SimmTradeData Class Reference

#include <orea/simm/simmtradedata.hpp>

Classes
class	TradeAttributes
	Class to hold additional trade attributes that may be needed during CRIF generation. More...

Public Member Functions
	SimmTradeData ()
	Default constructor giving an empty string default portfolio and counterparty ID.
	SimmTradeData (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &bucketMapper=nullptr, const QuantLib::ext::shared_ptr< Portfolio > &auxiliaryPortfolio=nullptr)
	SimmTradeData (const string &defaultPortfolioId, const string &defaultCounterpartyId)
	Constructor with a specific default portfolio and counterparty ID.
void	init ()
std::set< pair< string, QuantLib::Size > >	get () const
	Return the set of all trade IDs in the container.
std::set< pair< string, QuantLib::Size > >	get (const NettingSetDetails &nettingSetDetails) const
	Return the set of all trade IDs in the container with the given portfolioId.
std::set< pair< string, QuantLib::Size > >	get (const string &portfolioId) const
	Return the set of all trade IDs in the container with the given nettingSetDetails.
std::set< string >	portfolioIds () const
	Return the set of portfolio IDs in the container.
std::set< NettingSetDetails >	nettingSetDetails () const
const string &	portfolioId (const string &tradeId) const
const NettingSetDetails &	nettingSetDetails (const string &tradeId) const
std::set< string >	counterpartyIds () const
	Return the set of counterparty IDs in the container.
const string &	counterpartyId (const string &tradeId) const
bool	has (const string &tradeId) const
	Return true if there is already an entry for tradeId.
bool	empty () const
	Return true if there is no trade data.
virtual void	clear ()
	Clear the trade data.
bool	hasAttributes (const string &tradeId) const
	Return true if the tradeId has additional attributes.
const QuantLib::ext::shared_ptr< TradeAttributes > &	getAttributes (const string &tradeId) const
const bool	hasNettingSetDetails () const
	Indicate whether the trades are using netting set details instead of just netting set ID.
const std::set< string > &	simmTradeIds () const

Protected Member Functions
void	setAttributes (const string &tradeId, const QuantLib::ext::shared_ptr< TradeAttributes > &attributes)
virtual void	processPortfolio (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< Portfolio > &auxiliaryPortfolio=nullptr)
void	add (const string &tradeId, const string &portfolioId, const string &counterpartyId)
void	add (const string &tradeId, const NettingSetDetails &nettingSetDetails, const string &counterpartyId)
void	add (const string &tradeId)

Protected Attributes
string	defaultPortfolioId_
	The default portfolio ID assigned to trades without one.
NettingSetDetails	defaultNettingSetDetails_
string	defaultCounterpartyId_
	The default counterparty ID assigned to trades without one.
map< string, NettingSetDetails >	nettingSetDetails_
map< string, string >	counterpartyIds_
	Map from trade ID to counterparty IDs.
std::set< string >	simmTradeIds_
	Vector of SIMM tradeIds.
bool	hasNettingSetDetails_
	Indicate whether the trades are using netting set details instead of just netting set ID.
map< string, QuantLib::ext::shared_ptr< TradeAttributes > >	tradeAttributes_
QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager >	referenceData_
QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper >	bucketMapper_
bool	initialised_ = false
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< ore::data::Market >	market_
QuantLib::ext::shared_ptr< Portfolio >	auxiliaryPortfolio_

Detailed Description

A simple container class for holding trade IDs along with their corresponding portfolio id, counterparty id, SIMM/Schedule product class. There is also the option to provide extra trade attributes that can be requested during CRIF generation.

Constructor & Destructor Documentation

SimmTradeData()

SimmTradeData	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &	referenceData = nullptr,
		const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &	bucketMapper = nullptr,
		const QuantLib::ext::shared_ptr< Portfolio > &	auxiliaryPortfolio = nullptr )

Construct from portfolio object. The portfolio ID is taken to be the netting set ID. Market is passed for IM Schedule related FX conversions.

Member Function Documentation

portfolioId()

const string & portfolioId

(

const string &

tradeId

)

const

Return the portfolio ID for the given tradeId

Warning

Throws an error if the tradeId is not in the container. Can check before adding using has.

counterpartyId()

const string & counterpartyId

(

const string &

tradeId

)

const

Return the counterparty ID for the given tradeId

Warning

Throws an error if the tradeId is not in the container. Can check before adding using has.

getAttributes()

const QuantLib::ext::shared_ptr< TradeAttributes > & getAttributes

(

const string &

tradeId

)

const

Get the additional attributes for a given tradeId.

Warning

This method throws if there are no additional attributes for the given tradeId so use hasAttributes method before the call if in doubt

setAttributes()

void setAttributes ( const string & tradeId, const QuantLib::ext::shared_ptr< TradeAttributes > & attributes )

protected

Set the additional attributes for a given tradeId. If attributes already exists for tradeId, they are overwritten.

add() [1/2]

void add ( const string & tradeId, const string & portfolioId, const string & counterpartyId )

protected

Add a tradeId with associated portfolioId and counterpartyId to the container

Warning

Throws an error if the tradeId is already in the container. Can check before adding using has.

add() [2/2]

void add ( const string & tradeId )

protected

Add a tradeId to the container

Remarks

The tradeId is given the default portfolio ID and counterparty ID

Warning

Throws an error if the tradeId is already in the container. Can check before adding using has.

Member Data Documentation

nettingSetDetails_

map<string, NettingSetDetails> nettingSetDetails_

protected

Map from trade ID to portfolio IDs (the netting set ID is the portfolio ID, but there are other netting set details used to define netting set uniqueness)

tradeAttributes_

map<string, QuantLib::ext::shared_ptr<TradeAttributes> > tradeAttributes_

protected

Map from trade id to additional attributes for that trade id. This container should be empty for most trade IDs and contain exceptional elements that are required during CRIF generation for certain trades.