Serializable FX Swap. More...

#include <ored/portfolio/fxswap.hpp>

Inheritance diagram for FxSwap:

Public Member Functions
	FxSwap ()
	Default constructor.
	FxSwap (const Envelope &env, const string &nearDate, const string &farDate, const string &nearBoughtCurrency, double nearBoughtAmount, const string &nearSoldCurrency, double nearSoldAmount, double farBoughtAmount, double farSoldAmount, const string &settlement="Physical")
	Constructor.
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine.
QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
std::string	notionalCurrency () const override
Inspectors
const string &	nearDate () const
const string &	farDate () const
const string &	nearBoughtCurrency () const
double	nearBoughtAmount () const
const string &	nearSoldCurrency () const
double	nearSoldAmount () const
double	farBoughtAmount () const
double	farSoldAmount () const
const string &	settlement () const
	Settlement Type can be set to "Cash" for NDF. Default value is "Physical".
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
virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) 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
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

Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
enum class	LegCashflowInclusion { IfNoEngineCashflows , Never , Always }
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 ()
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_

Detailed Description

Serializable FX Swap.

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & )

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Constructs a composite pricing engine of two FX forward pricing engines. One with the near amounts as notionals, the other with the far amounts. NPV is the total npv of these trades.

Implements Trade.

◆ notional()

QuantLib::Real notional ( ) const

overridevirtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

◆ notionalCurrency()

std::string notionalCurrency ( ) const

overridevirtual

Reimplemented from Trade.

◆ fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

◆ toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ build()

◆ notional()

◆ notionalCurrency()

◆ fromXML()

◆ toXML()