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Reference manual - version ored_version
Public Types | Public Member Functions | Protected Member Functions | List of all members
CreditDefaultSwapData Class Reference

#include <ored/portfolio/creditdefaultswapdata.hpp>

+ Inheritance diagram for CreditDefaultSwapData:

Public Types

using PPT = QuantLib::CreditDefaultSwap::ProtectionPaymentTime
 

Public Member Functions

 CreditDefaultSwapData ()
 Default constructor.
 
 CreditDefaultSwapData (const string &issuerId, const string &creditCurveId, const LegData &leg, const bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const Real upfrontFee=Null< Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
 Constructor that takes an explicit creditCurveId.
 
 CreditDefaultSwapData (const std::string &issuerId, const CdsReferenceInformation &referenceInformation, const LegData &leg, bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const QuantLib::Date &protectionStart=QuantLib::Date(), const QuantLib::Date &upfrontDate=QuantLib::Date(), QuantLib::Real upfrontFee=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
 Constructor that takes a referenceInformation object.
 
void fromXML (XMLNode *node) override
 
XMLNodetoXML (XMLDocument &doc) override
 
const string & issuerId () const
 
const string & creditCurveId () const
 
const LegDataleg () const
 
bool settlesAccrual () const
 
PPT protectionPaymentTime () const
 
const Date & protectionStart () const
 
const Date & upfrontDate () const
 
Real upfrontFee () const
 
bool rebatesAccrual () const
 
QuantLib::Real recoveryRate () const
 
const std::string & referenceObligation () const
 CDS Reference Obligation.
 
const QuantLib::Date & tradeDate () const
 
QuantLib::Natural cashSettlementDays () const
 
const boost::optional< CdsReferenceInformation > & referenceInformation () 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.
 

Protected Member Functions

virtual void check (XMLNode *node) const
 
virtual XMLNodealloc (XMLDocument &doc) const
 

Detailed Description

Serializable credit default swap data

Member Function Documentation

◆ recoveryRate()

QuantLib::Real recoveryRate ( ) const

If the CDS is a fixed recovery CDS, this returns the recovery rate. For a standard CDS, it returns Null<Real>().

◆ referenceInformation()

const boost::optional<CdsReferenceInformation>& referenceInformation ( ) const

CDS reference information. This will be empty if an explicit credit curve ID has been used.