creditdefaultswapdata.hpp File Reference

A class to hold credit default swap data. More...

#include <boost/optional.hpp>
#include <ored/portfolio/legdata.hpp>
#include <ored/portfolio/trade.hpp>
#include <ql/instruments/creditdefaultswap.hpp>

Classes
class	CdsReferenceInformation
class	CreditDefaultSwapData

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Enumerations
enum class	CdsTier {   SNRFOR , SUBLT2 , SNRLAC , SECDOM ,   JRSUBUT2 , PREFT1 , LIEN1 , LIEN2 ,   LIEN3 }
	CDS debt tier enumeration.
enum class	CdsDocClause {   CR , MM , MR , XR ,   CR14 , MM14 , MR14 , XR14 }
	CDS documentation clause enumeration.
enum class	IsdaRulesDefinitions { y2003 = 2003 , y2014 = 2014 }
	ISDA CDS documentation rules set enumeration.
enum class	CreditEventType {   BANKRUPTCY , FAILURE_TO_PAY , RESTRUCTURING , OBLIGATION_ACCELERATION ,   OBLIGATION_DEFAULT , REPUDIATION_MORATORIUM , GOVERNMENTAL_INTERVENTION }
	ISDA credit event types enumeration.
enum class	CreditEventTiers {   SNR , SUB , SNRLAC , SNR_SUB ,   SNR_SNRLAC , SUB_SNRLAC , SNR_SUB_SNRLAC }
	ISDA credit event seniority sets enumeration.

Functions
CdsTier	parseCdsTier (const std::string &s)
std::ostream &	operator<< (std::ostream &out, const CdsTier &cdsTier)
CdsDocClause	parseCdsDocClause (const std::string &s)
std::ostream &	operator<< (std::ostream &out, const CdsDocClause &cdsDocClause)
IsdaRulesDefinitions	parseIsdaRulesDefinitions (const std::string &s)
IsdaRulesDefinitions	isdaRulesDefinitionsFromDocClause (const CdsDocClause &cdsDocClause)
CreditEventType	parseCreditEventType (const std::string &s)
std::ostream &	operator<< (std::ostream &out, const CreditEventType &creditEventType)
bool	isTriggeredDocClause (CdsDocClause contractDocClause, CreditEventType creditEventType)
CreditEventTiers	parseCreditEventTiers (const std::string &s)
std::ostream &	operator<< (std::ostream &out, const CreditEventTiers &creditEventTiers)
bool	isAuctionedSeniority (CdsTier contractTier, CreditEventTiers creditEventTiers)
bool	tryParseCdsInformation (std::string strInfo, CdsReferenceInformation &cdsInfo)

Detailed Description

A class to hold credit default swap data.