FloatingLegData Class Reference

Serializable Floating Leg Data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for FloatingLegData:

Public Member Functions
	FloatingLegData ()
	Default constructor.
	FloatingLegData (const string &index, QuantLib::Size fixingDays, bool isInArrears, const vector< double > &spreads, const vector< string > &spreadDates=vector< string >(), const vector< double > &caps=vector< double >(), const vector< string > &capDates=vector< string >(), const vector< double > &floors=vector< double >(), const vector< string > &floorDates=vector< string >(), const vector< double > &gearings=vector< double >(), const vector< string > &gearingDates=vector< string >(), bool isAveraged=false, bool nakedOption=false, bool hasSubPeriods=false, bool includeSpread=false, QuantLib::Period lookback=0 *Days, const Size rateCutoff=Null< Size >(), bool localCapFloor=false, const QuantLib::ext::optional< Period > &lastRecentPeriod=QuantLib::ext::nullopt, const std::string &lastRecentPeriodCalendar=std::string(), bool telescopicValueDates=false, const std::map< QuantLib::Date, double > &historicalFixings={}, const string &frontStubShortIndex=std::string(), const string &frontStubLongIndex=std::string(), const string &frontStubRoundingType=std::string(), const string &frontStubRoundingPrecision=std::string(), const string &backStubShortIndex=std::string(), const string &backStubLongIndex=std::string(), const string &backStubRoundingType=std::string(), const string &backStubRoundingPrecision=std::string(), bool stubUseOriginalCurve=false)
	Constructor.
Inspectors
const string &	index () const
QuantLib::Size	fixingDays () const
QuantLib::Period	lookback () const
QuantLib::Size	rateCutoff () const
QuantLib::ext::optional< bool >	isInArrears () const
bool	isAveraged () const
bool	hasSubPeriods () const
bool	includeSpread () const
const vector< double > &	spreads () const
const vector< string > &	spreadDates () const
const vector< double > &	caps () const
const vector< string > &	capDates () const
const vector< double > &	floors () const
const vector< string > &	floorDates () const
const vector< double > &	gearings () const
const vector< string > &	gearingDates () const
bool	nakedOption () const
bool	localCapFloor () const
const QuantLib::ext::optional< Period > &	lastRecentPeriod () const
const std::string &	lastRecentPeriodCalendar () const
bool	telescopicValueDates () const
ScheduleData	fixingSchedule () const
ScheduleData	resetSchedule () const
const std::map< QuantLib::Date, double > &	historicalFixings () const
const string &	frontStubShortIndex () const
const string &	frontStubLongIndex () const
const string &	frontStubRoundingType () const
const string &	frontStubRoundingPrecision () const
const string &	backStubShortIndex () const
const string &	backStubLongIndex () const
const string &	backStubRoundingType () const
const string &	backStubRoundingPrecision () const
bool	stubUseOriginalCurve () const
Modifiers
vector< double > &	caps ()
vector< string > &	capDates ()
vector< double > &	floors ()
vector< string > &	floorDates ()
bool &	nakedOption ()
bool &	localCapFloor ()
bool &	telescopicValueDates ()
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
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

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

Detailed Description

Serializable Floating Leg Data.

Member Function Documentation

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.