Composite Trade class. More...

#include <ored/portfolio/compositetrade.hpp>

Inheritance diagram for CompositeTrade:

Public Types
enum class	NotionalCalculation { Sum , Mean , First , Last , Min , Max , Override }
	This enum decalres how the notional of the CompositeTrade should be calculated. More...
enum class	LegCashflowInclusion { IfNoEngineCashflows , Never , Always }

Public Member Functions
	CompositeTrade (const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Constructor requires a trade factory so that subtrades can be built.
	CompositeTrade (const string currency, const vector< QuantLib::ext::shared_ptr< Trade > > &trades, const string notionalCalculation="", const Real notionalOverride=0.0, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions(), const double indexQuantity=Null< Real >())
	Fully-specified Constructor.
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine.
QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
Inspectors
const string &	currency () const
const string &	portfolioId () const
const bool &	portfolioBasket () const
const string &	notionalCalculation () const
const vector< QuantLib::ext::shared_ptr< Trade > > &	trades () const
Utility functions
Size	size () const
	returns the number of subtrades in the strategy
Real	calculateNotional (const vector< Real > &tradeNotionals) const
	calculates the CompositeTrade notional, when supplied with the notionals of the subtrades
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Public Member Functions inherited from Trade
	Trade ()
	Default constructor.
	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor.
virtual	~Trade ()
	Default destructor.
const RequiredFixings &	requiredFixings () const
void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade.
void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values.
string &	id ()
	Set the trade id.
void	setId (const std::string &id)
void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info.
void	setAdditionalData (const std::map< std::string, QuantLib::ext::any > &additionalData)
TradeActions &	tradeActions ()
	Set the trade actions.
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 std::map< size_t, LegCashflowInclusion > &	legCashflowInclusion () const
const string &	npvCurrency () const
virtual string	notionalCurrency () const
const Date &	maturity () const
const string &	maturityType () const
const string &	issuer () const
template<typename T>
T	additionalDatum (const std::string &tag) const
	returns any additional datum.
const std::string &	sensitivityTemplate () const
const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &	productModelEngine () const
void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set.
boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing.
std::size_t	getNumberOfPricings () const
	Get number of pricings.
void	addProductModelEngine (const EngineBuilder &builder)
void	addProductModelEngine (const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &productModelEngine)
void	setSensitivityTemplate (const EngineBuilder &builder)
void	setSensitivityTemplate (const std::string &id)
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString () const
	Parse from XML string.
std::string	toXMLStringUnformatted () const

trade overrides
std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate) const override
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager) const override
const std::map< std::string, QuantLib::ext::any > &	additionalData () const override
	returns all additional data returned by the trade once built
bool	isExpired (const Date &d) const override
void	populateFromReferenceData (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager) const
void	getTradesFromReferenceData (const QuantLib::ext::shared_ptr< PortfolioBasketReferenceDatum > &ptfReferenceDatum) const
virtual std::vector< TradeCashflowReportData >	cashflows (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &configuration, const bool includePastCashflows) const override

Additional Inherited Members
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 string &discountCurve, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)
void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const
void	updateProductModelEngineAdditionalData ()
string	tradeType_
QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_
std::vector< QuantLib::Leg >	legs_
std::vector< string >	legCurrencies_
std::vector< bool >	legPayers_
std::map< std::size_t, LegCashflowInclusion >	legCashflowInclusion_
string	npvCurrency_
QuantLib::Real	notional_
string	notionalCurrency_
Date	maturity_
string	maturityType_
string	issuer_
string	sensitivityTemplate_
bool	sensitivityTemplateSet_ = false
std::set< std::tuple< std::set< std::string >, std::string, std::string > >	productModelEngine_
Date	lastRelevantDate_ = Null<Date>()
std::size_t	savedNumberOfPricings_ = 0
boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0
RequiredFixings	requiredFixings_
std::map< std::string, QuantLib::ext::any >	additionalData_

Detailed Description

Composite Trade class.

CompositeTrades are single currency strategies consisting of independent financial instruments but regarded as a single position n the portfolio. Examples include straddles, butterflies, iron condors. The class can also be used to create representations of single contracts which can be replicated by linear combinations of other positions. E.g. Bond

Bond Option = Callable Bond.

Member Enumeration Documentation

◆ NotionalCalculation

enum class NotionalCalculation

strong

This enum decalres how the notional of the CompositeTrade should be calculated.

Enumerator
Sum	The notional is calculated as the sum of notionals of subtrades.
Mean	The notional is calculated as the average of notionals of subtrades.
First	The notional is taken as the first subtrade notional.
Last	The notional is taken as the last subtrade notional.
Min	The notional is taken as the minimum subtrade notional.
Max	The notional is taken as the maximum subtrade notional.
Override	The notional is explicitly overridden.

Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Implements Trade.

◆ notional()

QuantLib::Real notional ( ) const

overridevirtual

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

Reimplemented from Trade.

◆ fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

◆ toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

◆ fixings()

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

overridevirtual

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 from Trade.

◆ underlyingIndices()

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

overridevirtual

Reimplemented from Trade.

◆ additionalData()

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

overridevirtual

returns all additional data returned by the trade once built

Reimplemented from Trade.

◆ isExpired()

bool isExpired ( const Date & d ) const

overridevirtual

Reimplemented from Trade.

◆ cashflows()

virtual std::vector< TradeCashflowReportData > cashflows	(	const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const std::string &	configuration,
		const bool	includePastCashflows ) const

overridevirtual

Reimplemented from Trade.

Public Types

Public Member Functions

trade overrides

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ NotionalCalculation

Member Function Documentation

◆ build()

◆ notional()

◆ fromXML()

◆ toXML()

◆ fixings()

◆ underlyingIndices()

◆ additionalData()

◆ isExpired()

◆ cashflows()