CommodityFixedLegData Class Reference

Inheritance diagram for CommodityFixedLegData:

Public Member Functions
	CommodityFixedLegData ()
	Default constructor.
	CommodityFixedLegData (const std::vector< QuantLib::Real > &quantities, const std::vector< std::string > &quantityDates, const std::vector< QuantLib::Real > &prices, const std::vector< std::string > &priceDates, CommodityPayRelativeTo commodityPayRelativeTo, const std::string &tag="")
	Detailed constructor.
Inspectors
const std::vector< QuantLib::Real > &	quantities () const
const std::vector< std::string > &	quantityDates () const
const std::vector< QuantLib::Real > &	prices () const
const std::vector< std::string > &	priceDates () const
CommodityPayRelativeTo	commodityPayRelativeTo () const
const std::string &	tag () const
void	setQuantities (const std::vector< QuantLib::Real > &quantities)
	Set the fixed leg data quantities. More...
Public Member Functions inherited from LegAdditionalData
	LegAdditionalData (const string &legType, const string &legNodeName)
	LegAdditionalData (const string &legType)
const string &	legType () const
const string &	legNodeName () const
const std::set< std::string > &	indices () const
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename)
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString ()
	Parse from XML string.

Serialisation
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) override

Additional Inherited Members
Protected Attributes inherited from LegAdditionalData
std::set< std::string >	indices_

Member Function Documentation

setQuantities()

void setQuantities

(

const std::vector< QuantLib::Real > &

quantities

)

Set the fixed leg data quantities.

For commodity swaps, there can be a number of conventions provided with the floating leg data quantities that when taken together can be used to calculate the commodity quantity for the full calculation period. Instead of duplicating that data here, we allow the fixed leg data quantities to be set using this method before being passed to the commodity fixed leg builder. The idea is that the quantities will be set by referencing the quantities from the corresponding floating leg of the swap after that leg has been built.