Serializable portfolio. More...

#include <ored/portfolio/portfolio.hpp>

Inheritance diagram for Portfolio:

Public Member Functions
	Portfolio (bool buildFailedTrades=true, bool ignoreTradeBuildFail=false)
	Default constructor.
void	add (const QuantLib::ext::shared_ptr< Trade > &trade)
	Add a trade to the portfolio.
bool	has (const string &id)
	Check if a trade id is already in the portfolio.
QuantLib::ext::shared_ptr< Trade >	get (const std::string &id) const
void	clear ()
	Clear the portfolio.
void	reset ()
	Reset all trade data.
QuantLib::Size	size () const
	Portfolio size.
bool	empty () const
void	fromXML (XMLNode *node) override
	XMLSerializable interface.
XMLNode *	toXML (XMLDocument &doc) const override
bool	remove (const std::string &tradeID)
	Remove specified trade from the portfolio.
void	removeMatured (const QuantLib::Date &asof)
	Remove matured trades from portfolio for a given date, each removal is logged with an Alert.
void	setBuildFailedTrades (const bool buildFailed)
	set if trades should build as a FailedTrade if they fail
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &, const std::string &context="unspecified", const bool emitStructuredError=true)
	Call build on all trades in the portfolio, the context is included in error messages.
bool	isBuilt () const
	if the portfolio has been built
QuantLib::Date	maturity () const
	Calculates the maturity of the portfolio.
const std::map< std::string, QuantLib::ext::shared_ptr< Trade > > &	trades () const
	Return the map tradeId -> trade.
std::set< std::string >	ids () const
	Build a set of tradeIds.
std::map< std::string, std::string >	nettingSetMap () const
	Build a map from trade Ids to NettingSet.
std::set< std::string >	counterparties () const
	Build a set of all counterparties in the portfolio.
std::map< std::string, std::set< std::string > >	counterpartyNettingSets () const
	Build a map from counterparty to NettingSet.
std::set< std::string >	portfolioIds () const
	Compute set of portfolios.
bool	hasNettingSetDetails () const
	Check if at least one trade in the portfolio uses the NettingSetDetails node, and not just NettingSetId.
bool	buildFailedTrades () const
	Does this portfolio build failed trades?
bool	ignoreTradeBuildFail () const
	Keep trade in the portfolio even after build fail.
std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr, const bool useCache=true)
std::set< std::string >	underlyingIndices (AssetClass assetClass, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr, const bool useCache=true)
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

Detailed Description

Serializable portfolio.

Member Function Documentation

◆ get()

QuantLib::ext::shared_ptr< Trade > get ( const std::string & id ) const

Get a Trade with the given id from the portfolio

Remarks: returns a nullptr if no trade found with the given id

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

XMLSerializable interface.

Implements XMLSerializable.

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

◆ fixings()

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

Return the fixings that will be requested in order to price every Trade in this Portfolio given the settlementDate. 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 Portfolio has not been built.

◆ underlyingIndices()

std::map< AssetClass, std::set< std::string > > underlyingIndices	(	const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceDataManager = nullptr,
		const bool	useCache = true )

Returns the names of the underlying instruments for each asset class