envelope.hpp

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/*
 Copyright (C) 2016 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.
*/
 
/*! \file ored/portfolio/envelope.hpp
    \brief trade envelope data model and serialization
    \ingroup tradedata
*/
 
#pragma once
 
#include <ored/portfolio/nettingsetdetails.hpp>
#include <ored/utilities/xmlutils.hpp>
 
#include <boost/any.hpp>
#include <boost/none.hpp>
#include <ql/tuple.hpp>
#include <boost/tuple/tuple_comparison.hpp>
 
#include <map>
#include <set>
 
using ore::data::NettingSetDetails;
using ore::data::XMLNode;
using ore::data::XMLSerializable;
using std::map;
using std::set;
using std::string;
 
namespace ore {
namespace data {
 
//! Serializable object holding generic trade data, reporting dimensions
/*!
  \ingroup tradedata
*/
class Envelope : public XMLSerializable {
public:
    //! Default constructor
    Envelope() {}
 
    //! Constructor with netting set id and portfolio ids, without additional fields
    Envelope(const string& counterparty, const string& nettingSetId, const set<string>& portfolioIds = set<string>())
        : counterparty_(counterparty), nettingSetDetails_(NettingSetDetails(nettingSetId)), portfolioIds_(portfolioIds),
          initialized_(true) {}
 
    //! Constructor with netting set details and portfolio ids, without additional fields
    Envelope(const string& counterparty, const NettingSetDetails& nettingSetDetails = NettingSetDetails(),
             const set<string>& portfolioIds = set<string>())
        : counterparty_(counterparty), nettingSetDetails_(nettingSetDetails), portfolioIds_(portfolioIds),
          initialized_(true) {}
 
    //! Constructor without netting set / portfolio ids, with additional fields
    Envelope(const string& counterparty, const map<string, string>& additionalFields)
        : counterparty_(counterparty), nettingSetDetails_(NettingSetDetails()), initialized_(true) {
        for (const auto& addField : additionalFields)
            additionalFields_[addField.first] = addField.second;
    }
 
    //! Constructor with netting set, with additional fields
    Envelope(const string& counterparty, const string& nettingSetId, const map<string, string>& additionalFields,
             const set<string>& portfolioIds = set<string>())
        : counterparty_(counterparty), nettingSetDetails_(NettingSetDetails(nettingSetId)), portfolioIds_(portfolioIds),
          initialized_(true) {
        for (const auto& addField : additionalFields)
            additionalFields_[addField.first] = addField.second;
    }
 
    //! Constructor with netting set details, with additional fields
    Envelope(const string& counterparty, const NettingSetDetails& nettingSetDetails,
             const map<string, string>& additionalFields, const set<string>& portfolioIds = set<string>())
        : counterparty_(counterparty), nettingSetDetails_(nettingSetDetails), portfolioIds_(portfolioIds),
          initialized_(true) {
        for (const auto& addField : additionalFields)
            additionalFields_[addField.first] = addField.second;
    }
 
    //! \name Serialisation
    //@{
    virtual void fromXML(XMLNode* node) override;
    virtual XMLNode* toXML(XMLDocument& doc) const override;
    //@}
 
    //! \name Inspectors
    //@{
    const string& counterparty() const { return counterparty_; }
    const string& nettingSetId() const { return nettingSetDetails_.nettingSetId(); }
    const NettingSetDetails nettingSetDetails() const { return nettingSetDetails_; }
    const set<string>& portfolioIds() const { return portfolioIds_; }
    const map<string, string> additionalFields() const;
    const map<string, boost::any>& fullAdditionalFields() const { return additionalFields_; }
    string additionalField(const std::string& name, const bool mandatory = true,
                           const std::string& defaultValue = std::string()) const;
    boost::any additionalAnyField(const std::string& name, const bool mandatory = true,
                                  const boost::any& defaultValue = boost::none) const;
    void setAdditionalField(const std::string& key, const boost::any& value);
    //@}
 
    //! \name Utility
    //@{
    //! Check if the envelope is initialized
    bool initialized() const { return initialized_; }
    //! Check if the netting set details have been populated
    bool hasNettingSetDetails() const { return !nettingSetDetails_.empty(); }
    //@}
 
private:
    string counterparty_;
    NettingSetDetails nettingSetDetails_;
    set<string> portfolioIds_;
    map<string, boost::any> additionalFields_;
    bool initialized_ = false;
};
 
} // namespace data
} // namespace ore