VanillaBondBuilder Struct Reference

#include <ored/portfolio/bond.hpp>

Inheritance diagram for VanillaBondBuilder:

Collaboration diagram for VanillaBondBuilder:

Public Member Functions
virtual Result	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData, const std::string &securityId) const override
Public Member Functions inherited from BondBuilder
virtual	~BondBuilder ()
virtual Result	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData, const std::string &securityId) const =0

Detailed Description

Definition at line 216 of file bond.hpp.

Member Function Documentation

build()

BondBuilder::Result build ( const QuantLib::ext::shared_ptr< EngineFactory > &  engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &  referenceData, const std::string &  securityId  ) const

overridevirtual

Implements BondBuilder.

Definition at line 356 of file bond.cpp.

                                                                                 {
    BondData data(securityId, 1.0);
    data.populateFromBondReferenceData(referenceData);
    ore::data::Bond bond(Envelope(), data);
    bond.id() = "VanillaBondBuilder_" + securityId;
    bond.build(engineFactory);
 
    QL_REQUIRE(bond.instrument(), "VanillaBondBuilder: constructed bond is null, this is unexpected");
    auto qlBond = QuantLib::ext::dynamic_pointer_cast<QuantLib::Bond>(bond.instrument()->qlInstrument());
 
    QL_REQUIRE(bond.instrument() && bond.instrument()->qlInstrument(),
               "VanillaBondBuilder: constructed bond trade does not provide a valid ql instrument, this is unexpected "
               "(either the instrument wrapper or the ql instrument is null)");
 
    Result res;
    res.bond = qlBond;
 
    if (data.isInflationLinked()) {
        res.isInflationLinked = true;       
    }
    res.hasCreditRisk = data.hasCreditRisk() && !data.creditCurveId().empty();
    res.currency = data.currency();
    res.creditCurveId = data.creditCurveId();
    res.securityId = data.securityId();
    res.creditGroup = data.creditGroup();
    res.priceQuoteMethod = data.priceQuoteMethod();
    res.priceQuoteBaseValue = data.priceQuoteBaseValue();
    return res;
}

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