#include <ored/portfolio/bondposition.hpp>

Inheritance diagram for BondPosition:

Collaboration diagram for BondPosition:

Public Member Functions
	BondPosition ()

	BondPosition (const Envelope &env, const BondPositionData &data)

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

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

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

const BondPositionData &	data () const

const std::vector< ore::data::BondBuilder::Result > &	bonds () const

const std::vector< Real > &	weights () const

const std::vector< Real > &	bidAskAdjustments () const

bool	isSingleCurrency () const

void	setNpvCurrencyConversion (const std::string &ccy, const Handle< Quote > &conversion)

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
BondPositionData	originalData_

BondPositionData	data_

std::vector< BondBuilder::Result >	bonds_

std::vector< Real >	weights_

std::vector< Real >	bidAskAdjustments_

std::vector< Handle< Quote > >	fxConversion_

bool	isSingleCurrency_

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

Definition at line 56 of file bondposition.hpp.

Constructor & Destructor Documentation

◆ BondPosition() [1/2]

BondPosition ( )

Definition at line 58 of file bondposition.hpp.

58: Trade("BondPosition") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ BondPosition() [2/2]

BondPosition	(	const Envelope &	env,
		const BondPositionData &	data
	)

Definition at line 59 of file bondposition.hpp.

60 : Trade("BondPosition", env), originalData_(data), data_(data) {}

ore::data::BondPosition::originalData_

BondPositionData originalData_

Definition: bondposition.hpp:81

ore::data::BondPosition::data_

BondPositionData data_

Definition: bondposition.hpp:81

ore::data::BondPosition::data

const BondPositionData & data() const

Definition: bondposition.hpp:70

Member Function Documentation

◆ build()

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

override

Definition at line 62 of file bondposition.cpp.

                                                                                         {
    DLOG("BondPosition::build() called for " << id());
 
    // ISDA taxonomy: not a derivative, but define the asset class at least
    // so that we can determine a TRS asset class that has a Bond position underlying
    additionalData_["isdaAssetClass"] = string("Credit");
    additionalData_["isdaBaseProduct"] = string("");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    bonds_.clear();
    weights_.clear();
    bidAskAdjustments_.clear();
    fxConversion_.clear();
 
    data_ = originalData_;
    data_.populateFromBondBasketReferenceData(engineFactory->referenceData());
 
    QL_REQUIRE(!data_.underlyings().empty(), "BondPosition::build(): no underlyings given");
 
    maturity_ = Date::minDate();
    for (auto const& u : data_.underlyings()) {
        try {
            bonds_.push_back(BondFactory::instance().build(engineFactory, engineFactory->referenceData(), u.name()));
        } catch (const std::exception& e) {
            QL_FAIL("Build failed for underlying " << u.type() << " (" << u.name() << "): " << e.what());
        }
        weights_.push_back(u.weight());
        bidAskAdjustments_.push_back(u.bidAskAdjustment());
        maturity_ = std::max(bonds_.back().bond->maturityDate(), maturity_);
    }
 
    // get fx quotes
 
    isSingleCurrency_ = true;
    npvCurrency_ = bonds_.front().currency;
    for (auto const& b : bonds_) {
        fxConversion_.push_back(engineFactory->market()->fxSpot(b.currency + npvCurrency_,
                                                                engineFactory->configuration(MarketContext::pricing)));
        if (npvCurrency_ != b.currency)
            isSingleCurrency_ = false;
    }
 
    // set instrument
    std::vector<QuantLib::ext::shared_ptr<QuantLib::Bond>> qlbonds;
    std::transform(bonds_.begin(), bonds_.end(), std::back_inserter(qlbonds),
                   [](const BondBuilder::Result& d) { return d.bond; });
    instrument_ = QuantLib::ext::make_shared<BondPositionInstrumentWrapper>(data_.quantity(), qlbonds, weights_,
                                                                    bidAskAdjustments_, fxConversion_);
 
    // leave legs empty, leave notional empty for the time being
    notional_ = Null<Real>();
    notionalCurrency_ = "";
 
    setSensitivityTemplate(std::string());
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 124 of file bondposition.cpp.

                                        {
    Trade::fromXML(node);
    originalData_.fromXML(XMLUtils::getChildNode(node, "BondBasketData"));
    data_ = originalData_;
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 130 of file bondposition.cpp.

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

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◆ underlyingIndices()

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

overridevirtual

Reimplemented from Trade.

Definition at line 137 of file bondposition.cpp.

                                                                                                             {
    std::map<AssetClass, std::set<std::string>> result;
    for (auto const& u : data_.underlyings()) {
        result[AssetClass::BOND].insert(u.name());
    }
    result[AssetClass::BOND_INDEX].insert(data().identifier());
    return result;
}

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◆ data()

const BondPositionData & data ( ) const

Definition at line 70 of file bondposition.hpp.

70{ return data_; }

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◆ bonds()

const std::vector< ore::data::BondBuilder::Result > & bonds ( ) const

Definition at line 71 of file bondposition.hpp.

71{ return bonds_; }

◆ weights()

const std::vector< Real > & weights ( ) const

Definition at line 72 of file bondposition.hpp.

72{ return weights_; }

◆ bidAskAdjustments()

const std::vector< Real > & bidAskAdjustments ( ) const

Definition at line 73 of file bondposition.hpp.

73{ return bidAskAdjustments_; }

◆ isSingleCurrency()

bool isSingleCurrency ( ) const

Definition at line 74 of file bondposition.hpp.

74{ return isSingleCurrency_; }

◆ setNpvCurrencyConversion()

void setNpvCurrencyConversion	(	const std::string &	ccy,
		const Handle< Quote > &	conversion
	)

we allow to set the npv currency to a different currency than the default npv currency = first asset's currency; in this case a conversion rate from the default to the new currency has to be provided

Definition at line 119 of file bondposition.cpp.

                                                                                                 {
    npvCurrency_ = ccy;
    QuantLib::ext::static_pointer_cast<BondPositionInstrumentWrapper>(instrument_)->setNpvCurrencyConversion(conversion);
}

Member Data Documentation

◆ originalData_

BondPositionData originalData_

private

Definition at line 81 of file bondposition.hpp.

◆ data_

BondPositionData data_

private

Definition at line 81 of file bondposition.hpp.

◆ bonds_

std::vector<BondBuilder::Result> bonds_

private

Definition at line 83 of file bondposition.hpp.

◆ weights_

std::vector<Real> weights_

private

Definition at line 84 of file bondposition.hpp.

◆ bidAskAdjustments_

std::vector<Real> bidAskAdjustments_

private

Definition at line 85 of file bondposition.hpp.

◆ fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 86 of file bondposition.hpp.

◆ isSingleCurrency_

bool isSingleCurrency_

private

Definition at line 87 of file bondposition.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BondPosition() [1/2]

◆ BondPosition() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

◆ data()

◆ bonds()

◆ weights()

◆ bidAskAdjustments()

◆ isSingleCurrency()

◆ setNpvCurrencyConversion()

Member Data Documentation

◆ originalData_

◆ data_

◆ bonds_

◆ weights_

◆ bidAskAdjustments_

◆ fxConversion_

◆ isSingleCurrency_