Portfolio Class Reference

Serializable portfolio. More...

#include <ored/portfolio/portfolio.hpp>

Inheritance diagram for Portfolio:

Collaboration diagram for Portfolio:

Public Member Functions
	Portfolio (bool buildFailedTrades=true, bool ignoreTradeBuildFail=false)
	Default constructor. More...
void	add (const QuantLib::ext::shared_ptr< Trade > &trade)
	Add a trade to the portfolio. More...
bool	has (const string &id)
	Check if a trade id is already in the portfolio. More...
QuantLib::ext::shared_ptr< Trade >	get (const std::string &id) const
void	clear ()
	Clear the portfolio. More...
void	reset ()
	Reset all trade data. More...
QuantLib::Size	size () const
	Portfolio size. More...
bool	empty () const
void	fromXML (XMLNode *node) override
	XMLSerializable interface. More...
XMLNode *	toXML (XMLDocument &doc) const override
bool	remove (const std::string &tradeID)
	Remove specified trade from the portfolio. More...
void	removeMatured (const QuantLib::Date &asof)
	Remove matured trades from portfolio for a given date, each removal is logged with an Alert. More...
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &, const std::string &context="unspecified", const bool emitStructuredError=true)
	Call build on all trades in the portfolio, the context is included in error messages. More...
QuantLib::Date	maturity () const
	Calculates the maturity of the portfolio. More...
const std::map< std::string, QuantLib::ext::shared_ptr< Trade > > &	trades () const
	Return the map tradeId -> trade. More...
std::set< std::string >	ids () const
	Build a set of tradeIds. More...
std::map< std::string, std::string >	nettingSetMap () const
	Build a map from trade Ids to NettingSet. More...
std::set< std::string >	counterparties () const
	Build a set of all counterparties in the portfolio. More...
std::map< std::string, std::set< std::string > >	counterpartyNettingSets () const
	Build a map from counterparty to NettingSet. More...
std::set< std::string >	portfolioIds () const
	Compute set of portfolios. More...
bool	hasNettingSetDetails () const
	Check if at least one trade in the portfolio uses the NettingSetDetails node, and not just NettingSetId. More...
bool	buildFailedTrades () const
	Does this portfolio build failed trades? More...
bool	ignoreTradeBuildFail () const
	Keep trade in the portfolio even after build fail. More...
std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr)
std::set< std::string >	underlyingIndices (AssetClass assetClass, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr)
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
bool	buildFailedTrades_
bool	ignoreTradeBuildFail_
std::map< std::string, QuantLib::ext::shared_ptr< Trade > >	trades_
std::map< AssetClass, std::set< std::string > >	underlyingIndicesCache_

Detailed Description

Serializable portfolio.

Definition at line 43 of file portfolio.hpp.

Constructor & Destructor Documentation

Portfolio()

Portfolio ( bool  buildFailedTrades = true, bool  ignoreTradeBuildFail = false  )

explicit

Default constructor.

Definition at line 46 of file portfolio.hpp.

        : buildFailedTrades_(buildFailedTrades), ignoreTradeBuildFail_(ignoreTradeBuildFail) {}

Member Function Documentation

add()

void add

(

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

trade

)

Add a trade to the portfolio.

Definition at line 186 of file portfolio.cpp.

                                                             {
    QL_REQUIRE(!has(trade->id()), "Attempted to add a trade to the portfolio with an id, which already exists.");
    underlyingIndicesCache_.clear();
    trades_[trade->id()] = trade;
}

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has()

bool has

(

const string &

id

)

Check if a trade id is already in the portfolio.

Definition at line 192 of file portfolio.cpp.

{ return trades_.find(id) != trades_.end(); }

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get()

QuantLib::ext::shared_ptr< Trade > get

(

const std::string &

id

)

const

Get a Trade with the given id from the portfolio

Remarks

returns a nullptr if no trade found with the given id

Definition at line 194 of file portfolio.cpp.

                                                                  {
    auto it = trades_.find(id);
    if (it != trades_.end())
        return it->second;
    else
        return nullptr;
}

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clear()

void clear

(

)

Clear the portfolio.

Definition at line 39 of file portfolio.cpp.

                      {
    trades_.clear();
    underlyingIndicesCache_.clear();
}

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reset()

void reset

(

)

Reset all trade data.

Definition at line 44 of file portfolio.cpp.

                      {
    LOG("Reset portfolio of size " << trades_.size());
    for (auto [id, t] : trades_)
        t->reset();
}

size()

QuantLib::Size size

(

)

const

Portfolio size.

Definition at line 68 of file portfolio.hpp.

{ return trades_.size(); }

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empty()

bool empty

(

)

const

Definition at line 70 of file portfolio.hpp.

{ return trades_.empty(); }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

XMLSerializable interface.

Implements XMLSerializable.

Definition at line 50 of file portfolio.cpp.

                                     {
    XMLUtils::checkNode(node, "Portfolio");
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(node, "Trade");
    for (Size i = 0; i < nodes.size(); i++) {
        string tradeType = XMLUtils::getChildValue(nodes[i], "TradeType", true);
 
        // Get the id attribute
        string id = XMLUtils::getAttribute(nodes[i], "id");
        QL_REQUIRE(id != "", "No id attribute in Trade Node");
        DLOG("Parsing trade id:" << id);
        
        QuantLib::ext::shared_ptr<Trade> trade;
        bool failedToLoad = true;
        try {
            trade = TradeFactory::instance().build(tradeType);
            trade->fromXML(nodes[i]);
            trade->id() = id;
            add(trade);
            DLOG("Added Trade " << id << " (" << trade->id() << ")"
                                << " type:" << tradeType);
            failedToLoad = false;
        } catch (std::exception& ex) {
            StructuredTradeErrorMessage(id, tradeType, "Error parsing Trade XML", ex.what()).log();
        }
 
        // If trade loading failed, then insert a dummy trade with same id and envelope
        if (failedToLoad && buildFailedTrades_) {
            try {
                trade = TradeFactory::instance().build("Failed");
                // this loads only type, id and envelope, but type will be set to the original trade's type
                trade->fromXML(nodes[i]);
                // create a dummy trade of type "Dummy"
                QuantLib::ext::shared_ptr<FailedTrade> failedTrade = QuantLib::ext::make_shared<FailedTrade>();
                // copy id and envelope
                failedTrade->id() = id;
                failedTrade->setUnderlyingTradeType(tradeType);
                failedTrade->setEnvelope(trade->envelope());
                // and add it to the portfolio
                add(failedTrade);
                WLOG("Added trade id " << failedTrade->id() << " type " << failedTrade->tradeType()
                                       << " for original trade type " << trade->tradeType());
            } catch (std::exception& ex) {
                StructuredTradeErrorMessage(id, tradeType, "Error parsing type and envelope", ex.what()).log();
            }
        }
    }
    LOG("Finished Parsing XML doc");
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 99 of file portfolio.cpp.

                                                {
    XMLNode* node = doc.allocNode("Portfolio");
    for (auto& t : trades_)
        XMLUtils::appendNode(node, t.second->toXML(doc));
    return node;
}

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remove()

bool remove

(

const std::string &

tradeID

)

Remove specified trade from the portfolio.

Definition at line 106 of file portfolio.cpp.

                                               {
    underlyingIndicesCache_.clear();
    return trades_.erase(tradeID) > 0;
}

removeMatured()

void removeMatured

(

const QuantLib::Date &

asof

)

Remove matured trades from portfolio for a given date, each removal is logged with an Alert.

Definition at line 111 of file portfolio.cpp.

                                              {
    for (auto it = trades_.begin(); it != trades_.end(); /* manual */) {
        if ((*it).second->isExpired(asof)) {
            StructuredTradeWarningMessage((*it).second, "", "Trade is Matured").log();
            it=trades_.erase(it);
        } else {
            ++it;
        }
    }
}

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build()

void build	(	const QuantLib::ext::shared_ptr< EngineFactory > &	engineFactory,
		const std::string &	context = "unspecified",
		const bool	emitStructuredError = true
	)

Call build on all trades in the portfolio, the context is included in error messages.

Definition at line 122 of file portfolio.cpp.

                                                      {
    LOG("Building Portfolio of size " << trades_.size() << " for context = '" << context << "'");
    auto trade = trades_.begin();
    Size initialSize = trades_.size();
    Size failedTrades = 0;
    while (trade != trades_.end()) {
        auto [ft, success] = buildTrade((*trade).second, engineFactory, context, ignoreTradeBuildFail(),
                                        buildFailedTrades(), emitStructuredError);
        if (success) {
            ++trade;
        } else if (ft) {
            (*trade).second = ft;
            ++failedTrades;
            ++trade;
        } else {
            trade = trades_.erase(trade);
        }
    }
    LOG("Built Portfolio. Initial size = " << initialSize << ", size now " << trades_.size() << ", built "
                                           << failedTrades << " failed trades, context is " + context);
 
    QL_REQUIRE(trades_.size() > 0, "Portfolio does not contain any built trades, context is '" + context + "'");
}

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maturity()

Date maturity

(

)

const

Calculates the maturity of the portfolio.

Definition at line 147 of file portfolio.cpp.

                               {
    QL_REQUIRE(trades_.size() > 0, "Cannot get maturity of an empty portfolio");
    Date mat = Date::minDate();
    for (const auto& t : trades_)
        mat = std::max(mat, t.second->maturity());
    return mat;
}

trades()

const std::map< std::string, QuantLib::ext::shared_ptr< Trade > > & trades

(

)

const

Return the map tradeId -> trade.

Definition at line 162 of file portfolio.cpp.

{ return trades_; }

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ids()

set< string > ids

(

)

const

Build a set of tradeIds.

Definition at line 155 of file portfolio.cpp.

                                 {
    set<string> ids;
    for (const auto& [tradeId, _] : trades_)
        ids.insert(tradeId);
    return ids;
}

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nettingSetMap()

map< string, string > nettingSetMap

(

)

const

Build a map from trade Ids to NettingSet.

Definition at line 164 of file portfolio.cpp.

                                                   {
    map<string, string> nettingSetMap;
    for (const auto& t : trades_)
        nettingSetMap[t.second->id()] = t.second->envelope().nettingSetId();
    return nettingSetMap;
}

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counterparties()

std::set< std::string > counterparties

(

)

const

Build a set of all counterparties in the portfolio.

Definition at line 171 of file portfolio.cpp.

                                                  {
    set<string> counterparties;
    for (const auto& t : trades_)
        counterparties.insert(t.second->envelope().counterparty());
    return counterparties;
}

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counterpartyNettingSets()

map< string, set< string > > counterpartyNettingSets

(

)

const

Build a map from counterparty to NettingSet.

Definition at line 178 of file portfolio.cpp.

                                                                  {
    map<string, set<string>> cpNettingSets;
    for (const auto& [tradeId, trade] : trades()) {
        cpNettingSets[trade->envelope().counterparty()].insert(trade->envelope().nettingSetId());
    }
    return cpNettingSets;
}

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portfolioIds()

std::set< std::string > portfolioIds

(

)

const

Compute set of portfolios.

Definition at line 202 of file portfolio.cpp.

                                                {
    std::set<std::string> portfolioIds;
    for (const auto& [tradeId, trade] : trades()) {
        portfolioIds.insert(trade->portfolioIds().begin(), trade->portfolioIds().end());
    }
    return portfolioIds;
}

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hasNettingSetDetails()

bool hasNettingSetDetails

(

)

const

Check if at least one trade in the portfolio uses the NettingSetDetails node, and not just NettingSetId.

Definition at line 210 of file portfolio.cpp.

                                           {
    bool hasNettingSetDetails = false;
    for (const auto& t : trades_)
        if (!t.second->envelope().nettingSetDetails().emptyOptionalFields()) {
            hasNettingSetDetails = true;
            break;
        }
    return hasNettingSetDetails;
}

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buildFailedTrades()

bool buildFailedTrades

(

)

const

Does this portfolio build failed trades?

Definition at line 111 of file portfolio.hpp.

{ return buildFailedTrades_; }

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ignoreTradeBuildFail()

bool ignoreTradeBuildFail

(

)

const

Keep trade in the portfolio even after build fail.

Definition at line 114 of file portfolio.hpp.

{ return ignoreTradeBuildFail_; }

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fixings()

map< string, RequiredFixings::FixingDates > fixings

(

const QuantLib::Date &

settlementDate = QuantLib::Date()

)

const

Return the fixings that will be requested in order to price every Trade in this Portfolio given the settlementDate. 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 Portfolio has not been built.

Definition at line 220 of file portfolio.cpp.

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

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underlyingIndices() [1/2]

std::map< AssetClass, std::set< std::string > > underlyingIndices

(

const QuantLib::ext::shared_ptr< ReferenceDataManager > &

referenceDataManager = nullptr

)

Returns the names of the underlying instruments for each asset class

Definition at line 234 of file portfolio.cpp.

                                                                                                    {
 
    if (!underlyingIndicesCache_.empty())
        return underlyingIndicesCache_;
 
    map<AssetClass, std::set<std::string>> result;
 
    for (const auto& t : trades_) {
        try {
            auto underlyings = t.second->underlyingIndices(referenceDataManager);
            for (const auto& kv : underlyings) {
                result[kv.first].insert(kv.second.begin(), kv.second.end());
            }
        } catch (const std::exception& e) {
            StructuredTradeErrorMessage(t.second->id(), t.second->tradeType(), "Error retrieving underlying indices",
                                        e.what())
                .log();
        }
    }
    underlyingIndicesCache_ = result;
    return underlyingIndicesCache_;
}

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underlyingIndices() [2/2]

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

Definition at line 258 of file portfolio.cpp.

                                                                                                      {
 
    std::map<AssetClass, std::set<std::string>> indices = underlyingIndices(referenceDataManager);
    auto it = indices.find(assetClass);
    if (it != indices.end()) {
        return it->second;
    }
    return std::set<std::string>();
}

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Member Data Documentation

buildFailedTrades_

bool buildFailedTrades_

private

Definition at line 132 of file portfolio.hpp.

ignoreTradeBuildFail_

bool ignoreTradeBuildFail_

private

Definition at line 132 of file portfolio.hpp.

trades_

std::map<std::string, QuantLib::ext::shared_ptr<Trade> > trades_

private

Definition at line 133 of file portfolio.hpp.

underlyingIndicesCache_

std::map<AssetClass, std::set<std::string> > underlyingIndicesCache_

private

Definition at line 134 of file portfolio.hpp.