Serializable portfolio. More...

#include <ored/portfolio/portfolio.hpp>

Inheritance diagram for Portfolio:

Public Member Functions
	Portfolio (bool buildFailedTrades=true)
	Default constructor.

void	add (const boost::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.

boost::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) 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	build (const boost::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.

QuantLib::Date	maturity () const
	Calculates the maturity of the portfolio.

const std::map< std::string, boost::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?

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

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

std::set< std::string >	underlyingIndices (AssetClass assetClass, const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr)

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.

Detailed Description

Serializable portfolio.

Member Function Documentation

◆ get()

boost::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

◆ fixings()

std::map<std::string, std::set<QuantLib::Date> > 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 boost::shared_ptr< ReferenceDataManager > & referenceDataManager = nullptr )

Returns the names of the underlying instruments for each asset class

Public Member Functions

Detailed Description

Member Function Documentation

◆ get()

◆ fixings()

◆ underlyingIndices()