CommodityPosition Class Reference

Serializable Commodity Position. More...

#include <ored/portfolio/commodityposition.hpp>

Inheritance diagram for CommodityPosition:

Collaboration diagram for CommodityPosition:

Public Member Functions
	CommodityPosition ()
	CommodityPosition (const Envelope &env, const CommodityPositionData &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 CommodityPositionData &	data () const
const std::vector< QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > > &	indices () const
const std::vector< Real > &	weights () 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
CommodityPositionData	data_
std::vector< QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > >	indices_
std::vector< Real >	weights_
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

Serializable Commodity Position.

Definition at line 52 of file commodityposition.hpp.

Constructor & Destructor Documentation

CommodityPosition() [1/2]

CommodityPosition

(

)

Definition at line 54 of file commodityposition.hpp.

: Trade("CommodityPosition") {}

CommodityPosition() [2/2]

CommodityPosition	(	const Envelope &	env,
		const CommodityPositionData &	data
	)

Definition at line 55 of file commodityposition.hpp.

: Trade("CommodityPosition", env), data_(data) {}

Member Function Documentation

build()

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

override

Definition at line 47 of file commodityposition.cpp.

                                                                                              {
 
    // ISDA taxonomy: not a derivative, but define the asset class at least
    // so that we can determine a TRS asset class that has an EQ position underlying
    additionalData_["isdaAssetClass"] = string("Commodity");
    additionalData_["isdaBaseProduct"] = string("");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    DLOG("CommodityPosition::build() called for " << id());
    QL_REQUIRE(!data_.underlyings().empty(), "CommodityPosition::build(): no underlyings given");
    indices_.clear();
    weights_.clear();
    fxConversion_.clear();
 
    std::vector<std::string> currencies;
    for (auto const& u : data_.underlyings()) {
        auto pts = engineFactory->market()->commodityPriceCurve(u.name(), engineFactory->configuration(MarketContext::pricing));
        QL_REQUIRE(!pts.empty() && *pts != nullptr, "CommodityPosition, curve missing for '"<<u.name()<<"'");
        QL_REQUIRE(!pts->currency().empty(),
                   "CommodityPosition, Currency not set in curve config for commodity curve'" << u.name() << "'. Skip this trade.");
        auto index = parseCommodityIndex(u.name(), false, pts, NullCalendar(), u.priceType() == "FutureSettlement");
        QuantLib::ext::shared_ptr<Conventions> conventions = InstrumentConventions::instance().conventions();
        pair<bool, QuantLib::ext::shared_ptr<Convention>> p = conventions->get(u.name(), Convention::Type::CommodityFuture);
        if (u.priceType() == "FutureSettlement"  && p.first) {
            auto convention = QuantLib::ext::dynamic_pointer_cast<CommodityFutureConvention>(p.second);
            ConventionsBasedFutureExpiry feCalc(*convention);
            Date expiry = Settings::instance().evaluationDate();
            Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
            if (u.deliveryRollDays() != Null<Size>()) {
                auto cal =
                    u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
                expiry = cal.advance(expiry, u.deliveryRollDays() * Days, convention->businessDayConvention());
            }
            expiry = feCalc.nextExpiry(true, expiry, nOffset);
            if (!u.futureContractMonth().empty()) {
                QL_REQUIRE(u.futureContractMonth().size() == 7,
                           "FutureContractMonth has invalid format, please use MonYYYY, where 'Mon' is a 3 letter "
                           "month abbreviation.");
                auto month = parseMonth(u.futureContractMonth().substr(0, 3));
                auto year = parseInteger(u.futureContractMonth().substr(3, 4));
                Date contractDate(1, month, year);
                expiry = feCalc.expiryDate(contractDate, nOffset, false);
            } else if (!u.futureExpiryDate().empty()) {
                expiry = parseDate(u.futureExpiryDate());
                expiry = feCalc.nextExpiry(true, expiry, nOffset, false);
            }
            index = index->clone(expiry, pts);
        }
        indices_.push_back(index);
        weights_.push_back(u.weight());
        currencies.push_back(pts->currency().code());
    }
 
    // get fx quotes
 
    isSingleCurrency_ = true;
    npvCurrency_ = currencies.front();
    for (auto const& c : currencies) {
        // we use fxSpot() as opposed to fxRate() here to ensure consistency between NPV() and the fixing of an
        // equivalent index representing the same basket
        fxConversion_.push_back(
            engineFactory->market()->fxSpot(c + npvCurrency_, engineFactory->configuration(MarketContext::pricing)));
        if (npvCurrency_ != c)
            isSingleCurrency_ = false;
    }
 
    // set instrument
    auto qlInstr =
        QuantLib::ext::make_shared<CommodityPositionInstrumentWrapper>(data_.quantity(), indices_, weights_, fxConversion_);
    qlInstr->setPricingEngine(QuantLib::ext::make_shared<CommodityPositionInstrumentWrapperEngine>());
    setSensitivityTemplate(std::string());
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(qlInstr);
 
    // no sensible way to set these members
    maturity_ = Date::maxDate();
    notional_ = Null<Real>();
    notionalCurrency_ = "";
    
    // leave legs empty
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 135 of file commodityposition.cpp.

                                             {
    Trade::fromXML(node);
    data_.fromXML(XMLUtils::getChildNode(node, "CommodityPositionData"));
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 140 of file commodityposition.cpp.

                                                        {
    XMLNode* node = Trade::toXML(doc);
    XMLUtils::appendNode(node, data_.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 147 of file commodityposition.cpp.

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

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data()

const CommodityPositionData & data

(

)

const

Definition at line 65 of file commodityposition.hpp.

{ return data_; }

indices()

const std::vector< QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > > & indices

(

)

const

Definition at line 66 of file commodityposition.hpp.

{ return indices_; }

weights()

const std::vector< Real > & weights

(

)

const

Definition at line 67 of file commodityposition.hpp.

{ return weights_; }

isSingleCurrency()

bool isSingleCurrency

(

)

const

Definition at line 68 of file commodityposition.hpp.

{ 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 129 of file commodityposition.cpp.

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

Member Data Documentation

data_

CommodityPositionData data_

private

Definition at line 75 of file commodityposition.hpp.

indices_

std::vector<QuantLib::ext::shared_ptr<QuantExt::CommodityIndex> > indices_

private

Definition at line 77 of file commodityposition.hpp.

weights_

std::vector<Real> weights_

private

Definition at line 78 of file commodityposition.hpp.

fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 79 of file commodityposition.hpp.

isSingleCurrency_

bool isSingleCurrency_

private

Definition at line 80 of file commodityposition.hpp.