CompositeTrade Class Reference

Composite Trade class. More...

#include <ored/portfolio/compositetrade.hpp>

Inheritance diagram for CompositeTrade:

Collaboration diagram for CompositeTrade:

Public Types
enum class	NotionalCalculation {   Sum , Mean , First , Last ,   Min , Max , Override }
	This enum decalres how the notional of the CompositeTrade should be calculated. More...

Public Member Functions
	CompositeTrade (const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Constructor requires a trade factory so that subtrades can be built. More...
	CompositeTrade (const string currency, const vector< QuantLib::ext::shared_ptr< Trade > > &trades, const string notionalCalculation="", const Real notionalOverride=0.0, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Fully-specified Constructor. More...
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...
Inspectors
const string &	currency () const
const string &	portfolioId () const
const bool &	portfolioBasket () const
const string &	notionalCalculation () const
const vector< QuantLib::ext::shared_ptr< Trade > > &	trades () const
Utility functions
Size	size () const
	returns the number of subtrades in the strategy More...
Real	calculateNotional (const vector< Real > &tradeNotionals) const
	calculates the CompositeTrade notional, when supplied with the notionals of the subtrades More...
Serialisation
virtual void	fromXML (XMLNode *node) override
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 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...
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...

trade overrides
string	currency_
Real	notionalOverride_
string	notionalCalculation_
vector< QuantLib::ext::shared_ptr< Trade > >	trades_
vector< Handle< Quote > >	fxRates_
vector< Handle< Quote > >	fxRatesNotional_
string	portfolioId_
bool	portfolioBasket_
std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate) const override
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager) const override
const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built More...
void	populateFromReferenceData (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager)
void	getTradesFromReferenceData (const QuantLib::ext::shared_ptr< PortfolioBasketReferenceDatum > &ptfReferenceDatum)

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

Composite Trade class.

CompositeTrades are single currency strategies consisting of independent financial instruments but regarded as a single position n the portfolio. Examples include straddles, butterflies, iron condors. The class can also be used to create representations of single contracts which can be replicated by linear combinations of other positions. E.g. Bond

• Bond Option = Callable Bond.

Definition at line 41 of file compositetrade.hpp.

Member Enumeration Documentation

NotionalCalculation

enum class NotionalCalculation

strong

This enum decalres how the notional of the CompositeTrade should be calculated.

Enumerator
Sum	The notional is calculated as the sum of notionals of subtrades.
Mean	The notional is calculated as the average of notionals of subtrades.
First	The notional is taken as the first subtrade notional.
Last	The notional is taken as the last subtrade notional.
Min	The notional is taken as the minimum subtrade notional.
Max	The notional is taken as the maximum subtrade notional.
Override	The notional is explicitly overridden.

Definition at line 44 of file compositetrade.hpp.

                                   {
        Sum,     ///< The notional is calculated as the sum of notionals of subtrades
        Mean,    ///< The notional is calculated as the average of notionals of subtrades
        First,   ///< The notional is taken as the first subtrade notional
        Last,    ///< The notional is taken as the last subtrade notional
        Min,     ///< The notional is taken as the minimum subtrade notional
        Max,     ///< The notional is taken as the maximum subtrade notional
        Override ///< The notional is explicitly overridden
    };

Constructor & Destructor Documentation

CompositeTrade() [1/2]

CompositeTrade	(	const Envelope &	env = Envelope(),
		const TradeActions &	ta = TradeActions()
	)

Constructor requires a trade factory so that subtrades can be built.

Definition at line 55 of file compositetrade.hpp.

        : Trade("CompositeTrade", env, ta) {
        reset();
    }

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CompositeTrade() [2/2]

CompositeTrade	(	const string	currency,
		const vector< QuantLib::ext::shared_ptr< Trade > > &	trades,
		const string	notionalCalculation = "",
		const Real	notionalOverride = 0.0,
		const Envelope &	env = Envelope(),
		const TradeActions &	ta = TradeActions()
	)

Fully-specified Constructor.

Definition at line 61 of file compositetrade.hpp.

        : Trade("CompositeTrade", env, ta), currency_(currency), notionalOverride_(notionalOverride),
          notionalCalculation_(notionalCalculation), trades_(trades) {}

Member Function Documentation

build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Implements Trade.

Definition at line 33 of file compositetrade.cpp.

                                                                                    {
    DLOG("Building Composite Trade: " << id());
    npvCurrency_ = currency_;
    QuantLib::ext::shared_ptr<MultiCcyCompositeInstrument> compositeInstrument =
    QuantLib::ext::make_shared<MultiCcyCompositeInstrument>();
    fxRates_.clear();
    fxRatesNotional_.clear();
    legs_.clear();
 
    populateFromReferenceData(engineFactory->referenceData());
 
    
    for (const QuantLib::ext::shared_ptr<Trade>& trade : trades_) {
 
        trade->reset();
        trade->build(engineFactory);
        trade->validate();
 
        if (sensitivityTemplate_.empty())
            setSensitivityTemplate(trade->sensitivityTemplate());
 
        Handle<Quote> fx = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0));
        if (trade->npvCurrency() != npvCurrency_)
            fx = engineFactory->market()->fxRate(trade->npvCurrency() + npvCurrency_);
        fxRates_.push_back(fx);
 
        Handle<Quote> fxNotional = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0));
        if (trade->notionalCurrency().empty()) {
            // trade is not guaranteed to provide a non-null notional, but if it does we require a notional currency
            if (trade->notional() != Null<Real>()) {
                StructuredTradeErrorMessage(
                    trade, "Error building composite trade '" + id() + "'",
                    "Component trade '" + trade->id() + "' does not provide notional currency for notional " +
                                                std::to_string(trade->notional()) + ". Assuming " + npvCurrency_ + ".")
                    .log();
            }
        } else if (trade->notionalCurrency() != npvCurrency_)
            fxNotional = engineFactory->market()->fxRate(trade->notionalCurrency() + npvCurrency_);
        fxRatesNotional_.push_back(fxNotional);
 
        QuantLib::ext::shared_ptr<InstrumentWrapper> instrumentWrapper = trade->instrument();
        Real effectiveMultiplier = instrumentWrapper->multiplier();
        if (auto optionWrapper = QuantLib::ext::dynamic_pointer_cast<ore::data::OptionWrapper>(instrumentWrapper)) {
            effectiveMultiplier *= optionWrapper->isLong() ? 1.0 : -1.0;
        }
 
        compositeInstrument->add(instrumentWrapper->qlInstrument(), effectiveMultiplier, fx);
        for (Size i = 0; i < instrumentWrapper->additionalInstruments().size(); ++i) {
            compositeInstrument->add(instrumentWrapper->additionalInstruments()[i],
                         instrumentWrapper->additionalMultipliers()[i]);
        }
 
        bool isDuplicate = false;
        try {
            if (instrumentWrapper->additionalResults().find("cashFlowResults") != trade->instrument()->additionalResults().end())
                isDuplicate = true;
        } catch (...) {}
        if (!isDuplicate) {
            // For cashflows
            legs_.insert(legs_.end(), trade->legs().begin(), trade->legs().end());
            legPayers_.insert(legPayers_.end(), trade->legPayers().begin(), trade->legPayers().end());
            legCurrencies_.insert(legCurrencies_.end(), trade->legCurrencies().begin(), trade->legCurrencies().end());
        }
 
        maturity_ = std::max(maturity_, trade->maturity());
    }
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(new VanillaInstrument(compositeInstrument));
 
    notionalCurrency_ = npvCurrency_;
 
    // set required fixings
    for (auto const& t : trades_)
        requiredFixings_.addData(t->requiredFixings());
}

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notional()

QuantLib::Real notional ( ) const

overridevirtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

Definition at line 108 of file compositetrade.cpp.

                                            {
    vector<Real> notionals;
    vector<Handle<Quote>> fxRates;
    // trade is not guaranteed to provide a non-null notional
    for (const QuantLib::ext::shared_ptr<Trade>& trade : trades_)
        notionals.push_back(trade->notional() != Null<Real>() ? trade->notional() : 0.0);
 
    // need to convert the component notionals to the composite currency.
    auto notionalConverter = [](const Real ntnl, const Handle<Quote>& fx) { return (ntnl * fx->value()); };
    std::transform(begin(notionals), end(notionals), begin(fxRates_), begin(notionals), notionalConverter);
    return calculateNotional(notionals);
}

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currency()

const string & currency

(

)

const

Definition at line 73 of file compositetrade.hpp.

{ return currency_; }

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portfolioId()

const string & portfolioId

(

)

const

Definition at line 74 of file compositetrade.hpp.

{ return portfolioId_; }

portfolioBasket()

const bool & portfolioBasket

(

)

const

Definition at line 75 of file compositetrade.hpp.

{ return portfolioBasket_; }

notionalCalculation()

const string & notionalCalculation

(

)

const

Definition at line 76 of file compositetrade.hpp.

{ return notionalCalculation_; }

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trades()

const vector< QuantLib::ext::shared_ptr< Trade > > & trades

(

)

const

Definition at line 77 of file compositetrade.hpp.

{ return trades_; }

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size()

Size size

(

)

const

returns the number of subtrades in the strategy

Definition at line 83 of file compositetrade.hpp.

{ return trades_.size(); }

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calculateNotional()

Real calculateNotional

(

const vector< Real > &

tradeNotionals

)

const

calculates the CompositeTrade notional, when supplied with the notionals of the subtrades

Definition at line 218 of file compositetrade.cpp.

                                                                          {
    if (notionalCalculation_ == "Sum" || notionalCalculation_ == "")
        return std::accumulate(notionals.begin(), notionals.end(), 0.0);
    else if (notionalCalculation_ == "Mean" || notionalCalculation_ == "Average")
        return std::accumulate(notionals.begin(), notionals.end(), 0.0) / notionals.size();
    else if (notionalCalculation_ == "First")
        return notionals[0];
    else if (notionalCalculation_ == "Last")
        return notionals.back();
    else if (notionalCalculation_ == "Min")
        return *std::min_element(notionals.begin(), notionals.end());
    else if (notionalCalculation_ == "Max")
        return *std::min_element(notionals.begin(), notionals.end());
    else if (notionalCalculation_ == "Override")
        return notionalOverride_;
    else
        QL_FAIL("Unsupported notional calculation type.");
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 121 of file compositetrade.cpp.

                                          {
    QL_REQUIRE("CompositeTrade" == XMLUtils::getChildValue(node, "TradeType", true),
               "Wrong trade type in composite trade builder.");
    Trade::fromXML(node);
    this->id() = XMLUtils::getAttribute(node, "id");
    // We read the data particular to composite trades
    XMLNode* compNode = XMLUtils::getChildNode(node, "CompositeTradeData");
    QL_REQUIRE(compNode, "Could not find CompositeTradeData node.");
    currency_ = XMLUtils::getChildValue(compNode, "Currency", true);
    // The notional logic is as follows:
    // If the notional override is specified then it is used, regardless of the "NotionalCalculation" field
    // Otherwise we calculate the notional as per the calculation specified
    if (XMLUtils::getChildNode(compNode, "NotionalOverride") != nullptr) {
        notionalOverride_ = XMLUtils::getChildValueAsDouble(compNode, "NotionalOverride");
        QL_REQUIRE(notionalOverride_ >= 0, "Non-negative notional expected.");
        DLOG("Using override notional of " << notionalOverride_);
        notionalCalculation_ = "Override";
    } else {
        // Convert everything to proper case to match xml schema
        notionalCalculation_ = boost::to_lower_copy(XMLUtils::getChildValue(compNode, "NotionalCalculation"));
        notionalCalculation_[0] = toupper(notionalCalculation_[0]);
        QL_REQUIRE(notionalCalculation_ != "Override", "Notional override value has not been provided.");
    }
 
    if (XMLUtils::getChildNode(compNode, "PortfolioBasket")) {
        portfolioBasket_ = XMLUtils::getChildValueAsBool(node, "PortfolioBasket", false);
    } else {
        portfolioBasket_ = false;
    }
 
    portfolioId_ = XMLUtils::getChildValue(compNode, "BasketName", false);
 
    XMLNode* tradesNode = XMLUtils::getChildNode(compNode, "Components");
    if (portfolioBasket_ && portfolioId_.empty()) {
        QL_REQUIRE(tradesNode, "Required a Portfolio Id or a Components Node.");
    }
    if ((portfolioBasket_ && portfolioId_.empty()) || (!portfolioBasket_)) {
    
        vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(tradesNode, "Trade");
        for (Size i = 0; i < nodes.size(); i++) {
            string tradeType = XMLUtils::getChildValue(nodes[i], "TradeType", true);
            string id = XMLUtils::getAttribute(nodes[i], "id");
            if (id == "") {
                WLOG("Empty component trade id being overwritten in composite trade " << this->id() << ".");
            }
            id = this->id() + "_" + std::to_string(i);
            DLOG("Parsing composite trade " << this->id() << " node " << i << " with id: " << id);
 
            QuantLib::ext::shared_ptr<Trade> trade;
            try {
                trade = TradeFactory::instance().build(tradeType);
                trade->id() = id;
                Envelope componentEnvelope;
                if (XMLNode* envNode = XMLUtils::getChildNode(nodes[i], "Envelope")) {
                    componentEnvelope.fromXML(envNode);
                }
                Envelope env = this->envelope();
                // the component trade's envelope is the main trade's envelope with possibly overwritten add fields
                for (auto const& [k, v] : componentEnvelope.fullAdditionalFields()) {
                    env.setAdditionalField(k,v);
                }
                    
                trade->setEnvelope(env);
                trade->fromXML(nodes[i]);
                trades_.push_back(trade);
                DLOG("Added Trade " << id << " (" << trade->id() << ")"
                                    << " type:" << tradeType << " to composite trade " << this->id() << ".");
            } catch (const std::exception& e) {
                StructuredTradeErrorMessage(
                    id, this->tradeType(),
                    "Failed to build subtrade with id '" + id + "' inside composite trade: ", e.what())
                    .log();
            }
        }
        LOG("Finished Parsing XML doc");
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 199 of file compositetrade.cpp.

                                                     {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* compNode = doc.allocNode("CompositeTradeData");
    XMLUtils::appendNode(node, compNode);
 
    XMLUtils::addChild(doc, compNode, "Currency", currency_);
    if (notionalCalculation_ == "Override")
        XMLUtils::addChild(doc, compNode, "NotionalOverride", notionalOverride_);
    XMLUtils::addChild(doc, compNode, "NotionalCalculation", notionalCalculation_);
 
    XMLNode* tradesNode = doc.allocNode("Components");
    XMLUtils::appendNode(compNode, tradesNode);
    for (auto trade : trades_) {
        XMLNode* subTradeNode = trade->toXML(doc);
        XMLUtils::appendNode(tradesNode, subTradeNode);
    }
    return node;
}

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fixings()

map< string, RequiredFixings::FixingDates > fixings ( const QuantLib::Date &  settlementDate ) const

overridevirtual

Return the fixings that will be requested in order to price this Trade given the settlementDate.

If the settlementDate is not provided, the current evaluation date is taken as the settlement date. If a Trade does not have any fixings, this method will return an empty map. The map key is the ORE name of the index and the map value is the set of fixing dates.

Warning:

This method will return an empty map if the Trade has not been built.

Reimplemented from Trade.

Definition at line 237 of file compositetrade.cpp.

                                                                                                {
 
    map<string, RequiredFixings::FixingDates>  result;
    for (const auto& t : trades_) {
        auto fixings = t->fixings(settlementDate);
        for (const auto& [indexName, fixingDates] : fixings) {
            result[indexName].addDates(fixingDates);
        }
    }
    return result;
}

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underlyingIndices()

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

overridevirtual

Reimplemented from Trade.

Definition at line 250 of file compositetrade.cpp.

                                                                                                               {
    
    map<AssetClass, std::set<std::string>> result;
    for (const auto& t : trades_) {
        auto underlyings = t->underlyingIndices(referenceDataManager);
        for (const auto& kv : underlyings) {
            result[kv.first].insert(kv.second.begin(), kv.second.end());
        }
    }
    return result;
}

additionalData()

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

overridevirtual

returns all additional data returned by the trade once built

Reimplemented from Trade.

Definition at line 262 of file compositetrade.cpp.

                                                                        {
    additionalData_.clear();
    Size counter = 0;
    for (auto const& t : trades_) {
        for (auto const& d : t->additionalData()) {
            additionalData_[d.first + "_" + std::to_string(counter)] = d.second;
        }
        ++counter;
    }
    return additionalData_;
}

populateFromReferenceData()

void populateFromReferenceData ( const QuantLib::ext::shared_ptr< ReferenceDataManager > &  referenceDataManager )

private

Definition at line 274 of file compositetrade.cpp.

                                                                                                               {
 
    if (!portfolioId_.empty() && referenceData != nullptr &&
        (referenceData->hasData(PortfolioBasketReferenceDatum::TYPE, portfolioId_))) {
        auto ptfRefData = QuantLib::ext::dynamic_pointer_cast<PortfolioBasketReferenceDatum>(
                referenceData->getData(PortfolioBasketReferenceDatum::TYPE, portfolioId_));
            QL_REQUIRE(ptfRefData, "could not cast to PortfolioBasketReferenceDatum, this is unexpected");
            getTradesFromReferenceData(ptfRefData);
    } else {
        DLOG("Could not get PortfolioBasketReferenceDatum for Id " << portfolioId_ << " leave data in trade unchanged");
    }
   
}

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getTradesFromReferenceData()

void getTradesFromReferenceData ( const QuantLib::ext::shared_ptr< PortfolioBasketReferenceDatum > &  ptfReferenceDatum )

private

Definition at line 288 of file compositetrade.cpp.

                                                                                   {
 
    DLOG("populating portfolio basket data from reference data");
    QL_REQUIRE(ptfReferenceDatum, "populateFromReferenceData(): empty cbo reference datum given");
 
    auto refData = ptfReferenceDatum->getTrades();
    trades_.clear();
    for (Size i = 0; i < refData.size(); i++) {
        trades_.push_back(refData[i]);
    }
    LOG("Finished Parsing XML doc");
 
}

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Member Data Documentation

currency_

string currency_

private

Definition at line 107 of file compositetrade.hpp.

notionalOverride_

Real notionalOverride_

private

Definition at line 108 of file compositetrade.hpp.

notionalCalculation_

string notionalCalculation_

private

Definition at line 109 of file compositetrade.hpp.

trades_

vector<QuantLib::ext::shared_ptr<Trade> > trades_

private

Definition at line 110 of file compositetrade.hpp.

fxRates_

vector<Handle<Quote> > fxRates_

private

Definition at line 111 of file compositetrade.hpp.

fxRatesNotional_

vector<Handle<Quote> > fxRatesNotional_

private

Definition at line 111 of file compositetrade.hpp.

portfolioId_

string portfolioId_

private

Definition at line 112 of file compositetrade.hpp.

portfolioBasket_

bool portfolioBasket_

private

Definition at line 113 of file compositetrade.hpp.