#include <ored/portfolio/trade.hpp>

Inheritance diagram for Trade:

Public Member Functions
	Trade ()
	Default constructor.
	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor.
virtual	~Trade ()
	Default destructor.
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0
virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
const RequiredFixings &	requiredFixings () const
virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
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.
Setters
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.
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

Inspectors
enum class	LegCashflowInclusion { IfNoEngineCashflows , Never , Always }
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 QuantLib::Real	notional () const
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
virtual string	notionalCurrency () const
const Date &	maturity () const
const string &	maturityType () const
virtual bool	isExpired (const Date &d) const
const string &	issuer () const
template<typename T>
T	additionalDatum (const std::string &tag) const
	returns any additional datum.
virtual const std::map< std::string, QuantLib::ext::any > &	additionalData () const
	returns all additional data returned by the trade once built
const std::string &	sensitivityTemplate () const
const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &	productModelEngine () const

Utility
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_
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)
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
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 ()

Detailed Description

Trade base class.

Instrument interface to pricing and risk applications Derived classes should

contain additional serializable data classes
implement a build() function that parses data and constructs QuantLib and QuantExt objects

Member Function Documentation

◆ build()

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

pure virtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implemented in Accumulator, AsianOption, Autocallable_01, BasketOption, BasketVarianceSwap, BestEntryOption, Bond, BondFuture, BondOption, BondRepo, BondTRS, CapFloor, CashPosition, CBO, CommodityDigitalOption, CommodityForward, CommodityOption, CompositeTrade, CreditDefaultSwap, CreditDefaultSwapOption, CreditLinkedSwap, CrossCurrencySwap, DoubleDigitalOption, EquityDigitalOption, EquityDoubleTouchOption, EquityEuropeanBarrierOption, EquityForward, EquityFutureOption, EquityOption, EquityOutperformanceOption, EquitySwap, EquityTouchOption, EuropeanOptionBarrier, ForwardBond, ForwardRateAgreement, FxAverageForward, FxDigitalBarrierOption, FxDigitalOption, FxDoubleTouchOption, FxEuropeanBarrierOption, FxForward, FxKIKOBarrierOption, FxOption, FxSwap, FxTouchOption, GenericBarrierOption, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, InflationSwap, KnockOutSwap, MultiLegOption, PairwiseVarSwap, PerformanceOption_01, RainbowOption, ScriptedTrade, StrikeResettableOption, Swap, Swaption, SyntheticCDO, TaRF, TRS, VanillaOptionTrade, WindowBarrierOption, and WorstOfBasketSwap.

◆ fixings()

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

virtual

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 in CompositeTrade.

◆ requiredFixings()

const RequiredFixings & requiredFixings ( ) const

Return the full required fixing information

◆ underlyingIndices()

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

virtual

◆ fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Reimplemented in Bond.

◆ toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

◆ notional()

virtual QuantLib::Real notional ( ) const

virtual

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

Reimplemented in AsianOption, CashPosition, CBO, CommoditySwap, CommoditySwaption, CompositeTrade, CreditDefaultSwap, CreditLinkedSwap, EquitySwap, FxForward, FxSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, PairwiseVarSwap, ScriptedTrade, Swap, Swaption, TRS, VanillaOptionTrade, and VarSwap.

◆ additionalData()

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

virtual

returns all additional data returned by the trade once built

Reimplemented in CallableSwap, CapFloor, CommoditySwap, CompositeTrade, CreditDefaultSwap, ForwardRateAgreement, FxAverageForward, IndexCreditDefaultSwap, Swap, and Swaption.

◆ sensitivityTemplate()

const std::string & sensitivityTemplate ( ) const

returns the sensi template, e.g. "IR_Analytical" for this trade, this is only available after build() has been called

◆ productModelEngine()

const std::set< std::tuple< std::set< std::string >, std::string, std::string > > & productModelEngine ( ) const

return the product(s),model,engine triplet(s) of the engine builders of this trade, this is only available after build() has been called

Public Member Functions

Inspectors

Utility

Detailed Description

Member Function Documentation

◆ build()

◆ fixings()

◆ requiredFixings()

◆ underlyingIndices()

◆ fromXML()

◆ toXML()

◆ notional()

◆ additionalData()

◆ sensitivityTemplate()

◆ productModelEngine()