legdata.cpp File Reference

#include <ored/portfolio/bond.hpp>
#include <ored/portfolio/builders/capflooredaveragebmacouponleg.hpp>
#include <ored/portfolio/builders/capflooredaverageonindexedcouponleg.hpp>
#include <ored/portfolio/builders/capflooredcpileg.hpp>
#include <ored/portfolio/builders/capfloorediborleg.hpp>
#include <ored/portfolio/builders/capfloorednonstandardyoyleg.hpp>
#include <ored/portfolio/builders/capflooredovernightindexedcouponleg.hpp>
#include <ored/portfolio/builders/capflooredyoyleg.hpp>
#include <ored/portfolio/builders/cms.hpp>
#include <ored/portfolio/builders/cmsspread.hpp>
#include <ored/portfolio/forwardbond.hpp>
#include <ored/portfolio/legdata.hpp>
#include <ored/portfolio/makenonstandardlegs.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/portfolio/structuredtradeerror.hpp>
#include <ored/portfolio/types.hpp>
#include <ored/utilities/bondindexbuilder.hpp>
#include <ored/utilities/indexnametranslator.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/marketdata.hpp>
#include <ored/utilities/to_string.hpp>
#include <ored/utilities/vectorutils.hpp>
#include <qle/cashflows/averageonindexedcoupon.hpp>
#include <qle/cashflows/averageonindexedcouponpricer.hpp>
#include <qle/cashflows/brlcdicouponpricer.hpp>
#include <qle/cashflows/cappedflooredaveragebmacoupon.hpp>
#include <qle/cashflows/cmbcoupon.hpp>
#include <qle/cashflows/couponpricer.hpp>
#include <qle/cashflows/cpicoupon.hpp>
#include <qle/cashflows/cpicouponpricer.hpp>
#include <qle/cashflows/equitycoupon.hpp>
#include <qle/cashflows/floatingannuitycoupon.hpp>
#include <qle/cashflows/floatingratefxlinkednotionalcoupon.hpp>
#include <qle/cashflows/indexedcoupon.hpp>
#include <qle/cashflows/nonstandardcapflooredyoyinflationcoupon.hpp>
#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/cashflows/strippedcapflooredcpicoupon.hpp>
#include <qle/cashflows/strippedcapflooredyoyinflationcoupon.hpp>
#include <qle/cashflows/subperiodscoupon.hpp>
#include <qle/cashflows/subperiodscouponpricer.hpp>
#include <qle/cashflows/yoyinflationcoupon.hpp>
#include <qle/cashflows/zerofixedcoupon.hpp>
#include <qle/indexes/bmaindexwrapper.hpp>
#include <qle/indexes/bondindex.hpp>
#include <qle/instruments/forwardbond.hpp>
#include <ql/cashflow.hpp>
#include <ql/cashflows/averagebmacoupon.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/capflooredinflationcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cpicoupon.hpp>
#include <ql/cashflows/cpicouponpricer.hpp>
#include <ql/cashflows/digitalcmscoupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/errors.hpp>
#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>
#include <ql/experimental/coupons/strippedcapflooredcoupon.hpp>
#include <ql/utilities/vectors.hpp>
#include <boost/algorithm/string.hpp>
#include <boost/make_shared.hpp>
#include <boost/range/adaptor/transformed.hpp>

Go to the source code of this file.

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

Functions
bool	lessThan (const string &s1, const string &s2)
Leg	makeNotionalLeg (const Leg &refLeg, const bool initNomFlow, const bool finalNomFlow, const bool amortNomFlow, const Natural notionalPaymentLag, const BusinessDayConvention paymentConvention, const Calendar paymentCalendar, const bool excludeIndexing)
Leg	makeEquityLeg (const LegData &data, const QuantLib::ext::shared_ptr< EquityIndex2 > &equityCurve, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex, const QuantLib::Date &openEndDateReplacement)
vector< double >	buildAmortizationScheduleLinearToMaturity (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)
Utilities for building QuantLib Legs
Leg	makeSimpleLeg (const LegData &data)
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	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)
Real	currentNotional (const Leg &leg)
Real	originalNotional (const Leg &leg)
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)
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)