Reference manual - version ored_version
Serializable CDS Index Tranche (Synthetic CDO) More...
#include <ored/portfolio/cdo.hpp>
Inheritance diagram for SyntheticCDO:Public Member Functions | |
| SyntheticCDO (const Envelope &env, const LegData &leg, const string &qualifier, const BasketData &basketData, double attachmentPoint, double detachmentPoint, const bool settlesAccrual=true, const QuantExt::CreditDefaultSwap::ProtectionPaymentTime protectionPaymentTime=QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault, const string &protectionStart=string(), const string &upfrontDate=string(), const Real upfrontFee=Null< Real >(), const bool rebatesAccrual=true, Real recoveryRate=Null< Real >()) | |
| virtual void | build (const boost::shared_ptr< EngineFactory > &) override |
| const string & | qualifier () const |
| Inspectors. | |
| const LegData & | leg () const |
| const BasketData & | basketData () const |
| const double & | attachmentPoint () const |
| const double & | detachmentPoint () const |
| QuantExt::CreditDefaultSwap::ProtectionPaymentTime | protectionPaymentTime () const |
| const string & | protectionStart () const |
| const string & | upfrontDate () const |
| const double & | upfrontFee () const |
| bool | settlesAccrual () const |
| bool | rebatesAccrual () const |
| const Real & | recoveryRate () const |
| bool | useSensitivitySimplification () const |
| const std::map< std::string, Real > & | basketConstituents () const |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) override |
| std::string | creditCurveIdWithTerm () const |
| void | setIndexStartDateHint (const QuantLib::Date &d) const |
| const QuantLib::Date & | indexStartDateHint () const |
| 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 RequiredFixings & | requiredFixings () 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. | |
| Envelope & | envelope () |
| Set the envelope with counterparty and portfolio info. | |
| TradeActions & | tradeActions () |
| Set the trade actions. | |
| const string & | id () const |
| const string & | tradeType () const |
| const Envelope & | envelope () const |
| const set< string > & | portfolioIds () const |
| const TradeActions & | tradeActions () 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 QuantLib::Real | notional () const |
| Return the current notional in npvCurrency. See individual sub-classes for the precise definition. | |
| virtual string | notionalCurrency () const |
| const Date & | maturity () const |
| const string & | issuer () const |
| template<typename T > | |
| T | additionalDatum (const std::string &tag) const |
| returns any additional datum. | |
| virtual const std::map< std::string, boost::any > & | additionalData () const |
| returns all additional data returned by the trade once built | |
| 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 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< InstrumentWrapper > | instrument_ |
| 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_ |
Serializable CDS Index Tranche (Synthetic CDO)
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overridevirtual |
Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.
Implements Trade.
| 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.
| 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
| const QuantLib::Date& indexStartDateHint | ( | ) | const |
Get the index start date hint, or null if it was never set
