TRSWrapper Class Reference

TRS Instrument Wrapper. More...

#include <ored/portfolio/trswrapper.hpp>

Inheritance diagram for TRSWrapper:

Classes
class	arguments
class	results
class	engine

Public Member Functions

TRSWrapper (const std::vector< QuantLib::ext::shared_ptr< ore::data::Trade > > &underlying, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > &underlyingIndex, const std::vector< QuantLib::Real > underlyingMultiplier, const bool includeUnderlyingCashflowsInReturn, const QuantLib::Real initialPrice, const QuantLib::Real portfolioInitialPrice, const std::string portfolioId, const QuantLib::Currency &initialPriceCurrency, const std::vector< QuantLib::Currency > &assetCurrency, const QuantLib::Currency &returnCurrency, const std::vector< QuantLib::Date > &valuationSchedule, const std::vector< QuantLib::Date > &paymentSchedule, const std::vector< QuantLib::Leg > &fundingLegs, const std::vector< TRS::FundingData::NotionalType > &fundingNotionalTypes, const QuantLib::Currency &fundingCurrency, const QuantLib::Size fundingResetGracePeriod, const bool paysAsset, const bool paysFunding, const QuantLib::Leg &additionalCashflowLeg, const bool additionalCashflowLegPayer, const QuantLib::Currency &additionalCashflowCurrency, const std::vector< QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndexAsset, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndexReturn, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndexAdditionalCashflows, const std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &addFxindices, const QuantLib::ext::optional< TRS::FXConversion > &fxConversion)

Instrument interface
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override

Detailed Description

TRS Instrument Wrapper.