BondPositionTrsUnderlyingBuilder Struct Reference

#include <ored/portfolio/trsunderlyingbuilder.hpp>

Inheritance diagram for BondPositionTrsUnderlyingBuilder:

Collaboration diagram for BondPositionTrsUnderlyingBuilder:

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
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

Definition at line 140 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 321 of file trsunderlyingbuilder.cpp.

                                                                                                         {
    auto t = QuantLib::ext::dynamic_pointer_cast<ore::data::BondPosition>(underlying);
    QL_REQUIRE(t, "could not cast to ore::data::BondPosition, this is unexpected");
    if (t->isSingleCurrency()) {
        assetCurrency = t->npvCurrency();
        DLOG("underlying bond position is single-currency, assetCurrency is " << assetCurrency);
    } else {
        // asset currency is set to funding currency data currency in trs as a default
        t->setNpvCurrencyConversion(
            assetCurrency, engineFactory->market()->fxSpot(t->npvCurrency() + assetCurrency,
                                                           engineFactory->configuration(MarketContext::pricing)));
        DLOG("underlying bond 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;
    bool hasCreditRisk = false;
    for (Size i = 0; i < t->bonds().size(); ++i) {
        // relative index, because weights are supposed to include any amortization factors
 
        BondIndexBuilder bondIndexBuilder(t->data().underlyings()[i].name(), true, false, 
            NullCalendar(), true, engineFactory, t->data().underlyings()[i].bidAskAdjustment(), true);
 
        auto assetCurr = bondIndexBuilder.bond().bondData().currency();
        auto fxIndex = getFxIndex(engineFactory->market(), engineFactory->configuration(MarketContext::pricing),
                                  assetCurr, fundingCurrency, fxIndices);
 
        Leg bondLeg = makeBondTRSLeg(valuationDates, paymentDates, bondIndexBuilder, Null<Real>(), fxIndex);
        returnLegs.push_back(bondLeg);
        
        // add required bond and fx fixings from the index
        bondIndexBuilder.addRequiredFixings(fixings, bondLeg);
 
        indices.push_back(bondIndexBuilder.bondIndex());
        DLOG("underlying bond index " << indices.back()->name() << " added.");
        indexQuantities[bondIndexBuilder.bondIndex()->name()] = t->weights()[i] * t->data().quantity();
        creditQualifierMapping[ore::data::securitySpecificCreditCurveName(t->bonds()[i].securityId,
                                                                          t->bonds()[i].creditCurveId)] =
            SimmCreditQualifierMapping(t->bonds()[i].securityId, t->bonds()[i].creditGroup);
        creditQualifierMapping[t->bonds()[i].creditCurveId] =
            SimmCreditQualifierMapping(t->bonds()[i].securityId, t->bonds()[i].creditGroup);
        hasCreditRisk = hasCreditRisk || t->bonds()[i].hasCreditRisk;
    }
    for (Size i = 0; i < t->data().underlyings().size(); ++i) {
        fxConversion[i] = getFxIndex(engineFactory->market(), engineFactory->configuration(MarketContext::pricing),
                                     assetCurrency, t->bonds()[i].currency, fxIndices);
    }
    std::vector<Real> w;
    for (Size i = 0; i < t->weights().size(); ++i) {
        w.push_back(t->weights()[i]);
    }
    underlyingIndex =
        QuantLib::ext::make_shared<QuantExt::CompositeIndex>("Composite Index trade id " + parentId, indices, w, fxConversion);
    DLOG("underlying bond position index built with " << indices.size() << " constituents.");
    underlyingMultiplier = t->data().quantity();
 
    if (hasCreditRisk)
        creditRiskCurrency = assetCurrency;
    // FIXME same question as for single bond underlying: shouldn't we leave that empty and let TRS determine the
    // maturity date based on valuation / funding dates?
    maturity = t->maturity();
}

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