durationadjustedcmslegdata.cpp

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/*
 Copyright (C) 2021 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <ored/portfolio/durationadjustedcmslegdata.hpp>
 
#include <ored/portfolio/legdata.hpp>
 
namespace ore {
namespace data {
 
XMLNode* DurationAdjustedCmsLegData::toXML(XMLDocument& doc) const {
    XMLNode* node = doc.allocNode(legNodeName());
    XMLUtils::addChild(doc, node, "Index", swapIndex_);
    XMLUtils::addChild(doc, node, "Duration", static_cast<int>(duration_));
    XMLUtils::addChild(doc, node, "IsInArrears", isInArrears_);
    if (fixingDays_ != Null<Size>())
        XMLUtils::addChild(doc, node, "FixingDays", static_cast<int>(fixingDays_));
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Caps", "Cap", caps_, "startDate", capDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Floors", "Floor", floors_, "startDate", floorDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Gearings", "Gearing", gearings_, "startDate",
                                                gearingDates_);
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "Spreads", "Spread", spreads_, "startDate", spreadDates_);
    XMLUtils::addChild(doc, node, "NakedOption", nakedOption_);
    return node;
}
 
void DurationAdjustedCmsLegData::fromXML(XMLNode* node) {
    XMLUtils::checkNode(node, legNodeName());
    swapIndex_ = XMLUtils::getChildValue(node, "Index", true);
    duration_ = XMLUtils::getChildValueAsInt(node, "Duration", false);
    indices_.insert(swapIndex_);
    // These are all optional
    spreads_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Spreads", "Spread", "startDate", spreadDates_,
                                                               &parseReal);
    XMLNode* arrNode = XMLUtils::getChildNode(node, "IsInArrears");
    if (arrNode)
        isInArrears_ = XMLUtils::getChildValueAsBool(node, "IsInArrears", true);
    else
        isInArrears_ = false; // default to fixing-in-advance
    if (auto n = XMLUtils::getChildNode(node, "FixingDays"))
        fixingDays_ = parseInteger(XMLUtils::getNodeValue(n));
    else
        fixingDays_ = Null<Size>();
    caps_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Caps", "Cap", "startDate", capDates_, &parseReal);
    floors_ =
        XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Floors", "Floor", "startDate", floorDates_, &parseReal);
    gearings_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Gearings", "Gearing", "startDate", gearingDates_,
                                                                &parseReal);
    if (XMLUtils::getChildNode(node, "NakedOption"))
        nakedOption_ = XMLUtils::getChildValueAsBool(node, "NakedOption", false);
    else
        nakedOption_ = false;
}
 
} // namespace data
} // namespace ore