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Reference manual - version ored_version
Public Member Functions | List of all members
Trade Class Referenceabstract

Trade base class. More...

#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 boost::shared_ptr< EngineFactory > &)=0
 
virtual std::map< std::string, std::set< QuantLib::Date > > fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
 
const RequiredFixingsrequiredFixings () const
 
virtual std::map< AssetClass, std::set< std::string > > underlyingIndices (const boost::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const
 
Serialisation
virtual void fromXML (XMLNode *node) override
 
virtual XMLNodetoXML (XMLDocument &doc) 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.
 
Envelopeenvelope ()
 Set the envelope with counterparty and portfolio info.
 
TradeActionstradeActions ()
 Set the trade actions.
 
Inspectors
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
 
- 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.
 

Utility

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_
 
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.
 
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
 

Detailed Description

Trade base class.

Instrument interface to pricing and risk applications Derived classes should

Member Function Documentation

◆ build()

virtual void build ( const boost::shared_ptr< EngineFactory > &  )
pure virtual

◆ fixings()

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

◆ hasCashflows()

virtual bool hasCashflows ( ) const
virtual

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 in Swaption, CommoditySwaption, CommodityOptionStrip, CommodityOption, CommodityDigitalOption, CommodityDigitalAveragePriceOption, CommodityAveragePriceOption, and CapFloor.