Inheritance diagram for IndexCreditDefaultSwapOption:

Public Member Functions
	IndexCreditDefaultSwapOption ()
	Default constructor.

	IndexCreditDefaultSwapOption (const ore::data::Envelope &env, const IndexCreditDefaultSwapData &swap, const ore::data::OptionData &option, QuantLib::Real strike, const std::string &indexTerm="", const std::string &strikeType="Spread", const QuantLib::Date &tradeDate=Date(), const QuantLib::Date &fepStartDate=Date())
	Detailed constructor.

Trade
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Serialisation
void	fromXML (ore::data::XMLNode *node) override

ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Public Member Functions inherited from Trade
	Trade ()
	Default constructor.

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor.

virtual	~Trade ()
	Default destructor.

virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const

const RequiredFixings &	requiredFixings () const

virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const

void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade.

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values.

string &	id ()
	Set the trade id.

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info.

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions.

const string &	id () const

const string &	tradeType () const

const Envelope &	envelope () const

const set< string > &	portfolioIds () const

const TradeActions &	tradeActions () const

const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const

const std::vector< QuantLib::Leg > &	legs () const

const std::vector< string > &	legCurrencies () const

const std::vector< bool > &	legPayers () const

const string &	npvCurrency () const

virtual string	notionalCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum.

virtual const std::map< std::string, boost::any > &	additionalData () const
	returns all additional data returned by the trade once built

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set.

virtual bool	hasCashflows () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing.

std::size_t	getNumberOfPricings () const
	Get number of pricings.

Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string.

std::string	toXMLString () const
	Parse from XML string.

Inspectors
const IndexCreditDefaultSwapData &	swap () const

const ore::data::OptionData &	option () const

const std::string &	indexTerm () const

QuantLib::Real	strike () const

QuantLib::Option::Type	callPut () const

const std::string &	strikeType () const

const QuantLib::Date &	tradeDate () const

const QuantLib::Date &	fepStartDate () const

const CreditPortfolioSensitivityDecomposition	sensitivityDecomposition () const

QuantLib::Real	effectiveStrike () const

const std::string &	effectiveStrikeType () const

const QuantLib::Period &	effectiveIndexTerm () const

std::string	creditCurveId () const

const std::string &	volCurveId () const

const std::map< std::string, QuantLib::Real > &	constituents () const

Additional Inherited Members
Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument >> &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & )

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

Public Member Functions

Inspectors

Additional Inherited Members

Member Function Documentation

◆ build()