Reference manual - version ored_version
#include <ored/portfolio/trs.hpp>
Public Member Functions | |
| CFD (const Envelope &env, const std::vector< QuantLib::ext::shared_ptr< Trade > > &underlying, const std::vector< std::string > &underlyingDerivativeId, const ReturnData &returnData, const FundingData &fundingData, const AdditionalCashflowData &additionalCashflowData) | |
| Public Member Functions inherited from TRS | |
| TRS (const Envelope &env, const std::vector< QuantLib::ext::shared_ptr< Trade > > &underlying, const std::vector< std::string > &underlyingDerivativeId, const ReturnData &returnData, const FundingData &fundingData, const AdditionalCashflowData &additionalCashflowData) | |
| void | build (const QuantLib::ext::shared_ptr< EngineFactory > &) override |
| const std::vector< QuantLib::ext::shared_ptr< Trade > > & | underlying () const |
| Inspectors. | |
| const ReturnData & | returnData () const |
| const FundingData & | fundingData () const |
| const AdditionalCashflowData & | additionalCashflowData () const |
| const std::string & | creditRiskCurrency () const |
| const string & | portfolioId () const |
| const std::map< std::string, SimmCreditQualifierMapping > & | creditQualifierMapping () const |
| std::map< AssetClass, std::set< std::string > > | underlyingIndices (const QuantLib::ext::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 |
| XMLNode * | toXML (XMLDocument &doc) const 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, RequiredFixings::FixingDates > | fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const |
| const RequiredFixings & | requiredFixings () 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. | |
| void | setId (const std::string &id) |
| void | setEnvelope (const Envelope &envelope) |
| Set the envelope with counterparty and portfolio info. | |
| void | setAdditionalData (const std::map< std::string, QuantLib::ext::any > &additionalData) |
| 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 QuantLib::ext::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 std::map< size_t, LegCashflowInclusion > & | legCashflowInclusion () const |
| const string & | npvCurrency () const |
| virtual string | notionalCurrency () const |
| const Date & | maturity () const |
| const string & | maturityType () const |
| virtual bool | isExpired (const Date &d) 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, QuantLib::ext::any > & | additionalData () const |
| returns all additional data returned by the trade once built | |
| const std::string & | sensitivityTemplate () const |
| const std::set< std::tuple< std::set< std::string >, std::string, std::string > > & | productModelEngine () const |
| void | validate () const |
| Utility to validate that everything that needs to be set in this base class is actually set. | |
| boost::timer::nanosecond_type | getCumulativePricingTime () const |
| Get cumulative timing spent on pricing. | |
| std::size_t | getNumberOfPricings () const |
| Get number of pricings. | |
| void | addProductModelEngine (const EngineBuilder &builder) |
| void | addProductModelEngine (const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &productModelEngine) |
| void | setSensitivityTemplate (const EngineBuilder &builder) |
| void | setSensitivityTemplate (const std::string &id) |
| virtual std::vector< TradeCashflowReportData > | cashflows (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &configuration, const bool includePastCashflows) const |
| Public Member Functions inherited from XMLSerializable | |
| void | fromFile (const std::string &filename) |
| void | toFile (const std::string &filename) const |
| void | fromXMLString (const std::string &xml) |
| Parse from XML string. | |
| std::string | toXMLString () const |
| Parse from XML string. | |
| std::string | toXMLStringUnformatted () const |
Additional Inherited Members | |
| Public Types inherited from TRS | |
| enum class | FXConversion { Start , End } |
| enum class | LegCashflowInclusion { IfNoEngineCashflows , Never , Always } |
| Protected Member Functions inherited from TRS | |
| QuantLib::ext::shared_ptr< QuantExt::FxIndex > | getFxIndex (const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices, std::set< std::string > &missingFxIndexPairs) const |
| void | populateFromReferenceData (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager) const |
| void | getTradesFromReferenceData (const QuantLib::ext::shared_ptr< PortfolioBasketReferenceDatum > &ptfReferenceDatum) const |
| Date | addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const string &discountCurve, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration) |
| void | setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const |
| void | updateProductModelEngineAdditionalData () |
| Protected Attributes inherited from TRS | |
| std::vector< QuantLib::ext::shared_ptr< Trade > > | underlying_ |
| std::vector< std::string > | underlyingDerivativeId_ |
| ReturnData | returnData_ |
| FundingData | fundingData_ |
| AdditionalCashflowData | additionalCashflowData_ |
| std::string | creditRiskCurrency_ |
| std::map< std::string, SimmCreditQualifierMapping > | creditQualifierMapping_ |
| std::string | portfolioId_ |
| bool | portfolioDeriv_ |
| double | indexQuantity_ |
| string | tradeType_ |
| QuantLib::ext::shared_ptr< InstrumentWrapper > | instrument_ |
| std::vector< QuantLib::Leg > | legs_ |
| std::vector< string > | legCurrencies_ |
| std::vector< bool > | legPayers_ |
| std::map< std::size_t, LegCashflowInclusion > | legCashflowInclusion_ |
| string | npvCurrency_ |
| QuantLib::Real | notional_ |
| string | notionalCurrency_ |
| Date | maturity_ |
| string | maturityType_ |
| string | issuer_ |
| string | sensitivityTemplate_ |
| bool | sensitivityTemplateSet_ = false |
| std::set< std::tuple< std::set< std::string >, std::string, std::string > > | productModelEngine_ |
| Date | lastRelevantDate_ = Null<Date>() |
| std::size_t | savedNumberOfPricings_ = 0 |
| boost::timer::nanosecond_type | savedCumulativePricingTime_ = 0 |
| RequiredFixings | requiredFixings_ |
| std::map< std::string, QuantLib::ext::any > | additionalData_ |
just an Alias
