DerivativeTrsUnderlyingBuilder Struct Reference

#include <ored/portfolio/trsunderlyingbuilder.hpp>

Inheritance diagram for DerivativeTrsUnderlyingBuilder:

Collaboration diagram for DerivativeTrsUnderlyingBuilder:

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 155 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 396 of file trsunderlyingbuilder.cpp.

                                                                                                         {
    assetCurrency = underlying->npvCurrency();
    auto indexName = "GENERIC-" + underlyingDerivativeId;
    IndexNameTranslator::instance().add(indexName, indexName);
    underlyingIndex = QuantLib::ext::make_shared<QuantExt::GenericIndex>(indexName);
    indexQuantities[indexName] = 1.0;
    underlyingMultiplier = 1.0;
    // 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 = underlying->maturity();
    
    auto fxIndex = getFxIndex(engineFactory->market(), engineFactory->configuration(MarketContext::pricing),
                              assetCurrency, fundingCurrency, fxIndices);
    returnLegs.push_back(QuantExt::TRSLeg(valuationDates, paymentDates, underlyingMultiplier, underlyingIndex, fxIndex)
                             .withInitialPrice(initialPrice));
}