#include <ored/portfolio/bondrepo.hpp>

Inheritance diagram for BondRepo:

Collaboration diagram for BondRepo:

Public Member Functions
	BondRepo ()

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

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

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

const ore::data::BondData &	bondData () const

const ore::data::LegData &	cashLegData () const

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
ore::data::BondData	originalSecurityLegData_

ore::data::BondData	securityLegData_

ore::data::LegData	cashLegData_

QuantLib::ext::shared_ptr< ore::data::Bond >	securityLeg_

Leg	cashLeg_

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 34 of file bondrepo.hpp.

Constructor & Destructor Documentation

◆ BondRepo()

BondRepo ( )

Definition at line 36 of file bondrepo.hpp.

36: Trade("BondRepo") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

Member Function Documentation

◆ build()

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.

Definition at line 41 of file bondrepo.cpp.

                                                                              {
    DLOG("BondRepo::build() called for trade " << id());
 
    // get bond repo engine builder
 
    auto builder = QuantLib::ext::dynamic_pointer_cast<BondRepoEngineBuilderBase>(engineFactory->builder("BondRepo"));
    QL_REQUIRE(builder, "BondRepo::build(): engine builder is null");
 
    // build security leg (as a bond)
 
    securityLegData_ = originalSecurityLegData_;
    securityLegData_.populateFromBondReferenceData(engineFactory->referenceData());
    securityLeg_ = QuantLib::ext::make_shared<ore::data::Bond>(Envelope(), securityLegData_);
    securityLeg_->id() = id() + "_SecurityLeg";
    securityLeg_->build(engineFactory);
    QL_REQUIRE(!securityLeg_->legs().empty(), "BondRepo::build(): security leg has no cashflows");
 
    // build cash leg
 
    auto configuration = builder->configuration(MarketContext::pricing);
    auto legBuilder = engineFactory->legBuilder(cashLegData_.legType());
    cashLeg_ = legBuilder->buildLeg(cashLegData_, engineFactory, requiredFixings_, configuration);
 
    // add notional payment
 
    QL_REQUIRE(!cashLeg_.empty(), "BondRepo::build(): cash leg empty");
    auto lastCpn = QuantLib::ext::dynamic_pointer_cast<Coupon>(cashLeg_.back());
    QL_REQUIRE(lastCpn, "BondRepo::build(): expected coupon on cash leg");
    cashLeg_.push_back(QuantLib::ext::make_shared<QuantLib::SimpleCashFlow>(lastCpn->nominal(), lastCpn->date()));
 
    // add required fixings from bond
 
    requiredFixings_.addData(securityLeg_->requiredFixings());
 
    // set trade members
 
    npvCurrency_ = cashLegData_.currency();
    notionalCurrency_ = cashLegData_.currency();
    maturity_ = CashFlows::maturityDate(cashLeg_);
    notional_ = currentNotional(cashLeg_);
 
    // start with the cashleg's legs
    legs_ = {cashLeg_};
    legCurrencies_ = {cashLegData_.currency()};
    legPayers_ = {cashLegData_.isPayer()};
 
    // add security legs to trade legs (should be 1 leg only, but to be safe we copy all legs in the trade)
    legs_.insert(legs_.end(), securityLeg_->legs().begin(), securityLeg_->legs().end());
    legCurrencies_.insert(legCurrencies_.end(), securityLeg_->legCurrencies().begin(),
                          securityLeg_->legCurrencies().end());
    std::vector<bool> securityLegPayers(securityLeg_->legs().size(), !cashLegData_.isPayer());
    legPayers_.insert(legPayers_.end(), securityLegPayers.begin(), securityLegPayers.end());
 
    QL_REQUIRE(cashLegData_.currency() == securityLeg_->bondData().currency(),
               "BondRepo: cash leg currency (" << cashLegData_.currency() << ") must match security leg currency ("
                                               << securityLeg_->bondData().currency() << ")");
 
    auto qlBondInstr = QuantLib::ext::dynamic_pointer_cast<QuantLib::Bond>(securityLeg_->instrument()->qlInstrument());
    QL_REQUIRE(qlBondInstr, "BondRepo: could not cast to QuantLib::Bond instrument, this is unexpected");
    auto qlInstr = QuantLib::ext::make_shared<QuantExt::BondRepo>(cashLeg_, cashLegData_.isPayer(), qlBondInstr,
                                                          std::abs(securityLeg_->instrument()->multiplier()));
 
    qlInstr->setPricingEngine(builder->engine(securityLegData_.incomeCurveId()));
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(qlInstr);
    setSensitivityTemplate(*builder);
 
    // set additionalData
    additionalData_["underlyingSecurityId"] = securityLegData_.securityId();
    additionalData_["legType[1]"] = string("Cash");
    additionalData_["currentNotional[1]"] = notional_;
    additionalData_["originalNotional[1]"] = originalNotional(cashLeg_);
    additionalData_["notionalCurrency[1]"] = notionalCurrency_;
    additionalData_["legType[2]"] = string("Security");
    additionalData_["originalNotional[2]"] = securityLegData_.bondNotional();
    additionalData_["currentNotional[2]"] = currentNotional(qlBondInstr->cashflows()) * securityLegData_.bondNotional();
    additionalData_["notionalCurrency[2]"] = securityLegData_.currency();
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 119 of file bondrepo.cpp.

                                    {
    Trade::fromXML(node);
 
    XMLNode* dataNode = XMLUtils::getChildNode(node, "BondRepoData");
    QL_REQUIRE(dataNode, "BondRepoData node not found");
    XMLNode* bondNode = XMLUtils::getChildNode(dataNode, "BondData");
    QL_REQUIRE(bondNode, "BondData node not found");
    originalSecurityLegData_.fromXML(bondNode);
    securityLegData_ = originalSecurityLegData_;
 
    XMLNode* repoNode = XMLUtils::getChildNode(dataNode, "RepoData");
    QL_REQUIRE(repoNode, "RepoData node not found");
 
    XMLNode* legNode = XMLUtils::getChildNode(repoNode, "LegData");
    QL_REQUIRE(legNode, "LegData node not found");
    cashLegData_.fromXML(legNode);
}

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 137 of file bondrepo.cpp.

                                               {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* dataNode = doc.allocNode("BondRepoData");
    XMLUtils::appendNode(node, dataNode);
 
    XMLUtils::appendNode(dataNode, originalSecurityLegData_.toXML(doc));
 
    XMLNode* repoNode = doc.allocNode("RepoData");
    XMLUtils::appendNode(dataNode, repoNode);
    XMLUtils::appendNode(repoNode, cashLegData_.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

Add underlying Bond names.

Reimplemented from Trade.

Definition at line 152 of file bondrepo.cpp.

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

◆ bondData()

const ore::data::BondData & bondData ( ) const

Definition at line 47 of file bondrepo.hpp.

47{ return securityLegData_; }

◆ cashLegData()

const ore::data::LegData & cashLegData ( ) const

Definition at line 48 of file bondrepo.hpp.

48{ return cashLegData_; }

Member Data Documentation

◆ originalSecurityLegData_

ore::data::BondData originalSecurityLegData_

private

Definition at line 51 of file bondrepo.hpp.

◆ securityLegData_

ore::data::BondData securityLegData_

private

Definition at line 51 of file bondrepo.hpp.

◆ cashLegData_

ore::data::LegData cashLegData_

private

Definition at line 52 of file bondrepo.hpp.

◆ securityLeg_

QuantLib::ext::shared_ptr<ore::data::Bond> securityLeg_

private

Definition at line 54 of file bondrepo.hpp.

◆ cashLeg_

Leg cashLeg_

private

Definition at line 55 of file bondrepo.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BondRepo()

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

◆ bondData()

◆ cashLegData()

Member Data Documentation

◆ originalSecurityLegData_

◆ securityLegData_

◆ cashLegData_

◆ securityLeg_

◆ cashLeg_