IndexCreditDefaultSwapData Class Reference

Inheritance diagram for IndexCreditDefaultSwapData:

Public Types
using	PPT = QuantExt::CreditDefaultSwap::ProtectionPaymentTime
Public Types inherited from CreditDefaultSwapData
using	PPT = QuantLib::CreditDefaultSwap::ProtectionPaymentTime

Public Member Functions
	IndexCreditDefaultSwapData ()
	Default constructor.
	IndexCreditDefaultSwapData (const std::string &creditCurveId, const BasketData &basket, const ore::data::LegData &leg, const bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const QuantLib::Date &protectionStart=QuantLib::Date(), const QuantLib::Date &upfrontDate=QuantLib::Date(), const QuantLib::Real upfrontFee=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &tradeDate=QuantLib::Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Detailed constructor.
XMLSerializable interface
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) override
Inspectors
const BasketData &	basket () const
std::string	creditCurveIdWithTerm () const
void	setIndexStartDateHint (const QuantLib::Date &d) const
const QuantLib::Date &	indexStartDateHint () const
Public Member Functions inherited from CreditDefaultSwapData
	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.
const string &	issuerId () const
const string &	creditCurveId () const
const LegData &	leg () 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.

CreditDefaultSwapData interface
void	check (ore::data::XMLNode *node) const override
ore::data::XMLNode *	alloc (ore::data::XMLDocument &doc) const override

Additional Inherited Members

Member Function Documentation

creditCurveIdWithTerm()

std::string creditCurveIdWithTerm

(

)

const

Get credit curve id with term suffix "_5Y". If the creditCurveId contains such a suffix already this is used. Otherwise we try to imply it from the schedule. If that is not possible, the creditCurveId without tenor is returned.

setIndexStartDateHint()

void setIndexStartDateHint

(

const QuantLib::Date &

d

)

const

If set this is used to derive the term instead of the schedule start date. A concession to bad trade setups really, where the start date is not set to the index effective date

indexStartDateHint()

const QuantLib::Date& indexStartDateHint

(

)

const

Get the index start date hint, or null if it was never set