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Public Member Functions | List of all members
CommodityOption Class Reference

Commodity option trade representation. More...

#include <ored/portfolio/commodityoption.hpp>

+ Inheritance diagram for CommodityOption:

Public Member Functions

 CommodityOption ()
 Default constructor.
 
 CommodityOption (const Envelope &env, const OptionData &optionData, const std::string &commodityName, const std::string &currency, QuantLib::Real quantity, TradeStrike strike, const boost::optional< bool > &isFuturePrice=boost::none, const QuantLib::Date &futureExpiryDate=QuantLib::Date())
 Detailed constructor.
 
void build (const boost::shared_ptr< EngineFactory > &engineFactory) override
 Build underlying instrument and link pricing engine.
 
std::map< AssetClass, std::set< std::string > > underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
 Add underlying Commodity names.
 
Serialisation
virtual void fromXML (XMLNode *node) override
 
virtual XMLNodetoXML (XMLDocument &doc) override
 
Trade
bool hasCashflows () const override
 
- Public Member Functions inherited from VanillaOptionTrade
void build (const boost::shared_ptr< EngineFactory > &) override
 Build QuantLib/QuantExt instrument, link pricing engine.
 
const OptionDataoption () const
 
const string & asset () const
 
const string & currency () const
 
TradeStrike strike () const
 
double quantity () const
 
const QuantLib::Date forwardDate () const
 
- 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.
 
virtual std::map< std::string, std::set< QuantLib::Date > > fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
 
const RequiredFixingsrequiredFixings () 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.
 
Envelopeenvelope ()
 Set the envelope with counterparty and portfolio info.
 
TradeActionstradeActions ()
 Set the trade actions.
 
const string & id () const
 
const string & tradeType () const
 
const Envelopeenvelope () const
 
const set< string > & portfolioIds () const
 
const TradeActionstradeActions () const
 
const boost::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 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 & issuer () const
 
template<typename T >
additionalDatum (const std::string &tag) const
 returns any additional datum.
 
virtual const std::map< std::string, boost::any > & additionalData () const
 returns all additional data returned by the trade once built
 
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.
 
- Public Member Functions inherited from XMLSerializable
void fromFile (const std::string &filename)
 
void toFile (const std::string &filename)
 
void fromXMLString (const std::string &xml)
 Parse from XML string.
 
std::string toXMLString ()
 Parse from XML string.
 

Inspectors

const boost::optional< bool > & isFuturePrice () const
 
const QuantLib::Date & futureExpiryDate () const
 

Additional Inherited Members

- Protected Member Functions inherited from VanillaOptionTrade
 VanillaOptionTrade (AssetClass assetClassUnderlying)
 
 VanillaOptionTrade (const Envelope &env, AssetClass assetClassUnderlying, OptionData option, string assetName, string currency, double quantity, TradeStrike strike, const boost::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="", QuantLib::Date forwardDate=QuantLib::Date())
 
- Protected Member Functions inherited from Trade
Date addPremiums (std::vector< boost::shared_ptr< Instrument >> &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const boost::shared_ptr< EngineFactory > &factory, const string &configuration)
 
void setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const
 
- Protected Attributes inherited from VanillaOptionTrade
AssetClass assetClassUnderlying_
 
OptionData option_
 
string assetName_
 
string currency_
 
Currency underlyingCurrency_
 
double quantity_
 
TradeStrike strike_
 
boost::shared_ptr< QuantLib::Index > index_
 An index is needed if the option is to be automatically exercised on expiry.
 
std::string indexName_
 Hold the external index name if needed e.g. in the case of an FX index.
 
QuantLib::Date expiryDate_
 Store the option expiry date.
 
QuantLib::Date forwardDate_
 Store the (optional) forward date.
 
- Protected Attributes inherited from Trade
string tradeType_
 
boost::shared_ptr< InstrumentWrapperinstrument_
 
std::vector< QuantLib::Leg > legs_
 
std::vector< string > legCurrencies_
 
std::vector< bool > legPayers_
 
string npvCurrency_
 
QuantLib::Real notional_
 
string notionalCurrency_
 
Date maturity_
 
string issuer_
 
std::size_t savedNumberOfPricings_ = 0
 
boost::timer::nanosecond_type savedCumulativePricingTime_ = 0
 
RequiredFixings requiredFixings_
 
std::map< std::string, boost::any > additionalData_
 

Detailed Description

Commodity option trade representation.

Member Function Documentation

◆ hasCashflows()

bool hasCashflows ( ) const
overridevirtual

Utility method indicating if the trade has cashflows for the cashflow report. The default implementation returns true so that a trade is automatically considered when cashflows are being written. To prevent a trade from being asked for its cashflows, the method can be overridden to return false.

Reimplemented from Trade.