QPR-12213: Commodity Forward Notional Change

Author: damienbarker

Examples/Example_24/ExpectedOutput/npv.csv

@@ -1,7 +1,7 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-CommodityForward_Gold_1Y,CommodityForward,2017-02-05,1.000262,1398.707538,USD,1398.707538,USD,1160593.33,USD,1160593.33,CPTY_A,CPTY_A
+CommodityForward_Gold_1Y,CommodityForward,2017-02-05,1.000262,1398.707538,USD,1398.707538,USD,1162000.0,USD,1162000.0,CPTY_A,CPTY_A
 CommodityForward_Gold_Apr_17,CommodityForward,2017-04-28,1.224920,0.000000,USD,0.000000,USD,580900.00,USD,580900.00,CPTY_A,CPTY_A
-CommodityForward_WTI_2Y,CommodityForward,2018-02-05,2.000262,-1669620.658788,USD,-1669620.658788,USD,44308571.43,USD,44308571.43,CPTY_A,CPTY_A
+CommodityForward_WTI_2Y,CommodityForward,2018-02-05,2.000262,-1669620.658788,USD,-1669620.658788,USD,46000000.0,USD,46000000.0,CPTY_A,CPTY_A
 CommodityForward_WTI_Oct_21,CommodityForward,2021-10-31,5.734509,0.000000,USD,0.000000,USD,24875000.00,USD,24875000.00,CPTY_A,CPTY_A
 CommodityOption_WTI_Oct_21,CommodityOption,2021-10-31,5.734509,2399271.748696,USD,2399271.748696,USD,24875000.00,USD,24875000.00,CPTY_A,CPTY_A
 CommodityOption_Gold_Apr_17,CommodityOption,2017-04-28,1.224920,-23531.459416,USD,-23531.459416,USD,580900.00,USD,580900.00,CPTY_A,CPTY_A

OREData/ored/portfolio/commodityforward.cpp

@@ -148,7 +148,7 @@ void CommodityForward::build(const boost::shared_ptr<EngineFactory>& engineFacto
     npvCurrency_ = fixingDate_==Date() ? currency_ : payCcy_;
 
     // notional_ = strike_ * quantity_;
-    notional_ = Null<Real>(); // is handled by override of notional()
+    notional_ = strike_ * quantity_;
     notionalCurrency_ = currency_;
 
     additionalData_["quantity"] = quantity_;
@@ -168,17 +168,7 @@ void CommodityForward::build(const boost::shared_ptr<EngineFactory>& engineFacto
     additionalData_["isdaTransaction"] = string("");  
 }
 
-Real CommodityForward::notional() const {
-    // try to get the notional from the additional results of the instrument
-    try {
-        return instrument_->qlInstrument(true)->result<Real>("currentNotional");
-    } catch (const std::exception& e) {
-        if (strcmp(e.what(), "currentNotional not provided"))
-            ALOG("error when retrieving notional: " << e.what());
-    }
-    // if not provided, return null
-    return Null<Real>();
-}
+Real CommodityForward::notional() const { return notional_; }
 
 std::map<AssetClass, std::set<std::string>>
 CommodityForward::underlyingIndices(const boost::shared_ptr<ReferenceDataManager>& referenceDataManager) const {