CommodityFixedLegData Class Reference

Inheritance diagram for CommodityFixedLegData:

Public Member Functions
	CommodityFixedLegData ()
	Default constructor.
	CommodityFixedLegData (const std::vector< QuantLib::Real > &quantities, const std::vector< std::string > &quantityDates, const std::vector< QuantLib::Real > &prices, const std::vector< std::string > &priceDates, CommodityPayRelativeTo commodityPayRelativeTo, const std::string &tag=std::string())
	Detailed constructor.
Inspectors
const std::vector< QuantLib::Real > &	quantities () const
const std::vector< std::string > &	quantityDates () const
const std::vector< QuantLib::Real > &	prices () const
const std::vector< std::string > &	priceDates () const
CommodityPayRelativeTo	commodityPayRelativeTo () const
const std::string &	foreignCurrency () const
const std::string &	tag () const
void	setQuantities (const std::vector< QuantLib::Real > &quantities)
	Set the fixed leg data quantities.
void	setForeignCurrency (const std::string foreignCurrency)
Public Member Functions inherited from LegAdditionalData
	LegAdditionalData (const LegType &legType, const string &legNodeName, bool isSimmPlainVanillaIrLeg)
	LegAdditionalData (const LegType &legType, bool isSimmPlainVanillaIrLeg)
	LegAdditionalData (const string &, const char *)=delete
const LegType &	legType () const
const string &	legNodeName () const
const std::set< std::string > &	indices () const
const bool	isSimmPlainVanillaIrLeg () const
	check if a x-ccy swap with the leg qualifies for the isda simm exemption treatment
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

Serialisation
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Additional Inherited Members
Protected Attributes inherited from LegAdditionalData
std::set< std::string >	indices_

Member Function Documentation

setQuantities()

void setQuantities

(

const std::vector< QuantLib::Real > &

quantities

)

Set the fixed leg data quantities.

For commodity swaps, there can be a number of conventions provided with the floating leg data quantities that when taken together can be used to calculate the commodity quantity for the full calculation period. Instead of duplicating that data here, we allow the fixed leg data quantities to be set using this method before being passed to the commodity fixed leg builder. The idea is that the quantities will be set by referencing the quantities from the corresponding floating leg of the swap after that leg has been built.

fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

ore::data::XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.