Serializable object holding leg data. More...

#include <ored/portfolio/legdata.hpp>

Inheritance diagram for LegData:

Public Member Functions
	LegData ()
	Default constructor.
	LegData (const QuantLib::ext::shared_ptr< LegAdditionalData > &innerLegData, bool isPayer, const string &currency, const ScheduleData &scheduleData=ScheduleData(), const string &dayCounter="", const std::vector< double > &notionals=std::vector< double >(), const std::vector< string > &notionalDates=std::vector< string >(), const string &paymentConvention="F", const bool notionalInitialExchange=false, const bool notionalFinalExchange=false, const bool notionalAmortizingExchange=false, const bool isNotResetXCCY=true, const string &foreignCurrency="", const double foreignAmount=0, const string &resetStartDate="", const string &fxIndex="", const std::vector< AmortizationData > &amortizationData=std::vector< AmortizationData >(), const string &paymentLag="", const string &notionalPaymentLag="", const std::string &paymentCalendar="", const std::vector< std::string > &paymentDates=std::vector< std::string >(), const std::vector< Indexing > &indexing={}, const bool indexingFromAssetLeg=false, const string &lastPeriodDayCounter="")
	Constructor with concrete leg data.
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
bool	isPayer () const
const string &	currency () const
const ScheduleData &	schedule () const
const vector< double > &	notionals () const
const vector< string > &	notionalDates () const
const string &	dayCounter () const
const string &	paymentConvention () const
bool	notionalInitialExchange () const
bool	notionalFinalExchange () const
bool	notionalAmortizingExchange () const
bool	isNotResetXCCY () const
const string &	foreignCurrency () const
double	foreignAmount () const
const string &	resetStartDate () const
const string &	fxIndex () const
const string &	paymentLag () const
const string &	notionalPaymentLag () const
const std::vector< AmortizationData > &	amortizationData () const
const std::string &	paymentCalendar () const
const LegType &	legType () const
QuantLib::ext::shared_ptr< LegAdditionalData >	concreteLegData () const
const std::set< std::string > &	indices () const
const std::vector< std::string > &	paymentDates () const
const std::vector< Indexing > &	indexing () const
const bool	indexingFromAssetLeg () const
const string &	lastPeriodDayCounter () const
const ScheduleData &	paymentSchedule () const
bool	strictNotionalDates () const
const bool	isSimmPlainVanillaIrLeg () const
const string &	settlementFxIndex () const
const string &	settlementFxFixingDate () 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

modifiers
std::set< std::string >	indices_
vector< double > &	notionals ()
ScheduleData &	schedule ()
vector< string > &	notionalDates ()
string &	dayCounter ()
bool &	isPayer ()
QuantLib::ext::shared_ptr< LegAdditionalData > &	concreteLegData ()
std::vector< Indexing > &	indexing ()
bool &	indexingFromAssetLeg ()
string &	paymentConvention ()
std::vector< std::string > &	paymentDates ()
string &	lastPeriodDayCounter ()
bool &	strictNotionalDates ()
void	setForeignAmount (double foreignAmount)
virtual QuantLib::ext::shared_ptr< LegAdditionalData >	initialiseConcreteLegData (const string &)

Detailed Description

Serializable object holding leg data.

Member Function Documentation

◆ fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

◆ toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Member Data Documentation

◆ indices_

std::set<std::string> indices_

protected

Store the set of ORE index names that appear on this leg.

Take the set appearing in LegAdditionalData::indices() and add on any appearing here. Currently, the only possible extra index appearing at LegData level is fxIndex.