SyntheticCDO Class Reference

Serializable CDS Index Tranche (Synthetic CDO). More...

#include <ored/portfolio/cdo.hpp>

Inheritance diagram for SyntheticCDO:

Public Member Functions
	SyntheticCDO (const Envelope &env, const LegData &leg, const string &qualifier, const BasketData &basketData, double attachmentPoint, double detachmentPoint, const bool settlesAccrual=true, const QuantExt::CreditDefaultSwap::ProtectionPaymentTime protectionPaymentTime=QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault, const string &protectionStart=string(), const string &upfrontDate=string(), const Real upfrontFee=Null< Real >(), const bool rebatesAccrual=true, Real recoveryRate=Null< Real >())
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
const string &	qualifier () const
	Inspectors.
const LegData &	leg () const
const BasketData &	basketData () const
const double &	attachmentPoint () const
const double &	detachmentPoint () const
QuantExt::CreditDefaultSwap::ProtectionPaymentTime	protectionPaymentTime () const
const string &	protectionStart () const
const string &	upfrontDate () const
const double &	upfrontFee () const
bool	settlesAccrual () const
bool	rebatesAccrual () const
const Real &	recoveryRate () const
bool	useSensitivitySimplification () const
const std::map< std::string, Real > &	basketConstituents () const
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
std::string	creditCurveIdWithTerm () const
std::vector< std::pair< Period, std::string > >	curveCalibrationBasket () const
void	setIndexStartDateHint (const QuantLib::Date &d) const
const QuantLib::Date &	indexStartDateHint () const
double	currentTrancheNotional () const
double	fairUpfront () const
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
virtual QuantLib::Real	notional () const
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
virtual string	notionalCurrency () 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

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 CDS Index Tranche (Synthetic CDO).

Member Function Documentation

build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

creditCurveIdWithTerm()

std::string creditCurveIdWithTerm

(

)

const

Get credit curve id with term suffix "_5Y". If the creditCurveId contains such a suffix already this is used. Otherwise we try to imply it from the schedule. If that is not possible, the creditCurveId without tenor is returned.

curveCalibrationBasket()

std::vector< std::pair< Period, std::string > > curveCalibrationBasket

(

)

const

IndexTerms and IndexCDSCurvenames used to calibrate the constituent curves

setIndexStartDateHint()

void setIndexStartDateHint

(

const QuantLib::Date &

d

)

const

If set this is used to derive the term instead of the schedule start date. A concession to bad trade setups really, where the start date is not set to the index effective date

indexStartDateHint()

const QuantLib::Date & indexStartDateHint

(

)

const

Get the index start date hint, or null if it was never set