Equity Position instrument wrapper. More...

#include <ored/portfolio/bondposition.hpp>

Inheritance diagram for BondPositionInstrumentWrapper:

Collaboration diagram for BondPositionInstrumentWrapper:

Public Member Functions
	BondPositionInstrumentWrapper (const Real quantity, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Bond > > &bonds, const std::vector< Real > &weights, const std::vector< Real > &bidAskAdjstments, const std::vector< Handle< Quote > > &fxConversion={})

void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid. More...

void	reset () override
	reset is called every time a new path is about to be priced. More...

QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...

const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...

void	updateQlInstruments () override
	call update on enclosed instrument(s) More...

void	setNpvCurrencyConversion (const Handle< Quote > &npvCcyConversion)

Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper ()

	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

virtual	~InstrumentWrapper ()

virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid. More...

virtual void	reset ()=0
	reset is called every time a new path is about to be priced. More...

virtual QuantLib::Real	NPV () const =0
	Return the NPV of this instrument. More...

virtual const std::map< std::string, boost::any > &	additionalResults () const =0
	Return the additional results of this instrument. More...

QuantLib::Real	additionalInstrumentsNPV () const

virtual void	updateQlInstruments ()
	call update on enclosed instrument(s) More...

virtual bool	isOption ()
	is it an Option? More...

QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors. More...

Real	multiplier () const

virtual Real	multiplier2 () const

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const

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

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

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

void	resetPricingStats () const
	Reset pricing statistics. More...

Private Attributes
Real	quantity_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Bond > >	bonds_

std::vector< Real >	weights_

std::vector< Real >	bidAskAdjustments_

std::vector< Handle< Quote > >	fxConversion_

Handle< Quote >	npvCcyConversion_

Additional Inherited Members
Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_

Real	multiplier_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_

std::vector< Real >	additionalMultipliers_

std::size_t	numberOfPricings_ = 0

boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Detailed Description

Equity Position instrument wrapper.

Definition at line 91 of file bondposition.hpp.

Constructor & Destructor Documentation

◆ BondPositionInstrumentWrapper()

BondPositionInstrumentWrapper	(	const Real	quantity,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Bond > > &	bonds,
		const std::vector< Real > &	weights,
		const std::vector< Real > &	bidAskAdjstments,
		const std::vector< Handle< Quote > > &	fxConversion = `{}`
	)

Definition at line 146 of file bondposition.cpp.

    : quantity_(quantity), bonds_(bonds), weights_(weights), bidAskAdjustments_(bidAskAdjustments),
      fxConversion_(fxConversion) {
    QL_REQUIRE(bonds_.size() == weights_.size(), "BondPositionInstrumentWrapper: bonds size ("
                                                     << bonds_.size() << ") must match weights size ("
                                                     << weights_.size() << ")");
    QL_REQUIRE(bonds_.size() == bidAskAdjustments_.size(),
               "BondPositionInstrumentWrapper: bonds size (" << bonds_.size() << ") must match bidAskAdjustment size ("
                                                             << weights_.size() << ")");
    QL_REQUIRE(fxConversion_.empty() || fxConversion_.size() == bonds_.size(),
               "BondPositionInstrumentWrapper: fxConversion size ("
                   << fxConversion_.size() << ") must match bonds size (" << bonds_.size() << ")");
}

Member Function Documentation

◆ initialise()

void initialise ( const std::vector< QuantLib::Date > & dates )

overridevirtual

Initialise with the given date grid.

Implements InstrumentWrapper.

Definition at line 96 of file bondposition.hpp.

96{}

◆ reset()

void reset ( )

overridevirtual

reset is called every time a new path is about to be priced.

For path dependent Wrappers, this is when internal state should be reset

Implements InstrumentWrapper.

Definition at line 97 of file bondposition.hpp.

97{}

◆ NPV()

Real NPV ( ) const

overridevirtual

Return the NPV of this instrument.

Implements InstrumentWrapper.

Definition at line 166 of file bondposition.cpp.

                                              {
    Real result = 0.0;
    for (Size i = 0; i < bonds_.size(); ++i) {
        // - divide by current notional, because weights are supposed to include any amortization factors
        // - add bid ask adjustment to relative price in bond ccy
        Real tmp = quantity_ * (bonds_[i]->NPV() / bonds_[i]->notional() + bidAskAdjustments_[i]);
        if (!fxConversion_[i].empty()) {
            tmp *= fxConversion_[i]->value();
        }
        result += tmp * weights_[i];
    }
    if (!npvCcyConversion_.empty()) {
        result *= npvCcyConversion_->value();
    }
    return result;
}

◆ additionalResults()

const std::map< std::string, boost::any > & additionalResults ( ) const

overridevirtual

Return the additional results of this instrument.

Implements InstrumentWrapper.

Definition at line 183 of file bondposition.cpp.

                                                                                          {
    static std::map<std::string, boost::any> emptyMap;
    return emptyMap;
}

◆ updateQlInstruments()

void updateQlInstruments ( )

overridevirtual

call update on enclosed instrument(s)

Reimplemented from InstrumentWrapper.

Definition at line 100 of file bondposition.hpp.

100{}

◆ setNpvCurrencyConversion()

void setNpvCurrencyConversion ( const Handle< Quote > & npvCcyConversion )

Definition at line 162 of file bondposition.cpp.

                                                                                                  {
    npvCcyConversion_ = npvCcyConversion;
}

Member Data Documentation

◆ quantity_

Real quantity_

private

Definition at line 105 of file bondposition.hpp.

◆ bonds_

std::vector<QuantLib::ext::shared_ptr<QuantLib::Bond> > bonds_

private

Definition at line 106 of file bondposition.hpp.

◆ weights_

std::vector<Real> weights_

private

Definition at line 107 of file bondposition.hpp.

◆ bidAskAdjustments_

std::vector<Real> bidAskAdjustments_

private

Definition at line 108 of file bondposition.hpp.

◆ fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 109 of file bondposition.hpp.

◆ npvCcyConversion_

Handle<Quote> npvCcyConversion_

private

Definition at line 110 of file bondposition.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BondPositionInstrumentWrapper()

Member Function Documentation

◆ initialise()

◆ reset()

◆ NPV()

◆ additionalResults()

◆ updateQlInstruments()

◆ setNpvCurrencyConversion()

Member Data Documentation

◆ quantity_

◆ bonds_

◆ weights_

◆ bidAskAdjustments_

◆ fxConversion_

◆ npvCcyConversion_