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...

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< boost::shared_ptr< Trade >> &trades, const string notionalCalculation="", const Real notionalOverride=0.0, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Fully-specified Constructor.

virtual void	build (const boost::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 &	notionalCalculation () const

const vector< boost::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) 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.

Envelope &	envelope ()
	Set the envelope with counterparty and portfolio info.

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 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 string	notionalCurrency () const

const Date &	maturity () const

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum.

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set.

virtual bool	hasCashflows () const

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.

trade overrides
std::map< std::string, std::set< QuantLib::Date > >	fixings (const QuantLib::Date &settlementDate) const override

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

const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built

Additional Inherited Members
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 Trade
string	tradeType_

boost::shared_ptr< InstrumentWrapper >	instrument_

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

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 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

◆ fixings()

std::map<std::string, std::set<QuantLib::Date> > 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.

Public Types

Public Member Functions

trade overrides

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ NotionalCalculation

Member Function Documentation

◆ fixings()