|
|
void | build (const boost::shared_ptr< ore::data::EngineFactory > &) override |
| |
|
const string & | longShort () |
| |
|
const std::string & | name () const |
| |
|
const boost::shared_ptr< ore::data::Underlying > & | underlying () const |
| |
|
const string & | currency () |
| |
|
double | strike () |
| |
|
double | notional () const override |
| | Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
|
| |
|
const string & | startDate () |
| |
|
const string & | endDate () |
| |
|
const string & | calendar () |
| |
|
AssetClass | assetClassUnderlying () |
| |
|
const string & | momentType () |
| |
|
const bool | addPastDividends () |
| |
|
virtual void | fromXML (XMLNode *node) override |
| |
|
virtual XMLNode * | toXML (ore::data::XMLDocument &doc) override |
| |
|
| Trade () |
| | Default constructor.
|
| |
|
| Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions()) |
| | Base class constructor.
|
| |
|
virtual | ~Trade () |
| | Default destructor.
|
| |
| virtual void | build (const boost::shared_ptr< EngineFactory > &)=0 |
| |
| 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 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.
|
| |
|
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.
|
| |
|
|
| VarSwap (AssetClass assetClassUnderlying) |
| |
|
| VarSwap (ore::data::Envelope &env, string longShort, const boost::shared_ptr< ore::data::Underlying > &underlying, string currency, double strike, double notional, string startDate, string endDate, AssetClass assetClassUnderlying, string momentType, bool addPastDividends) |
| |
|
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 |
| |
Inheritance diagram for VarSwap: