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Public Member Functions | List of all members
ForwardRateAgreement Class Reference

Serializable ForwardRateAgreement. More...

#include <ored/portfolio/forwardrateagreement.hpp>

+ Inheritance diagram for ForwardRateAgreement:

Public Member Functions

 ForwardRateAgreement (Envelope &env, string longShort, string currency, string startDate, string endDate, string index, double strike, double amount)
 
void build (const boost::shared_ptr< EngineFactory > &engineFactory) override
 Build QuantLib/QuantExt instrument, link pricing engine.
 
virtual void fromXML (XMLNode *node) override
 
virtual XMLNodetoXML (XMLDocument &doc) override
 
const string & index () const
 
- Public Member Functions inherited from Swap
 Swap (const string swapType="Swap")
 Default constructor.
 
 Swap (const Envelope &env, const string swapType="Swap")
 
 Swap (const Envelope &env, const vector< LegData > &legData, const string swapType="Swap", const std::string settlement="Physical")
 Constructor with vector of LegData.
 
 Swap (const Envelope &env, const LegData &leg0, const LegData &leg1, const string swapType="Swap", const std::string settlement="Physical")
 Constructor with two legs.
 
QuantLib::Real notional () const override
 Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
 
std::string notionalCurrency () const override
 
std::map< AssetClass, std::set< std::string > > underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
 Add underlying index names.
 
const string & settlement () const
 Settlement Type can be set to "Cash" for NDF. Default value is "Physical".
 
const vector< LegData > & legData () const
 
const std::map< std::string, boost::any > & additionalData () const override
 returns all additional data returned by the trade once built
 
- 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, std::set< QuantLib::Date > > fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
 
const RequiredFixingsrequiredFixings () 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.
 
Envelopeenvelope ()
 Set the envelope with counterparty and portfolio info.
 
TradeActionstradeActions ()
 Set the trade actions.
 
const string & id () const
 
const string & tradeType () const
 
const Envelopeenvelope () const
 
const set< string > & portfolioIds () const
 
const TradeActionstradeActions () const
 
const boost::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
 
const Date & maturity () const
 
const string & issuer () const
 
template<typename T >
additionalDatum (const std::string &tag) const
 returns any additional datum.
 
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)
 
void fromXMLString (const std::string &xml)
 Parse from XML string.
 
std::string toXMLString ()
 Parse from XML string.
 

Additional Inherited Members

- Protected Member Functions inherited from Swap
virtual boost::shared_ptr< LegDatacreateLegData () const
 
- Protected Member Functions inherited from Trade
Date addPremiums (std::vector< boost::shared_ptr< Instrument >> &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const boost::shared_ptr< EngineFactory > &factory, const string &configuration)
 
void setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const
 
- Protected Attributes inherited from Swap
vector< LegDatalegData_
 
string settlement_
 
bool isXCCY_
 
- Protected Attributes inherited from Trade
string tradeType_
 
boost::shared_ptr< InstrumentWrapperinstrument_
 
std::vector< QuantLib::Leg > legs_
 
std::vector< string > legCurrencies_
 
std::vector< bool > legPayers_
 
string npvCurrency_
 
QuantLib::Real notional_
 
string notionalCurrency_
 
Date maturity_
 
string issuer_
 
std::size_t savedNumberOfPricings_ = 0
 
boost::timer::nanosecond_type savedCumulativePricingTime_ = 0
 
RequiredFixings requiredFixings_
 
std::map< std::string, boost::any > additionalData_
 

Detailed Description

Serializable ForwardRateAgreement.