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  • #6845
    CH
    Participant

    Hi, I try to build a commodity swap trade by following the userguide. In the portfolio.xml, I set up

    <Portfolio>
    <Trade id=”CommoditySwap”>
    <TradeType>Swap</TradeType>
    <Envelope>
    <CounterParty>CPTY_A</CounterParty>
    <NettingSetId>CPTY_A</NettingSetId>
    </Envelope>
    <SwapData>
    <LegData>
    <LegType>CommodityFixed</LegType>
    <Payer>false</Payer>
    <Currency>USD</Currency>
    <PaymentConvention>Following</PaymentConvention>
    <PaymentLag></PaymentLag>
    <PaymentCalendar>US-NYSE</PaymentCalendar>
    <CommodityFixedLegData>
    <Prices>
    <Price>1000</Price>
    </Prices>
    </CommodityFixedLegData>
    <PaymentDates>
    <PaymentDate>2019-10-31</PaymentDate>
    </PaymentDates>
    <ScheduleData>
    <Rules>
    <StartDate>2019-09-01</StartDate>
    <EndDate>2019-10-31</EndDate>
    <Tenor>1M</Tenor>
    <Calendar>NullCalendar</Calendar>
    <Convention>Unadjusted</Convention>
    <TermConvention>Unadjusted</TermConvention>
    <Rule>Backward</Rule>
    <EndOfMonth>true</EndOfMonth>
    </Rules>
    </ScheduleData>
    </LegData>
    <LegData>
    <LegType>CommodityFloating</LegType>
    <Payer>true</Payer>
    <Currency>USD</Currency>
    <PaymentLag>2</PaymentLag>
    <PaymentConvention>Following</PaymentConvention>
    <PaymentCalendar>US-NYSE</PaymentCalendar>
    <CommodityFloatingLegData>
    <Name>NYMEX:CL</Name>
    <PriceType>FutureSettlement</PriceType>
    <Quantities>
    <Quantity>5000</Quantity>
    </Quantities>
    <IsAveraged>true</IsAveraged>
    <FutureMonthOffset>0</FutureMonthOffset>
    </CommodityFloatingLegData>
    <ScheduleData>
    <Rules>
    <StartDate>2019-09-01</StartDate>
    <EndDate>2019-10-31</EndDate>
    <Tenor>1M</Tenor>
    <Calendar>NullCalendar</Calendar>
    <Convention>Unadjusted</Convention>
    <TermConvention>Unadjusted</TermConvention>
    <Rule>Backward</Rule>
    <EndOfMonth>true</EndOfMonth>
    </Rules>
    </ScheduleData>
    </LegData>
    </SwapData>
    </Trade>
    </Portfolio>

    In ore.xml, <Parameter name=”portfolioFile”>portfolio.xml</Parameter> refers to portfoilo.xml constructed above.
    When I execute the ore.xml file, it shows

    C:\ORE\Engine-1.8.6.0\Examples\Example_24>ore.exe .\Input\ore.xml
    ORE starting
    Reference… OK
    Curve configuration… OK
    Market data loader… OK
    Market… OK
    Engine factory… OK
    Portfolio… Error: Portfolio does not contain any built trades

    I don’t know why it complains no built trades in the portfolio even if I set up a commodity swap trade in there. Is something wrong with the commodity swap trade setup? I am new to ORE. Please let me know if you have any suggestions or comments on how to resolve the problem. Thank you.

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