearings_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Gearings", "Gearing", "startDate", gearingDates_,
                                                                &parseReal);
    spreads_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Spreads", "Spread", "startDate", spreadDates_,
                                                               &parseReal);
    caps_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Caps", "Cap", "startDate", capDates_, &parseReal);
    floors_ =
        XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Floors", "Floor", "startDate", floorDates_, &parseReal);
    if (XMLUtils::getChildNode(node, "NakedOption"))
        nakedOption_ = XMLUtils::getChildValueAsBool(node, "NakedOption", false);
    else
        nakedOption_ = false;
    if (XMLUtils::getChildNode(node, "AddInflationNotional"))
        addInflationNotional_ = XMLUtils::getChildValueAsBool(node, "AddInflationNotional", false);
    else
        addInflationNotional_ = false;
    if (XMLUtils::getChildNode(node, "IrregularYoY"))
        irregularYoY_ = XMLUtils::getChildValueAsBool(node, "IrregularYoY", false);
    else
        irregularYoY_ = false;
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 369 of file legdata.cpp.

                                                 {
    XMLNode* node = doc.allocNode(legNodeName());
    XMLUtils::addChild(doc, node, "Index", index_);
    if (!observationLag_.empty()) {
        XMLUtils::addChild(doc, node, "ObservationLag", observationLag_);
    }
    XMLUtils::addChild(doc, node, "FixingDays", static_cast<int>(fixingDays_));
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Gearings", "Gearing", gearings_, "startDate",
                                                gearingDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Spreads", "Spread", spreads_, "startDate", spreadDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Caps", "Cap", caps_, "startDate", capDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Floors", "Floor", floors_, "startDate", floorDates_);
    XMLUtils::addChild(doc, node, "NakedOption", nakedOption_);
    XMLUtils::addChild(doc, node, "AddInflationNotional", addInflationNotional_);
    XMLUtils::addChild(doc, node, "IrregularYoY", irregularYoY_);
    return node;
}

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Member Data Documentation

index_

string index_

private

Definition at line 394 of file legdata.hpp.

observationLag_

string observationLag_

private

Definition at line 395 of file legdata.hpp.

fixingDays_

Size fixingDays_

private

Definition at line 396 of file legdata.hpp.

gearings_

vector<double> gearings_

private

Definition at line 397 of file legdata.hpp.

gearingDates_

vector<string> gearingDates_

private

Definition at line 398 of file legdata.hpp.

spreads_

vector<double> spreads_

private

Definition at line 399 of file legdata.hpp.

spreadDates_

vector<string> spreadDates_

private

Definition at line 400 of file legdata.hpp.

caps_

vector<double> caps_

private

Definition at line 401 of file legdata.hpp.

capDates_

vector<string> capDates_

private

Definition at line 402 of file legdata.hpp.

floors_

vector<double> floors_

private

Definition at line 403 of file legdata.hpp.

floorDates_

vector<string> floorDates_

private

Definition at line 404 of file legdata.hpp.

nakedOption_

bool nakedOption_

private

Definition at line 405 of file legdata.hpp.

addInflationNotional_

bool addInflationNotional_

private

Definition at line 406 of file legdata.hpp.

irregularYoY_

bool irregularYoY_

private

Definition at line 407 of file legdata.hpp.