QPR-12014 fixes

Author: pcaspers

OREData/ored/portfolio/asianoption.cpp

@@ -80,6 +80,7 @@ void AsianOption::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         npvCurrency_ = delegatingBuilderTrade_->npvCurrency();
         additionalData_ = delegatingBuilderTrade_->additionalData();
 	requiredFixings_ = delegatingBuilderTrade_->requiredFixings();
+        setSensitivityTemplate(delegatingBuilderTrade_->sensitivityTemplate());
 
         // notional and notional currency are defined in overriden methods!
 

OREData/ored/portfolio/bondposition.cpp

@@ -108,6 +108,8 @@ void BondPosition::build(const boost::shared_ptr<ore::data::EngineFactory>& engi
     additionalData_["isdaBaseProduct"] = string("");
     additionalData_["isdaSubProduct"] = string("");
     additionalData_["isdaTransaction"] = string("");
+
+    setSensitivityTemplate(std::string());
 }
 
 void BondPosition::setNpvCurrencyConversion(const std::string& ccy, const Handle<Quote>& conversion) {

OREData/ored/portfolio/capfloor.cpp

@@ -217,8 +217,17 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         // the StrippedCappedFlooredCoupon used to extract the naked options assumes a long floor
         // and a short cap while we have documented a collar to be a short floor and long cap
         qlInstrument = boost::make_shared<QuantLib::Swap>(legs_, std::vector<bool>{!floors_.empty() && !caps_.empty()});
-        qlInstrument->setPricingEngine(
-            boost::make_shared<DiscountingSwapEngine>(engineFactory->market()->discountCurve(legData_.currency())));
+        if (engineFactory->engineData()->hasProduct("Swap")) {
+            builder = engineFactory->builder("Swap");
+            boost::shared_ptr<SwapEngineBuilderBase> swapBuilder =
+                boost::dynamic_pointer_cast<SwapEngineBuilderBase>(builder);
+            QL_REQUIRE(swapBuilder, "No Builder found for Swap " << id());
+            qlInstrument->setPricingEngine(swapBuilder->engine(parseCurrency(legData_.currency())));
+            setSensitivityTemplate(*swapBuilder);
+        } else {
+            qlInstrument->setPricingEngine(
+                boost::make_shared<DiscountingSwapEngine>(engineFactory->market()->discountCurve(legData_.currency())));
+        }
         maturity_ = CashFlows::maturityDate(legs_.front());
     } else if (legData_.legType() == "CMSSpread") {
         builder = engineFactory->builder("Swap");

OREData/ored/portfolio/commodityapo.cpp

@@ -301,6 +301,7 @@ void CommodityAveragePriceOption::buildStandardOption(const boost::shared_ptr<En
     CommodityOption commOption(envelope(), optionData_, name_, currency_, effectiveQuantity, effectiveStrike,
                                flow->index()->isFuturesIndex(), flow->pricingDate());
     commOption.build(engineFactory);
+    setSensitivityTemplate(commOption.sensitivityTemplate());
     instrument_ = commOption.instrument();
     maturity_ = commOption.maturity();
 }

OREData/ored/portfolio/commoditydigitaloption.cpp

@@ -102,6 +102,8 @@ void CommodityDigitalOption::build(const boost::shared_ptr<EngineFactory>& engin
     boost::shared_ptr<Instrument> inst1 = opt1.instrument()->qlInstrument();
     boost::shared_ptr<Instrument> inst2 = opt2.instrument()->qlInstrument();
 
+    setSensitivityTemplate(opt1.sensitivityTemplate());
+
     boost::shared_ptr<CompositeInstrument> composite = boost::make_shared<CompositeInstrument>();
     // add and subtract such that the long call spread and long put spread have positive values
     if (optionData_.callPut() == "Call") {

OREData/ored/portfolio/commodityposition.cpp

@@ -107,6 +107,7 @@ void CommodityPosition::build(const boost::shared_ptr<ore::data::EngineFactory>&
     auto qlInstr =
         boost::make_shared<CommodityPositionInstrumentWrapper>(data_.quantity(), indices_, weights_, fxConversion_);
     qlInstr->setPricingEngine(boost::make_shared<CommodityPositionInstrumentWrapperEngine>());
+    setSensitivityTemplate(std::string());
     instrument_ = boost::make_shared<VanillaInstrument>(qlInstr);
 
     // no sensible way to set these members

OREData/ored/portfolio/failedtrade.cpp

@@ -42,6 +42,7 @@ void FailedTrade::build(const boost::shared_ptr<EngineFactory>&) {
     notional_ = 0.0;
     notionalCurrency_ = npvCurrency_ = "USD";
     maturity_ = Date::maxDate();
+    setSensitivityTemplate(std::string());
 }
 
 void FailedTrade::setUnderlyingTradeType(const std::string& underlyingTradeType) {