#include <ored/portfolio/bond.hpp>

Inheritance diagram for Bond:

Collaboration diagram for Bond:

Public Member Functions
	Bond ()
	Default Constructor. More...

	Bond (Envelope env, const BondData &bondData)
	Constructor taking an envelope and bond data. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Trade interface. More...

const BondData &	bondData () const
	inspectors More...

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Bond names. More...

virtual void	fromXML (XMLNode *node) override
	XMLSerializable interface. More...

virtual XMLNode *	toXML (XMLDocument &doc) const override

Public Member Functions inherited from Trade
	Trade ()
	Default constructor. More...

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor. More...

virtual	~Trade ()
	Default destructor. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0

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. More...

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values. More...

string &	id ()
	Set the trade id. More...

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info. More...

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions. More...

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 string &	npvCurrency () const

virtual QuantLib::Real	notional () const
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

virtual string	notionalCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum. More...

virtual const std::map< std::string, boost::any > &	additionalData () const
	returns all additional data returned by the trade once built More...

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set. More...

virtual bool	hasCashflows () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const =0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string. More...

std::string	toXMLString () const
	Parse from XML string. More...

Private Attributes
BondData	originalBondData_

BondData	bondData_

Additional Inherited Members
Protected Member Functions inherited from Trade
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 QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Detailed Description

Serializable Bond.

Definition at line 153 of file bond.hpp.

Constructor & Destructor Documentation

◆ Bond() [1/2]

Bond ( )

explicit

Default Constructor.

Definition at line 156 of file bond.hpp.

156: Trade("Bond") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ Bond() [2/2]

Bond	(	Envelope	env,
		const BondData &	bondData
	)

Constructor taking an envelope and bond data.

Definition at line 159 of file bond.hpp.

160 : Trade("Bond", env), originalBondData_(bondData), bondData_(bondData) {}

ore::data::Bond::bondData_

BondData bondData_

Definition: bond.hpp:177

ore::data::Bond::originalBondData_

BondData originalBondData_

Definition: bond.hpp:177

Member Function Documentation

◆ build()

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

overridevirtual

Trade interface.

Implements Trade.

Definition at line 228 of file bond.cpp.

                                                                          {
    DLOG("Bond::build() called for trade " << id());
 
    // ISDA taxonomy: not a derivative, but define the asset class at least
    // so that we can determine a TRS asset class that has Bond underlyings
    additionalData_["isdaAssetClass"] = string("Credit");
    additionalData_["isdaBaseProduct"] = string("");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("Bond");
    QL_REQUIRE(builder, "Bond::build(): internal error, builder is null");
 
    bondData_ = originalBondData_;
    bondData_.populateFromBondReferenceData(engineFactory->referenceData());
 
    Date issueDate = parseDate(bondData_.issueDate());
    Calendar calendar = parseCalendar(bondData_.calendar());
    QL_REQUIRE(!bondData_.settlementDays().empty(),
               "no bond settlement days given, if reference data is used, check if securityId '"
                   << bondData_.securityId() << "' is present and of type Bond.");
    Natural settlementDays = parseInteger(bondData_.settlementDays());
    QuantLib::ext::shared_ptr<QuantLib::Bond> bond;
 
    std::string openEndDateStr = builder->modelParameter("OpenEndDateReplacement", {}, false, "");
    Date openEndDateReplacement = getOpenEndDateReplacement(openEndDateStr, calendar);
    Real mult = bondData_.bondNotional() * (bondData_.isPayer() ? -1.0 : 1.0);
    std::vector<Leg> separateLegs;
    if (bondData_.zeroBond()) { // Zero coupon bond
        bond.reset(new QuantLib::ZeroCouponBond(settlementDays, calendar, bondData_.faceAmount(),
                                                parseDate(bondData_.maturityDate())));
    } else { // Coupon bond
        for (Size i = 0; i < bondData_.coupons().size(); ++i) {
            Leg leg;
            auto configuration = builder->configuration(MarketContext::pricing);
            auto legBuilder = engineFactory->legBuilder(bondData_.coupons()[i].legType());
            leg = legBuilder->buildLeg(bondData_.coupons()[i], engineFactory, requiredFixings_, configuration,
                                       openEndDateReplacement);
            separateLegs.push_back(leg);
        } // for coupons_
        Leg leg = joinLegs(separateLegs);
        bond.reset(new QuantLib::Bond(settlementDays, calendar, issueDate, leg));
    }
 
    Currency currency = parseCurrency(bondData_.currency());
    QuantLib::ext::shared_ptr<BondEngineBuilder> bondBuilder = QuantLib::ext::dynamic_pointer_cast<BondEngineBuilder>(builder);
    QL_REQUIRE(bondBuilder, "No Builder found for Bond: " << id());
    bond->setPricingEngine(bondBuilder->engine(currency, bondData_.creditCurveId(), bondData_.hasCreditRisk(),
                                               bondData_.securityId(), bondData_.referenceCurveId()));
    setSensitivityTemplate(*bondBuilder);
    instrument_.reset(new VanillaInstrument(bond, mult));
 
    npvCurrency_ = bondData_.currency();
    maturity_ = bond->cashflows().back()->date();
    notional_ = currentNotional(bond->cashflows());
    notionalCurrency_ = bondData_.currency();
 
    issuer_ = bondData_.issuerId();
 
    // Add legs (only 1)
    legs_ = {bond->cashflows()};
    legCurrencies_ = {npvCurrency_};
    legPayers_ = {bondData_.isPayer()};
 
    DLOG("Bond::build() finished for trade " << id());
}

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◆ bondData()

const BondData & bondData ( ) const

inspectors

Definition at line 166 of file bond.hpp.

166{ return bondData_; }

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◆ underlyingIndices()

std::map< AssetClass, std::set< std::string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager = nullptr ) const

overridevirtual

Add underlying Bond names.

Reimplemented from Trade.

Definition at line 309 of file bond.cpp.

                                                                                                     {
    std::map<AssetClass, std::set<std::string>> result;
    result[AssetClass::BOND] = {bondData_.securityId()};
    return result;
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

XMLSerializable interface.

Reimplemented from Trade.

Definition at line 296 of file bond.cpp.

                                {
    Trade::fromXML(node);
    originalBondData_.fromXML(XMLUtils::getChildNode(node, "BondData"));
    bondData_ = originalBondData_;
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 302 of file bond.cpp.

                                           {
    XMLNode* node = Trade::toXML(doc);
    XMLUtils::appendNode(node, originalBondData_.toXML(doc));
    return node;
}

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Member Data Documentation

◆ originalBondData_

BondData originalBondData_

private

Definition at line 177 of file bond.hpp.

◆ bondData_

BondData bondData_

private

Definition at line 177 of file bond.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Bond() [1/2]

◆ Bond() [2/2]

Member Function Documentation

◆ build()

◆ bondData()

◆ underlyingIndices()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ originalBondData_

◆ bondData_