legdata.hpp File Reference

leg data model and serialization More...

#include <boost/make_shared.hpp>
#include <ored/portfolio/fixingdates.hpp>
#include <ored/portfolio/indexing.hpp>
#include <ored/portfolio/legdatafactory.hpp>
#include <ored/portfolio/schedule.hpp>
#include <ored/portfolio/simmcreditqualifiermapping.hpp>
#include <ored/portfolio/underlying.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/parsers.hpp>
#include <ql/cashflow.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/position.hpp>
#include <qle/cashflows/equitycoupon.hpp>
#include <qle/indexes/bmaindexwrapper.hpp>
#include <qle/indexes/equityindex.hpp>
#include <vector>

Go to the source code of this file.

Classes
class	LegAdditionalData
	Serializable Additional Leg Data. More...
class	CashflowData
	Serializable Cashflow Leg Data. More...
class	FixedLegData
	Serializable Fixed Leg Data. More...
class	ZeroCouponFixedLegData
	Serializable Fixed Leg Data. More...
class	FloatingLegData
	Serializable Floating Leg Data. More...
class	CPILegData
	Serializable CPI Leg Data. More...
class	YoYLegData
	Serializable YoY Leg Data. More...
class	CMSLegData
	Serializable CMS Leg Data. More...
class	DigitalCMSLegData
	Serializable Digital CMS Leg Data. More...
class	CMSSpreadLegData
	Serializable CMS Spread Leg Data. More...
class	DigitalCMSSpreadLegData
	Serializable Digital CMS Spread Leg Data. More...
class	CMBLegData
	Serializable Constant Maturity Bond Yield Leg Data. More...
class	EquityLegData
	Serializable Fixed Leg Data. More...
class	AmortizationData
	Serializable object holding amortization rules. More...
class	LegData
	Serializable object holding leg data. More...

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Functions
Utilities for building QuantLib Legs
Leg	makeFixedLeg (const LegData &data, const QuantLib::Date &openEndDateReplacement)
Leg	makeZCFixedLeg (const LegData &data, const QuantLib::Date &openEndDateReplacement)
Leg	makeIborLeg (const LegData &data, const QuantLib::ext::shared_ptr< IborIndex > &index, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer, const QuantLib::Date &openEndDateReplacement)
Leg	makeOISLeg (const LegData &data, const QuantLib::ext::shared_ptr< OvernightIndex > &index, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer, const QuantLib::Date &openEndDateReplacement)
Leg	makeBMALeg (const LegData &data, const QuantLib::ext::shared_ptr< QuantExt::BMAIndexWrapper > &indexWrapper, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement)
Leg	makeSimpleLeg (const LegData &data)
Leg	makeNotionalLeg (const Leg &refLeg, const bool initNomFlow, const bool finalNomFlow, const bool amortNomFlow, const QuantLib::Natural notionalPaymentLag, const BusinessDayConvention paymentConvention, const Calendar paymentCalendar, const bool excludeIndexing=true)
Leg	makeCPILeg (const LegData &data, const QuantLib::ext::shared_ptr< ZeroInflationIndex > &index, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement)
Leg	makeYoYLeg (const LegData &data, const QuantLib::ext::shared_ptr< InflationIndex > &index, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement)
Leg	makeCMSLeg (const LegData &data, const QuantLib::ext::shared_ptr< QuantLib::SwapIndex > &swapIndex, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer, const QuantLib::Date &openEndDateReplacement)
Leg	makeCMBLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer, const QuantLib::Date &openEndDateReplacement)
Leg	makeDigitalCMSLeg (const LegData &data, const QuantLib::ext::shared_ptr< QuantLib::SwapIndex > &swapIndex, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer, const QuantLib::Date &openEndDateReplacement)
Leg	makeCMSSpreadLeg (const LegData &data, const QuantLib::ext::shared_ptr< QuantLib::SwapSpreadIndex > &swapSpreadIndex, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer, const QuantLib::Date &openEndDateReplacement)
Leg	makeDigitalCMSSpreadLeg (const LegData &data, const QuantLib::ext::shared_ptr< QuantLib::SwapSpreadIndex > &swapSpreadIndex, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement)
Leg	makeEquityLeg (const LegData &data, const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const QuantLib::Date &openEndDateReplacement=Null< Date >())
Real	currentNotional (const Leg &leg)
Real	originalNotional (const Leg &leg)
std::string	getCmbLegCreditRiskCurrency (const CMBLegData &ld, const QuantLib::ext::shared_ptr< ReferenceDataManager > &refData)
std::pair< std::string, SimmCreditQualifierMapping >	getCmbLegCreditQualifierMapping (const CMBLegData &ld, const QuantLib::ext::shared_ptr< ReferenceDataManager > &refData, const std::string &tradeId, const std::string &tradeType)
template<typename T >
vector< T >	buildScheduledVector (const vector< T > &values, const vector< string > &dates, const Schedule &schedule, const bool checkAllValuesAppearInResult=false)
template<typename T >
vector< T >	normaliseToSchedule (const vector< T > &values, const Schedule &schedule, const T &defaultValue)
template<typename T >
vector< T >	buildScheduledVectorNormalised (const vector< T > &values, const vector< string > &dates, const Schedule &schedule, const T &defaultValue, const bool checkAllValuesAppearInResult=false)
template<typename T >
vector< T >::const_iterator	checkAllValuesAppearInScheduledVector (const vector< T > &scheduledVecotr, const vector< T > &inputValues)
vector< double >	buildAmortizationScheduleFixedAmount (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)
vector< double >	buildAmortizationScheduleRelativeToInitialNotional (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)
vector< double >	buildAmortizationScheduleRelativeToPreviousNotional (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)
vector< double >	buildAmortizationScheduleFixedAnnuity (const vector< double > &notionals, const vector< double > &rates, const Schedule &schedule, const AmortizationData &data, const DayCounter &dc)
void	applyAmortization (std::vector< Real > &notionals, const LegData &data, const Schedule &schedule, const bool annuityAllowed, const std::vector< Real > &rates)
void	applyIndexing (Leg &leg, const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, RequiredFixings &requiredFixings, const QuantLib::Date &openEndDateReplacement, const bool useXbsCurves)
Leg	joinLegs (const std::vector< Leg > &legs)
Leg	buildNotionalLeg (const LegData &data, const Leg &leg, RequiredFixings &requiredFixings, const QuantLib::ext::shared_ptr< Market > &market, const std::string &configuration)

Detailed Description

leg data model and serialization

Definition in file legdata.hpp.