#include <ored/portfolio/creditdefaultswapdata.hpp>

Inheritance diagram for CreditDefaultSwapData:

Public Types
using	PPT = QuantLib::CreditDefaultSwap::ProtectionPaymentTime

Public Member Functions
	CreditDefaultSwapData ()
	Default constructor.
	CreditDefaultSwapData (const string &issuerId, const string &creditCurveId, const LegData &leg, const bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const Real upfrontFee=Null< Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Constructor that takes an explicit `creditCurveId`.
	CreditDefaultSwapData (const std::string &issuerId, const CdsReferenceInformation &referenceInformation, const LegData &leg, bool settlesAccrual=true, const PPT protectionPaymentTime=PPT::atDefault, const QuantLib::Date &protectionStart=QuantLib::Date(), const QuantLib::Date &upfrontDate=QuantLib::Date(), QuantLib::Real upfrontFee=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >(), const std::string &referenceObligation="", const Date &tradeDate=Date(), const std::string &cashSettlementDays="", const bool rebatesAccrual=true)
	Constructor that takes a `referenceInformation` object.
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
const string &	issuerId () const
const string &	creditCurveId () const
const LegData &	leg () const
bool	settlesAccrual () const
PPT	protectionPaymentTime () const
const Date &	protectionStart () const
const Date &	upfrontDate () const
Real	upfrontFee () const
bool	rebatesAccrual () const
QuantLib::Real	recoveryRate () const
const std::string &	referenceObligation () const
	CDS Reference Obligation.
const QuantLib::Date &	tradeDate () const
QuantLib::Natural	cashSettlementDays () const
const QuantLib::ext::optional< CdsReferenceInformation > &	referenceInformation () 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

Protected Member Functions
virtual void	check (XMLNode *node) const
virtual XMLNode *	alloc (XMLDocument &doc) const

Detailed Description

Serializable credit default swap data

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

◆ recoveryRate()

QuantLib::Real recoveryRate ( ) const

If the CDS is a fixed recovery CDS, this returns the recovery rate. For a standard CDS, it returns Null<Real>().

◆ referenceInformation()

const QuantLib::ext::optional< CdsReferenceInformation > & referenceInformation ( ) const

CDS reference information. This will be empty if an explicit credit curve ID has been used.

Public Types