Netting Set Definition. More...

#include <ored/portfolio/nettingsetdefinition.hpp>

Inheritance diagram for NettingSetDefinition:

Public Member Functions
	NettingSetDefinition (XMLNode *node)

	NettingSetDefinition (const NettingSetDetails &nettingSetDetails)

	NettingSetDefinition (const string &nettingSetId)

	NettingSetDefinition (const NettingSetDetails &nettingSetDetails, const string &bilateral, const string &csaCurrency, const string &index, const Real &thresholdPay, const Real &thresholdRcv, const Real &mtaPay, const Real &mtaRcv, const Real &iaHeld, const string &iaType, const string &marginCallFreq, const string &marginPostFreq, const string &mpr, const Real &collatSpreadPay, const Real &collatSpreadRcv, const vector< string > &eligCollatCcys, bool applyInitialMargin=false, const string &initialMarginType="Bilateral", const bool calculateIMAmount=false, const bool calculateVMAmount=false)

	NettingSetDefinition (const string &nettingSetId, const string &bilateral, const string &csaCurrency, const string &index, const Real &thresholdPay, const Real &thresholdRcv, const Real &mtaPay, const Real &mtaRcv, const Real &iaHeld, const string &iaType, const string &marginCallFreq, const string &marginPostFreq, const string &mpr, const Real &collatSpreadPay, const Real &collatSpreadRcv, const vector< string > &eligCollatCcys, bool applyInitialMargin=false, const string &initialMarginType="Bilateral", const bool calculateIMAmount=false, const bool calculateVMAmount=false)

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) override

void	validate ()

const string &	nettingSetId () const
	Inspectors. More...

const NettingSetDetails	nettingSetDetails () const

bool	activeCsaFlag () const

const boost::shared_ptr< CSA > &	csaDetails ()

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.

Detailed Description

Netting Set Definition.

This class is a container for a definition of a netting agreement (including CSA information)

Constructor & Destructor Documentation

◆ NettingSetDefinition() [1/3]

NettingSetDefinition ( XMLNode * node )

builds a NettingSetDefinition from an XML input

◆ NettingSetDefinition() [2/3]

NettingSetDefinition ( const NettingSetDetails & nettingSetDetails )

Constructor for "uncollateralised" netting sets

◆ NettingSetDefinition() [3/3]

NettingSetDefinition	(	const NettingSetDetails &	nettingSetDetails,
		const string &	bilateral,
		const string &	csaCurrency,
		const string &	index,
		const Real &	thresholdPay,
		const Real &	thresholdRcv,
		const Real &	mtaPay,
		const Real &	mtaRcv,
		const Real &	iaHeld,
		const string &	iaType,
		const string &	marginCallFreq,
		const string &	marginPostFreq,
		const string &	mpr,
		const Real &	collatSpreadPay,
		const Real &	collatSpreadRcv,
		const vector< string > &	eligCollatCcys,
		bool	applyInitialMargin = `false`,
		const string &	initialMarginType = `"Bilateral"`,
		const bool	calculateIMAmount = `false`,
		const bool	calculateVMAmount = `false`
	)

Constructor for "collateralised" netting sets

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

loads NettingSetDefinition object from XML

Implements XMLSerializable.

◆ toXML()

XMLNode* toXML ( XMLDocument & doc )

overridevirtual

writes object to XML

Implements XMLSerializable.

◆ validate()

void validate ( )

validate the netting set definition including CSA details

◆ nettingSetId()

const string& nettingSetId ( ) const

Inspectors.

returns netting set id

◆ nettingSetDetails()

const NettingSetDetails nettingSetDetails ( ) const

returns netting set details

◆ activeCsaFlag()

bool activeCsaFlag ( ) const

boolean specifying if ISDA agreement is covered by a Credit Support Annex

◆ csaDetails()

const boost::shared_ptr<CSA>& csaDetails ( )

CSA details, if active

Public Member Functions