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Public Member Functions | List of all members
Swaption Class Reference

Serializable Swaption. More...

#include <ored/portfolio/swaption.hpp>

+ Inheritance diagram for Swaption:

Public Member Functions

 Swaption (const Envelope &env, const OptionData &optionData, const vector< LegData > &legData)
 
void build (const boost::shared_ptr< EngineFactory > &) override
 
Inspectors
const OptionDataoptionData ()
 
const vector< LegData > & legData ()
 
- 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
 
virtual std::map< AssetClass, std::set< std::string > > underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) 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
 
virtual string notionalCurrency () 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.
 
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.
 

Serialisation

virtual void fromXML (XMLNode *node) override
 
virtual XMLNodetoXML (XMLDocument &doc) override
 
QuantLib::Real notional () const override
 Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
 
const std::map< std::string, boost::any > & additionalData () const override
 returns all additional data returned by the trade once built
 
bool hasCashflows () const override
 
bool isExercised () const
 

Additional Inherited Members

- 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 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 Swaption.

Member Function Documentation

◆ build()

void build ( const boost::shared_ptr< EngineFactory > &  )
overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

◆ hasCashflows()

bool hasCashflows ( ) const
overridevirtual

Utility method indicating if the trade has cashflows for the cashflow report. The default implementation returns true so that a trade is automatically considered when cashflows are being written. To prevent a trade from being asked for its cashflows, the method can be overridden to return false.

Reimplemented from Trade.