#include <ored/portfolio/referencedata.hpp>

Inheritance diagram for CreditIndexConstituent:

Public Member Functions
	CreditIndexConstituent (const std::string &name, QuantLib::Real weight, QuantLib::Real priorWeight=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recovery=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &auctionDate=QuantLib::Date(), const QuantLib::Date &auctionSettlementDate=QuantLib::Date(), const QuantLib::Date &defaultDate=QuantLib::Date(), const QuantLib::Date &eventDeterminationDate=QuantLib::Date())
void	fromXML (XMLNode *node) override
XMLNode *	toXML (ore::data::XMLDocument &doc) const override
const std::string &	name () const
QuantLib::Real	weight () const
QuantLib::Real	priorWeight () const
QuantLib::Real	recovery () const
const QuantLib::Date &	auctionDate () const
const QuantLib::Date &	auctionSettlementDate () const
const QuantLib::Date &	defaultDate () const
const QuantLib::Date &	eventDeterminationDate () 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

Detailed Description

Hold reference data on a constituent of a credit index.

Gives the name and the weight of the credit index constituent. A weight of zero indicates that there has been a credit event relating to the constituent. In this case, the weight of the constituent prior to the credit event is supplied along with the recovery rate, i.e. final auction price, default date, event determination date, auction date and auction cash settlement date. Not all of these fields are required by every engine in the event of default.

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

◆ toXML()