AssetPositionTrsUnderlyingBuilder< T > Struct Template Reference

#include <ored/portfolio/trsunderlyingbuilder.hpp>

Inheritance diagram for AssetPositionTrsUnderlyingBuilder< T >:

Collaboration diagram for AssetPositionTrsUnderlyingBuilder< T >:

Public Member Functions
void	build (const std::string &parentId, const QuantLib::ext::shared_ptr< Trade > &underlying, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const std::string &fundingCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, QuantLib::ext::shared_ptr< QuantLib::Index > &underlyingIndex, Real &underlyingMultiplier, std::map< std::string, double > &indexQuantities, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices, Real &initialPrice, std::string &assetCurrency, std::string &creditRiskCurrency, std::map< std::string, SimmCreditQualifierMapping > &creditQualifierMapping, Date &maturity, const std::function< QuantLib::ext::shared_ptr< QuantExt::FxIndex >(const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices)> &getFxIndex, const std::string &underlyingDerivativeId, RequiredFixings &fixings, std::vector< Leg > &returnLegs) const override
void	updateQuantities (std::map< std::string, double > &indexQuantities, const std::string &indexName, const double qty) const
std::string	getIndexCurrencyFromPosition (QuantLib::ext::shared_ptr< T > position, size_t i) const
std::string	getIndexCurrencyFromPosition (QuantLib::ext::shared_ptr< EquityPosition > position, size_t i) const
std::string	getIndexCurrencyFromPosition (QuantLib::ext::shared_ptr< CommodityPosition > position, size_t i) const
void	updateQuantities (std::map< std::string, double > &indexQuantities, const std::string &indexName, const double qty) const
void	updateQuantities (std::map< std::string, double > &indexQuantities, const std::string &indexName, const double qty) const
Public Member Functions inherited from TrsUnderlyingBuilder
virtual	~TrsUnderlyingBuilder ()
virtual void	build (const std::string &parentId, const QuantLib::ext::shared_ptr< Trade > &underlying, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const std::string &fundingCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, QuantLib::ext::shared_ptr< QuantLib::Index > &underlyingIndex, Real &underlyingMultiplier, std::map< std::string, double > &indexQuantities, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices, Real &initialPrice, std::string &assetCurrency, std::string &creditRiskCurrency, std::map< std::string, SimmCreditQualifierMapping > &creditQualifierMapping, Date &maturity, const std::function< QuantLib::ext::shared_ptr< QuantExt::FxIndex >(const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices)> &getFxIndex, const std::string &underlyingDerivativeId, RequiredFixings &fixings, std::vector< Leg > &returnLegs) const =0
virtual void	updateUnderlying (const QuantLib::ext::shared_ptr< ReferenceDataManager > &refData, QuantLib::ext::shared_ptr< Trade > &underlying, const std::string &parentId) const

Detailed Description

template<class T>
struct ore::data::AssetPositionTrsUnderlyingBuilder< T >

Definition at line 99 of file trsunderlyingbuilder.hpp.

Member Function Documentation

build()

void build ( const std::string &  parentId, const QuantLib::ext::shared_ptr< Trade > &  underlying, const std::vector< Date > &  valuationDates, const std::vector< Date > &  paymentDates, const std::string &  fundingCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &  engineFactory, QuantLib::ext::shared_ptr< QuantLib::Index > &  underlyingIndex, Real &  underlyingMultiplier, std::map< std::string, double > &  indexQuantities, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &  fxIndices, Real &  initialPrice, std::string &  assetCurrency, std::string &  creditRiskCurrency, std::map< std::string, SimmCreditQualifierMapping > &  creditQualifierMapping, Date &  maturity, const std::function< QuantLib::ext::shared_ptr< QuantExt::FxIndex >(const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices)> &  getFxIndex, const std::string &  underlyingDerivativeId, RequiredFixings &  fixings, std::vector< Leg > &  returnLegs  ) const

overridevirtual

Implements TrsUnderlyingBuilder.

Definition at line 177 of file trsunderlyingbuilder.cpp.

                                                                                                         {
    auto t = QuantLib::ext::dynamic_pointer_cast<T>(underlying);
    QL_REQUIRE(t, "could not cast to ore::data::EquityPosition, this is unexpected");
    if (t->isSingleCurrency()) {
        assetCurrency = t->npvCurrency();
        DLOG("underlying equity position is single-currency, assetCurrency is " << assetCurrency);
    } else {
        // asset currency is set to funding currency data currency in trs as a default
        // we use fxSpot() as opposed to fxRate() here to ensure consistency between NPV() and the fixing of an
        // equivalent index representing the same basket
        t->setNpvCurrencyConversion(
            assetCurrency, engineFactory->market()->fxSpot(t->npvCurrency() + assetCurrency,
                                                           engineFactory->configuration(MarketContext::pricing)));
        DLOG("underlying equity position is multi-currency, set assetCurrency to fundingCurrency = " << assetCurrency);
    }
    std::vector<QuantLib::ext::shared_ptr<QuantExt::FxIndex>> fxConversion(t->data().underlyings().size());
    std::vector<QuantLib::ext::shared_ptr<QuantLib::Index>> indices;
    for (auto const& i : t->indices()) {
        indices.push_back(i);
        DLOG("underlying equity index " << i->name() << " added.");
    }
    for (Size i = 0; i < t->data().underlyings().size(); ++i) {
        fxConversion[i] = getFxIndex(engineFactory->market(), engineFactory->configuration(MarketContext::pricing),
                                     assetCurrency, getIndexCurrencyFromPosition(t, i), fxIndices);
        updateQuantities(indexQuantities, t->data().underlyings()[i].name(),
                         t->weights()[i] * t->data().quantity());
    }
    underlyingIndex = QuantLib::ext::make_shared<QuantExt::CompositeIndex>("Composite Index trade id " + parentId, indices,
                                                                   t->weights(), fxConversion);
    DLOG("underlying equity index built with " << indices.size() << " constituents.");
    underlyingMultiplier = t->data().quantity();
    
    auto fxIndex = getFxIndex(engineFactory->market(), engineFactory->configuration(MarketContext::pricing),
                              assetCurrency, fundingCurrency, fxIndices);
    returnLegs.push_back(
        QuantExt::TRSLeg(valuationDates, paymentDates, underlyingMultiplier, underlyingIndex, fxIndex)
        .withInitialPrice(initialPrice));
}

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updateQuantities() [1/3]

void updateQuantities	(	std::map< std::string, double > &	indexQuantities,
		const std::string &	indexName,
		const double	qty
	)		const

Definition at line 258 of file trsunderlyingbuilder.cpp.

                                                                                                                {
    QL_FAIL("internal error AssetPositionTrsUnderlyingBuilder only support Equity and Commodity positions");
}

getIndexCurrencyFromPosition() [1/3]

std::string getIndexCurrencyFromPosition	(	QuantLib::ext::shared_ptr< T >	position,
		size_t	i
	)		const

Definition at line 241 of file trsunderlyingbuilder.cpp.

                                                       {
    QL_FAIL("internal error AssetPositionTrsUnderlyingBuilder only support Equity and Commodity positions");
}

getIndexCurrencyFromPosition() [2/3]

std::string getIndexCurrencyFromPosition	(	QuantLib::ext::shared_ptr< EquityPosition >	position,
		size_t	i
	)		const

Definition at line 229 of file trsunderlyingbuilder.cpp.

                                                                    {
    return position->indices()[i]->currency().code();
}

getIndexCurrencyFromPosition() [3/3]

std::string getIndexCurrencyFromPosition	(	QuantLib::ext::shared_ptr< CommodityPosition >	position,
		size_t	i
	)		const

Definition at line 235 of file trsunderlyingbuilder.cpp.

                                                                       {
    return position->indices()[i]->priceCurve()->currency().code();
}

updateQuantities() [2/3]

void updateQuantities	(	std::map< std::string, double > &	indexQuantities,
		const std::string &	indexName,
		const double	qty
	)		const

Definition at line 247 of file trsunderlyingbuilder.cpp.

                                                                                                                                                                              {
    indexQuantities["EQ-" + indexName] = qty;
}

updateQuantities() [3/3]

void updateQuantities	(	std::map< std::string, double > &	indexQuantities,
		const std::string &	indexName,
		const double	qty
	)		const

Definition at line 252 of file trsunderlyingbuilder.cpp.

                                                                                                    {
    indexQuantities["COMM-" + indexName] = qty;
}