Logo
Reference manual - version ored_version
Classes | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
TRS Class Reference

#include <ored/portfolio/trs.hpp>

+ Inheritance diagram for TRS:

Classes

class  AdditionalCashflowData
 
class  FundingData
 
class  ReturnData
 

Public Member Functions

 TRS (const Envelope &env, const std::vector< boost::shared_ptr< Trade >> &underlying, const std::vector< std::string > &underlyingDerivativeId, const ReturnData &returnData, const FundingData &fundingData, const AdditionalCashflowData &additionalCashflowData)
 
void build (const boost::shared_ptr< EngineFactory > &) override
 
const std::vector< boost::shared_ptr< Trade > > & underlying () const
 Inspectors.
 
const ReturnDatareturnData () const
 
const FundingDatafundingData () const
 
const AdditionalCashflowDataadditionalCashflowData () const
 
const std::string & creditRiskCurrency () const
 
const std::map< std::string, SimmCreditQualifierMapping > & creditQualifierMapping () const
 
std::map< AssetClass, std::set< std::string > > underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
 Interface.
 
QuantLib::Real notional () const override
 Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
 
void fromXML (XMLNode *node) override
 
XMLNodetoXML (XMLDocument &doc) override
 
- 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
 
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.
 
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.
 

Protected Member Functions

boost::shared_ptr< QuantExt::FxIndexgetFxIndex (const boost::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, boost::shared_ptr< QuantExt::FxIndex >> &fxIndices, std::set< std::string > &missingFxIndexPairs) 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

std::vector< boost::shared_ptr< Trade > > underlying_
 
std::vector< std::string > underlyingDerivativeId_
 
ReturnData returnData_
 
FundingData fundingData_
 
AdditionalCashflowData additionalCashflowData_
 
std::string creditRiskCurrency_
 
std::map< std::string, SimmCreditQualifierMappingcreditQualifierMapping_
 
- 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

TRS trade class

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.