#include <ored/portfolio/trade.hpp>

Inheritance diagram for Trade:

Collaboration diagram for Trade:

Public Member Functions
	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

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

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...

Setters
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...

Inspectors
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

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...

Utility
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_

string	id_

Envelope	envelope_

TradeActions	tradeActions_

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...

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)

Detailed Description

Trade base class.

Instrument interface to pricing and risk applications Derived classes should

contain additional serializable data classes
implement a build() function that parses data and constructs QuantLib and QuantExt objects

Definition at line 55 of file trade.hpp.

Constructor & Destructor Documentation

◆ Trade() [1/2]

Trade ( )

Default constructor.

Definition at line 59 of file trade.hpp.

59{}

◆ Trade() [2/2]

Trade	(	const string &	tradeType,
		const Envelope &	env = `Envelope()`,
		const TradeActions &	ta = `TradeActions()`
	)

Base class constructor.

Definition at line 62 of file trade.hpp.

        : tradeType_(tradeType), envelope_(env), tradeActions_(ta) {
        reset();
    }

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◆ ~Trade()

virtual ~Trade ( )

virtual

Default destructor.

Definition at line 68 of file trade.hpp.

68{}

Member Function Documentation

◆ build()

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

pure virtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implemented in Accumulator, AsianOption, Autocallable_01, BasketOption, BasketVarianceSwap, BestEntryOption, Bond, BondOption, BondRepo, BondTRS, CapFloor, CBO, SyntheticCDO, CommodityForward, CompositeTrade, CreditDefaultSwap, CrossCurrencySwap, DoubleDigitalOption, EquityDigitalOption, EquityDoubleTouchOption, EquityEuropeanBarrierOption, EquityForward, EquityFutureOption, EquityOption, EquityOutperformanceOption, EquitySwap, EquityTouchOption, EuropeanOptionBarrier, ForwardBond, FxAverageForward, FxDigitalBarrierOption, FxDigitalOption, FxDoubleTouchOption, FxEuropeanBarrierOption, FxForward, FxKIKOBarrierOption, FxOption, FxSwap, FxTouchOption, GenericBarrierOption, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, InflationSwap, KnockOutSwap, MultiLegOption, PairwiseVarSwap, PerformanceOption_01, RainbowOption, ScriptedTrade, Swap, Swaption, TaRF, TRS, VanillaOptionTrade, WindowBarrierOption, WorstOfBasketSwap, CreditDefaultSwapOption, CommodityDigitalOption, CommodityOption, CreditLinkedSwap, and ForwardRateAgreement.

◆ fixings()

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

virtual

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 in CompositeTrade.

Definition at line 85 of file trade.hpp.

                                                                       {
        return requiredFixings_.fixingDatesIndices(settlementDate);
    }

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◆ requiredFixings()

const RequiredFixings & requiredFixings ( ) const

Return the full required fixing information

Definition at line 90 of file trade.hpp.

90{ return requiredFixings_; }

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◆ underlyingIndices()

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

virtual

Reimplemented in CompositeTrade, EquityGenericBarrierOption, Ascot, AsianOption, Bond, BondOption, BondPosition, BondRepo, BondTRS, CBO, CommodityAveragePriceOption, CommodityDigitalAveragePriceOption, CommodityDigitalOption, CommodityForward, CommodityOption, CommodityOptionStrip, CommodityPosition, CommoditySpreadOption, CommoditySwaption, ConvertibleBond, EquityForward, EquityFutureOption, EquityOption, EquityOptionPosition, EquityPosition, ForwardBond, EqPairwiseVarSwap, ScriptedTrade, Swap, Swaption, TRS, EqVarSwap, and ComVarSwap.

Definition at line 93 of file trade.hpp.

                                                                                                               {
        return {};
    }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Reimplemented in BalanceGuaranteedSwap, BarrierOption, FxOptionWithBarrier, EquityOptionWithBarrier, CallableSwap, CliquetOption, CommodityAveragePriceOption, CommodityDigitalAveragePriceOption, CommodityOptionStrip, CommoditySwap, CommoditySwaption, FailedTrade, FlexiSwap, IndexCreditDefaultSwapOption, RiskParticipationAgreement, Accumulator, Ascot, AsianOption, Autocallable_01, BasketOption, BasketVarianceSwap, BestEntryOption, Bond, BondOption, BondPosition, BondRepo, BondTRS, CapFloor, CBO, SyntheticCDO, CommodityDigitalOption, CommodityForward, CommodityOption, CommodityPosition, CommoditySpreadOption, CompositeTrade, ConvertibleBond, CreditDefaultSwap, CreditDefaultSwapOption, CreditLinkedSwap, DoubleDigitalOption, EquityDigitalOption, EquityDoubleTouchOption, EquityEuropeanBarrierOption, EquityForward, EquityFutureOption, EquityOption, EquityOptionPosition, EquityOutperformanceOption, EquityPosition, EquityTouchOption, EuropeanOptionBarrier, ForwardBond, ForwardRateAgreement, FxAverageForward, FxDigitalBarrierOption, FxDigitalOption, FxDoubleTouchOption, FxEuropeanBarrierOption, FxForward, FxKIKOBarrierOption, FxOption, FxSwap, FxTouchOption, GenericBarrierOption, IndexCreditDefaultSwap, KnockOutSwap, MultiLegOption, PairwiseVarSwap, PerformanceOption_01, RainbowOption, ScriptedTrade, Swap, Swaption, TaRF, TRS, VarSwap, WindowBarrierOption, and WorstOfBasketSwap.

Definition at line 34 of file trade.cpp.

                                 {
    XMLUtils::checkNode(node, "Trade");
    tradeType_ = XMLUtils::getChildValue(node, "TradeType", true);
    if (XMLNode* envNode = XMLUtils::getChildNode(node, "Envelope")) {
        envelope_.fromXML(envNode);
    }
    tradeActions_.clear();
    XMLNode* taNode = XMLUtils::getChildNode(node, "TradeActions");
    if (taNode)
        tradeActions_.fromXML(taNode);
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Reimplemented in BalanceGuaranteedSwap, BarrierOption, FxOptionWithBarrier, EquityOptionWithBarrier, CallableSwap, CliquetOption, CommodityAveragePriceOption, CommodityDigitalAveragePriceOption, CommodityOptionStrip, CommoditySwap, CommoditySwaption, CreditLinkedSwap, FailedTrade, FlexiSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, RiskParticipationAgreement, ScriptedTrade, VarSwap, Accumulator, Ascot, AsianOption, Autocallable_01, BasketOption, BasketVarianceSwap, BestEntryOption, Bond, BondOption, BondPosition, BondRepo, BondTRS, CapFloor, CBO, SyntheticCDO, CommodityDigitalOption, CommodityForward, CommodityOption, CommodityPosition, CommoditySpreadOption, CompositeTrade, ConvertibleBond, CreditDefaultSwap, CreditDefaultSwapOption, DoubleDigitalOption, EquityDigitalOption, EquityDoubleTouchOption, EquityEuropeanBarrierOption, EquityForward, EquityFutureOption, EquityOption, EquityOptionPosition, EquityOutperformanceOption, EquityPosition, EquityTouchOption, EuropeanOptionBarrier, ForwardBond, ForwardRateAgreement, FxAverageForward, FxDigitalBarrierOption, FxDigitalOption, FxDoubleTouchOption, FxEuropeanBarrierOption, FxForward, FxKIKOBarrierOption, FxOption, FxSwap, FxTouchOption, GenericBarrierOption, KnockOutSwap, MultiLegOption, PairwiseVarSwap, PerformanceOption_01, RainbowOption, Swap, Swaption, TaRF, TRS, WindowBarrierOption, and WorstOfBasketSwap.

Definition at line 46 of file trade.cpp.

                                            {
    // Crete Trade Node with Id attribute.
    XMLNode* node = doc.allocNode("Trade");
    QL_REQUIRE(node, "Failed to create trade node");
    XMLUtils::addAttribute(doc, node, "id", id_);
    XMLUtils::addChild(doc, node, "TradeType", tradeType_);
    XMLUtils::appendNode(node, envelope_.toXML(doc));
    if (!tradeActions_.empty())
        XMLUtils::appendNode(node, tradeActions_.toXML(doc));
    return node;
}

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◆ reset()

void reset ( )

Reset trade, clear all base class data. This does not reset accumulated timings for this trade.

Definition at line 130 of file trade.cpp.

                  {
    // save accumulated timings from wrapper to trade before resetting
    if (instrument_ != nullptr) {
        savedNumberOfPricings_ += instrument_->getNumberOfPricings();
        savedCumulativePricingTime_ += instrument_->getCumulativePricingTime();
    }
    // reset members
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>();
    legs_.clear();
    legCurrencies_.clear();
    legPayers_.clear();
    npvCurrency_.clear();
    notional_ = Null<Real>();
    notionalCurrency_.clear();
    maturity_ = Date();
    issuer_.clear();
    requiredFixings_.clear();
    sensitivityTemplate_.clear();
    sensitivityTemplateSet_ = false;
}

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◆ resetPricingStats()

void resetPricingStats	(	const std::size_t	numberOfPricings = `0`,
		const boost::timer::nanosecond_type	cumulativePricingTime = `0`
	)

Reset accumulated timings to given values.

Definition at line 107 of file trade.hpp.

                                                                                      {
        savedNumberOfPricings_ = numberOfPricings;
        savedCumulativePricingTime_ = cumulativePricingTime;
        if (instrument_ != nullptr)
            instrument_->resetPricingStats();
    }

◆ id() [1/2]

string & id ( )

Set the trade id.

Definition at line 118 of file trade.hpp.

118{ return id_; }

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◆ setEnvelope()

void setEnvelope ( const Envelope & envelope )

Set the envelope with counterparty and portfolio info.

Definition at line 122 of file trade.cpp.

                                                {
    envelope_ = envelope;
}

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◆ setAdditionalData()

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

Definition at line 126 of file trade.cpp.

                                                                               {
    additionalData_ = additionalData;
}

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◆ tradeActions() [1/2]

TradeActions & tradeActions ( )

Set the trade actions.

Definition at line 126 of file trade.hpp.

126{ return tradeActions_; }

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◆ id() [2/2]

const string & id ( ) const

Definition at line 131 of file trade.hpp.

131{ return id_; }

◆ tradeType()

const string & tradeType ( ) const

Definition at line 133 of file trade.hpp.

133{ return tradeType_; }

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◆ envelope()

const Envelope & envelope ( ) const

Definition at line 135 of file trade.hpp.

135{ return envelope_; }

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◆ portfolioIds()

const set< string > & portfolioIds ( ) const

Definition at line 137 of file trade.hpp.

137{ return envelope().portfolioIds(); }

ore::data::Envelope::portfolioIds

const set< string > & portfolioIds() const

Definition: envelope.hpp:103

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◆ tradeActions() [2/2]

const TradeActions & tradeActions ( ) const

Definition at line 139 of file trade.hpp.

139{ return tradeActions_; }

◆ instrument()

const QuantLib::ext::shared_ptr< InstrumentWrapper > & instrument ( ) const

Definition at line 141 of file trade.hpp.

141{ return instrument_; }

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◆ legs()

const std::vector< QuantLib::Leg > & legs ( ) const

Definition at line 143 of file trade.hpp.

143{ return legs_; }

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◆ legCurrencies()

const std::vector< string > & legCurrencies ( ) const

Definition at line 145 of file trade.hpp.

145{ return legCurrencies_; }

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◆ legPayers()

const std::vector< bool > & legPayers ( ) const

Definition at line 147 of file trade.hpp.

147{ return legPayers_; }

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◆ npvCurrency()

const string & npvCurrency ( ) const

Definition at line 149 of file trade.hpp.

149{ return npvCurrency_; }

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◆ notional()

virtual QuantLib::Real notional ( ) const

virtual

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

Reimplemented in PairwiseVarSwap, AsianOption, CBO, CommodityForward, CommoditySwap, CommoditySwaption, CompositeTrade, CreditDefaultSwap, CreditLinkedSwap, EquitySwap, FxForward, FxSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, ScriptedTrade, Swap, Swaption, TRS, and VarSwap.

Definition at line 153 of file trade.hpp.

153{ return notional_; }

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◆ notionalCurrency()

virtual string notionalCurrency ( ) const

virtual

Reimplemented in AsianOption, CBO, EquitySwap, FxForward, FxSwap, ScriptedTrade, and Swap.

Definition at line 155 of file trade.hpp.

155{ return notionalCurrency_; }

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◆ maturity()

const Date & maturity ( ) const

Definition at line 157 of file trade.hpp.

157{ return maturity_; }

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◆ isExpired()

virtual bool isExpired ( const Date & d )

virtual

Reimplemented in FxForward.

Definition at line 159 of file trade.hpp.

159{ return d >= maturity_; }

◆ issuer()

const string & issuer ( ) const

Definition at line 161 of file trade.hpp.

161{ return issuer_; }

◆ additionalDatum()

T additionalDatum ( const std::string & tag ) const

returns any additional datum.

Definition at line 242 of file trade.hpp.

                                                          {
    std::map<std::string,boost::any>::const_iterator value =
        additionalData_.find(tag);
    QL_REQUIRE(value != additionalData_.end(),
               tag << " not provided");
    return boost::any_cast<T>(value->second);
}

◆ additionalData()

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

virtual

returns all additional data returned by the trade once built

Reimplemented in CallableSwap, CapFloor, CommoditySwap, CompositeTrade, CreditDefaultSwap, FxAverageForward, IndexCreditDefaultSwap, Swap, and Swaption.

Definition at line 151 of file trade.cpp.

151{ return additionalData_; }

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◆ sensitivityTemplate()

const std::string & sensitivityTemplate ( ) const

returns the sensi template, e.g. "IR_Analytical" for this trade, this is only available after build() has been called

Definition at line 305 of file trade.cpp.

                                                  {
    if (!sensitivityTemplateSet_) {
        StructuredTradeWarningMessage(
            id(), tradeType(), "No valid sensitivty template.",
            "Either build() was not called, or the trade builder did not set the sensitivity template.")
            .log();
    }
    return sensitivityTemplate_;
}

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◆ validate()

void validate ( ) const

Utility to validate that everything that needs to be set in this base class is actually set.

Definition at line 104 of file trade.cpp.

                           {
    QL_REQUIRE(id_ != "", "Trade id has not been set.");
    QL_REQUIRE(tradeType_ != "", "Trade id has not been set.");
    QL_REQUIRE(instrument_ || legs_.size() > 0,
               "Trade " << id_ << " requires either QuantLib instruments or legs to be created.");
    QL_REQUIRE(npvCurrency_ != "", "NPV currency has not been set for trade " << id_ << ".");
    // QL_REQUIRE(notional_ != Null<Real>(), "Notional has not been set for trade " << id_ << ".");
    // QL_REQUIRE(notionalCurrency_ != "", "Notional currency has not been set for trade " << id_ << ".");
    QL_REQUIRE(maturity_ != Null<Date>(), "Maturity not set for trade " << id_ << ".");
    QL_REQUIRE(envelope_.initialized(), "Envelope not set for trade " << id_ << ".");
    if (legs_.size() > 0) {
        QL_REQUIRE(legs_.size() == legPayers_.size(),
                   "Inconsistent number of pay/receive indicators for legs in trade " << id_ << ".");
        QL_REQUIRE(legs_.size() == legCurrencies_.size(),
                   "Inconsistent number of leg currencies for legs in trade " << id_ << ".");
    }
}

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◆ hasCashflows()

virtual bool hasCashflows ( ) const

virtual

Utility method indicating if the trade has cashflows for the cashflow report. The default implementation returns true so that a trade is automatically considered when cashflows are being written. To prevent a trade from being asked for its cashflows, the method can be overridden to return false.

Reimplemented in CapFloor, CommodityAveragePriceOption, CommodityDigitalAveragePriceOption, CommodityDigitalOption, CommodityOption, CommodityOptionStrip, CommoditySwaption, and Swaption.

Definition at line 182 of file trade.hpp.

182{ return true; }

◆ getCumulativePricingTime()

boost::timer::nanosecond_type getCumulativePricingTime ( ) const

Get cumulative timing spent on pricing.

Definition at line 186 of file trade.hpp.

                                                               {
        return savedCumulativePricingTime_ + (instrument_ != nullptr ? instrument_->getCumulativePricingTime() : 0);
    }

◆ getNumberOfPricings()

std::size_t getNumberOfPricings ( ) const

Get number of pricings.

Definition at line 191 of file trade.hpp.

                                          {
        return savedNumberOfPricings_ + (instrument_ != nullptr ? instrument_->getNumberOfPricings() : 0);
    }

◆ addPremiums()

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
	)

protected

Definition at line 58 of file trade.cpp.

                                                     {
 
    Date latestPremiumPayDate = Date::minDate();
 
    for (auto const& d : premiumData.premiumData()) {
        QL_REQUIRE(d.amount != Null<Real>(), "Trade contains invalid premium data.");
 
        Currency premiumCurrency = parseCurrencyWithMinors(d.ccy);
        Real premiumAmount = convertMinorToMajorCurrency(d.ccy, d.amount);
        auto fee = QuantLib::ext::make_shared<QuantExt::Payment>(premiumAmount, premiumCurrency, d.payDate);
 
        addMultipliers.push_back(premiumMultiplier);
 
        Handle<YieldTermStructure> yts = factory->market()->discountCurve(d.ccy, configuration);
        Handle<Quote> fx;
        if (tradeCurrency.code() != d.ccy) {
            fx = factory->market()->fxRate(d.ccy + tradeCurrency.code(), configuration);
        }
        QuantLib::ext::shared_ptr<PricingEngine> discountingEngine(new QuantExt::PaymentDiscountingEngine(yts, fx));
        fee->setPricingEngine(discountingEngine);
 
        // 1) Add to additional instruments for pricing
        addInstruments.push_back(fee);
 
        // 2) Add a trade leg for cash flow reporting, divide the amount by the multiplier, because the leg entries
        //    are multiplied with the trade multiplier in the cashflow report (and if used elsewhere)
        legs_.push_back(
            Leg(1, QuantLib::ext::make_shared<SimpleCashFlow>(fee->cashFlow()->amount() * premiumMultiplier / tradeMultiplier,
                                                      fee->cashFlow()->date())));
        legCurrencies_.push_back(fee->currency().code());
 
        // premium * premiumMultiplier reflects the correct pay direction, set payer to false therefore
        legPayers_.push_back(false);
 
    // update latest premium pay date
        latestPremiumPayDate = std::max(latestPremiumPayDate, d.payDate);
 
        DLOG("added fee " << d.amount << " " << d.ccy << " payable on " << d.payDate << " to trade");
    }
 
    return latestPremiumPayDate;
}

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◆ setLegBasedAdditionalData()

void setLegBasedAdditionalData	(	const Size	legNo,
		Size	resultLegId = `Null<Size>()`
	)		const

protected

Definition at line 153 of file trade.cpp.

                                                                          {
    if (legs_.size() < i + 1)
        return;
    Date asof = Settings::instance().evaluationDate();
    string legID = std::to_string(resultLegId == Null<Size>() ? i + 1 : resultLegId);
    for (Size j = 0; j < legs_[i].size(); ++j) {
        QuantLib::ext::shared_ptr<CashFlow> flow = legs_[i][j];
        // pick flow with earliest future payment date on this leg
        if (flow->date() > asof) {
            Real flowAmount = 0.0;
            try {
                flowAmount = flow->amount();
            } catch (std::exception& e) {
                ALOG("flow amount could not be determined for trade " << id() << ", set to zero: " << e.what());
            }
            additionalData_["amount[" + legID + "]"] = flowAmount;
            additionalData_["paymentDate[" + legID + "]"] = ore::data::to_string(flow->date());
            QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(flow);
            if (coupon) {
                Real currentNotional = 0;
                try {
                    currentNotional = coupon->nominal();
                } catch (std::exception& e) {
                    ALOG("current notional could not be determined for trade " << id()
                                                                               << ", set to zero: " << e.what());
                }
                additionalData_["currentNotional[" + legID + "]"] = currentNotional;
 
                Real rate = 0;
                try {
                    rate = coupon->rate();
                } catch (std::exception& e) {
                    ALOG("coupon rate could not be determined for trade " << id() << ", set to zero: " << e.what());
                }
                additionalData_["rate[" + legID + "]"] = rate;
 
                if (auto frc = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(flow)) {
                    additionalData_["index[" + legID + "]"] = frc->index()->name();
                    additionalData_["spread[" + legID + "]"] = frc->spread();
                }
 
                if (auto eqc = QuantLib::ext::dynamic_pointer_cast<QuantExt::EquityCoupon>(flow)) {
                    auto arc = eqc->pricer()->additionalResultCache();
                    additionalData_["initialPrice[" + legID + "]"] = arc.initialPrice;
                    additionalData_["endEquityFixing[" + legID + "]"] = arc.endFixing;
                    if (arc.startFixing != Null<Real>())
                        additionalData_["startEquityFixing[" + legID + "]"] = arc.startFixing;
                    if (arc.startFixingTotal != Null<Real>())
                        additionalData_["startEquityFixingTotal[" + legID + "]"] =
                            arc.startFixingTotal;
                    if (arc.endFixingTotal != Null<Real>())
                        additionalData_["endEquityFixingTotal[" + legID + "]"] = arc.endFixingTotal;
                    if (arc.startFxFixing != Null<Real>())
                        additionalData_["startFxFixing[" + legID + "]"] = arc.startFxFixing;
                    if (arc.endFxFixing != Null<Real>())
                        additionalData_["endFxFixing[" + legID + "]"] = arc.endFxFixing;
                    if (arc.pastDividends != Null<Real>())
                        additionalData_["pastDividends[" + legID + "]"] = arc.pastDividends;
                    if (arc.forecastDividends != Null<Real>())
                        additionalData_["forecastDividends[" + legID + "]"] = arc.forecastDividends;
                }
 
                if (auto cpic = QuantLib::ext::dynamic_pointer_cast<QuantExt::CPICoupon>(flow)) {
                    Real baseCPI;
                    baseCPI = cpic->baseCPI();
                    if (baseCPI == Null<Real>()) {
                        try {
                            baseCPI =
                                QuantLib::CPI::laggedFixing(cpic->cpiIndex(), cpic->baseDate() + cpic->observationLag(),
                                                            cpic->observationLag(), cpic->observationInterpolation());
                        } catch (std::exception& e) {
                            ALOG("CPICoupon baseCPI could not be interpolated for additional results for trade " << id()
                                                                                                             << ".")
                        }
                    }
 
                    additionalData_["baseCPI[" + legID + "]"] = baseCPI;
                } else if (auto cpicf = QuantLib::ext::dynamic_pointer_cast<QuantLib::CPICashFlow>(flow)) {
                    Real baseCPI;
                    baseCPI = cpicf->baseFixing();
                    if (baseCPI == Null<Real>()) {
                        try {
                            baseCPI = QuantLib::CPI::laggedFixing(cpicf->cpiIndex(),
                                                                  cpicf->baseDate() + cpicf->observationLag(),
                                                                  cpicf->observationLag(), cpicf->interpolation());
                        } catch (std::exception& e) {
                            ALOG("CPICashFlow baseCPI could not be interpolated for additional results for trade " << id()
                                                                                                               << ".")
                        }
                    }
 
                    additionalData_["baseCPI[" + legID + "]"] = baseCPI;
                }
            }
            break;
        }
    }
    if (legs_[i].size() > 0) {
        QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(legs_[i][0]);
        if (coupon) {
            Real originalNotional = 0.0;
            try {
                originalNotional = coupon->nominal();
            } catch (std::exception& e) {
                ALOG("original nominal could not be determined for trade " << id() << ", set to zero: " << e.what());
            }
            additionalData_["originalNotional[" + legID + "]"] = originalNotional;
            if (auto eqc = QuantLib::ext::dynamic_pointer_cast<QuantExt::EquityCoupon>(coupon)) {
                Real quantity = eqc->quantity();
                if (quantity == Null<Real>()) {
                    if (eqc->legInitialNotional() != Null<Real>() && eqc->initialPrice() != Null<Real>()) {
                        quantity = eqc->legInitialNotional() / eqc->initialPrice();
                    }
                }
                additionalData_["initialQuantity[" + legID + "]"] = quantity;
 
                Real currentPrice = Null<Real>();
                if (eqc->equityCurve()->isValidFixingDate(asof)) {
                    currentPrice = eqc->equityCurve()->equitySpot()->value();
                }
                if (currentPrice != Null<Real>() && originalNotional != Null<Real>()) {
                    additionalData_["currentQuantity" + legID + "]"] = originalNotional / currentPrice;
                }
            }
        }
    }
    for (Size j = 0; j < legs_[i].size(); ++j) {
        QuantLib::ext::shared_ptr<CashFlow> flow = legs_[i][j];
        if (flow->date() > asof) {
            Size k = 0;
            for (auto const& [fixingDate, index, multiplier] :
                 QuantExt::getIndexedCouponOrCashFlowFixingDetails(flow)) {
                auto label = "[" + legID + "][" + std::to_string(j) + "][" + std::to_string(k) + "]";
                additionalData_["indexingFixingDate" + label] = fixingDate;
                additionalData_["indexingIndex" + label] =
                    index == nullptr ? "na" : IndexNameTranslator::instance().oreName(index->name());
                additionalData_["indexingMultiplier" + label] = multiplier;
            }
        }
    }
}

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◆ setSensitivityTemplate() [1/2]

void setSensitivityTemplate ( const EngineBuilder & builder )

protected

Definition at line 295 of file trade.cpp.

                                                               {
    sensitivityTemplate_ = builder.engineParameter("SensitivityTemplate", {}, false, std::string());
    sensitivityTemplateSet_ = true;
}

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◆ setSensitivityTemplate() [2/2]

void setSensitivityTemplate ( const std::string & id )

protected

Definition at line 300 of file trade.cpp.

                                                      {
    sensitivityTemplate_ = id;
    sensitivityTemplateSet_ = true;
}

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Member Data Documentation

◆ tradeType_

string tradeType_

protected

Definition at line 196 of file trade.hpp.

◆ instrument_

QuantLib::ext::shared_ptr<InstrumentWrapper> instrument_

protected

Definition at line 197 of file trade.hpp.

◆ legs_

std::vector<QuantLib::Leg> legs_

protected

Definition at line 198 of file trade.hpp.

◆ legCurrencies_

std::vector<string> legCurrencies_

protected

Definition at line 199 of file trade.hpp.

◆ legPayers_

std::vector<bool> legPayers_

protected

Definition at line 200 of file trade.hpp.

◆ npvCurrency_

string npvCurrency_

protected

Definition at line 201 of file trade.hpp.

◆ notional_

QuantLib::Real notional_

protected

Definition at line 202 of file trade.hpp.

◆ notionalCurrency_

string notionalCurrency_

protected

Definition at line 203 of file trade.hpp.

◆ maturity_

Date maturity_

protected

Definition at line 204 of file trade.hpp.

◆ issuer_

string issuer_

protected

Definition at line 205 of file trade.hpp.

◆ sensitivityTemplate_

string sensitivityTemplate_

protected

Definition at line 206 of file trade.hpp.

◆ sensitivityTemplateSet_

bool sensitivityTemplateSet_ = false

protected

Definition at line 207 of file trade.hpp.

◆ savedNumberOfPricings_

std::size_t savedNumberOfPricings_ = 0

protected

Definition at line 209 of file trade.hpp.

◆ savedCumulativePricingTime_

boost::timer::nanosecond_type savedCumulativePricingTime_ = 0

protected

Definition at line 210 of file trade.hpp.

◆ requiredFixings_

RequiredFixings requiredFixings_

protected

Definition at line 223 of file trade.hpp.

◆ additionalData_

std::map<std::string,boost::any> additionalData_

mutableprotected

Definition at line 224 of file trade.hpp.

◆ id_

string id_

private

Definition at line 236 of file trade.hpp.

◆ envelope_

Envelope envelope_

private

Definition at line 237 of file trade.hpp.

◆ tradeActions_

TradeActions tradeActions_

private

Definition at line 238 of file trade.hpp.

Public Member Functions

Utility

Detailed Description

Constructor & Destructor Documentation

◆ Trade() [1/2]

◆ Trade() [2/2]

◆ ~Trade()

Member Function Documentation

◆ build()

◆ fixings()

◆ requiredFixings()

◆ underlyingIndices()

◆ fromXML()

◆ toXML()

◆ reset()

◆ resetPricingStats()

◆ id() [1/2]

◆ setEnvelope()

◆ setAdditionalData()

◆ tradeActions() [1/2]

◆ id() [2/2]

◆ tradeType()

◆ envelope()

◆ portfolioIds()

◆ tradeActions() [2/2]

◆ instrument()

◆ legs()

◆ legCurrencies()

◆ legPayers()

◆ npvCurrency()

◆ notional()

◆ notionalCurrency()

◆ maturity()

◆ isExpired()

◆ issuer()

◆ additionalDatum()

◆ additionalData()

◆ sensitivityTemplate()

◆ validate()

◆ hasCashflows()

◆ getCumulativePricingTime()

◆ getNumberOfPricings()

◆ addPremiums()

◆ setLegBasedAdditionalData()

◆ setSensitivityTemplate() [1/2]

◆ setSensitivityTemplate() [2/2]

Member Data Documentation

◆ tradeType_

◆ instrument_

◆ legs_

◆ legCurrencies_

◆ legPayers_

◆ npvCurrency_

◆ notional_

◆ notionalCurrency_

◆ maturity_

◆ issuer_

◆ sensitivityTemplate_

◆ sensitivityTemplateSet_

◆ savedNumberOfPricings_

◆ savedCumulativePricingTime_

◆ requiredFixings_

◆ additionalData_

◆ id_

◆ envelope_

◆ tradeActions_