QPR-12014 populate sensi template in all trade builders

Author: pcaspers

OREData/ored/portfolio/ascot.cpp

@@ -72,6 +72,7 @@ void Ascot::build(const boost::shared_ptr<ore::data::EngineFactory>& engineFacto
     auto qlAscot =
         boost::make_shared<QuantExt::Ascot>(type, exercise, bond_.data().bondData().bondNotional(), cb, fundingLeg);
     qlAscot->setPricingEngine(builder->engine(id(), bond_.data().bondData().currency()));
+    setSensitivityTemplate(*builder);
 
     Real multiplier = (parsePositionType(optionData_.longShort()) == Position::Long ? 1.0 : -1.0);
     instrument_ =

OREData/ored/portfolio/asianoption.cpp

@@ -158,6 +158,7 @@ void AsianOption::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     string configuration = asianOptionBuilder->configuration(MarketContext::pricing);
     if (!asian->isExpired()) {
         asian->setPricingEngine(asianOptionBuilder->engine(assetName_, payCcy, expiryDate));
+        setSensitivityTemplate(*asianOptionBuilder);
     } else {
         DLOG("No engine attached for option on trade " << id() << " with expiry date " << io::iso_date(expiryDate)
                                                        << " because it is expired.");

OREData/ored/portfolio/bond.cpp

@@ -268,6 +268,7 @@ void Bond::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     QL_REQUIRE(bondBuilder, "No Builder found for Bond: " << id());
     bond->setPricingEngine(bondBuilder->engine(currency, bondData_.creditCurveId(), bondData_.hasCreditRisk(),
                                                bondData_.securityId(), bondData_.referenceCurveId()));
+    setSensitivityTemplate(*bondBuilder);
     instrument_.reset(new VanillaInstrument(bond, mult));
 
     npvCurrency_ = bondData_.currency();

OREData/ored/portfolio/bondoption.cpp

@@ -113,6 +113,7 @@ void BondOption::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         bondOptionBuilder->engine(id(), currency, bondData_.creditCurveId(), bondData_.hasCreditRisk(),
                                   bondData_.securityId(), bondData_.referenceCurveId(), bondData_.volatilityCurveId()));
     bondoption->setPricingEngine(blackEngine);
+    setSensitivityTemplate(*bondOptionBuilder);
 
     Real multiplier =
         bondData_.bondNotional() * (parsePositionType(optionData_.longShort()) == Position::Long ? 1.0 : -1.0);

OREData/ored/portfolio/bondrepo.cpp

@@ -102,6 +102,7 @@ void BondRepo::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
 
     qlInstr->setPricingEngine(builder->engine(securityLegData_.incomeCurveId()));
     instrument_ = boost::make_shared<VanillaInstrument>(qlInstr);
+    setSensitivityTemplate(*builder);
 
     // set additionalData
     additionalData_["underlyingSecurityId"] = securityLegData_.securityId();

OREData/ored/portfolio/bondtotalreturnswap.cpp

@@ -186,6 +186,7 @@ void BondTRS::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         boost::dynamic_pointer_cast<BondTRSEngineBuilder>(builder_trs);
     QL_REQUIRE(trsBondBuilder, "No Builder found for BondTRS: " << id());
     bondTRS->setPricingEngine(trsBondBuilder->engine(fundingLegData_.currency()));
+    setSensitivityTemplate(*trsBondBuilder);
     instrument_.reset(new VanillaInstrument(bondTRS));
 
     npvCurrency_ = fundingLegData_.currency();

OREData/ored/portfolio/capfloor.cpp

@@ -117,6 +117,7 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
                     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())));
@@ -156,6 +157,7 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
             boost::shared_ptr<CapFloorEngineBuilder> capFloorBuilder =
                 boost::dynamic_pointer_cast<CapFloorEngineBuilder>(builder);
             qlInstrument->setPricingEngine(capFloorBuilder->engine(underlyingIndex));
+            setSensitivityTemplate(*capFloorBuilder);
 
             maturity_ = boost::dynamic_pointer_cast<QuantLib::CapFloor>(qlInstrument)->maturityDate();
         }
@@ -186,8 +188,17 @@ 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() == "DurationAdjustedCMS") {
@@ -227,8 +238,17 @@ 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() == "CPI") {
         DLOG("CPI CapFloor Type " << capFloorType << " ID " << id());
@@ -345,6 +365,7 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
                     Option::Call, nominal, startDate, baseCPI, paymentDate, cal, conv, cal, conv, caps_[i], zeroIndex,
                     observationLag, interpolationMethod);
                 capfloor->setPricingEngine(capFloorBuilder->engine(underlyingIndex));
+                setSensitivityTemplate(*capFloorBuilder);
                 boost::dynamic_pointer_cast<QuantLib::CompositeInstrument>(qlInstrument)->add(capfloor, gearing);
                 maturity_ = std::max(maturity_, capfloor->payDate());
             }
@@ -356,6 +377,7 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
                     Option::Put, nominal, startDate, baseCPI, paymentDate, cal, conv, cal, conv, floors_[i], zeroIndex,
                     observationLag, interpolationMethod);
                 capfloor->setPricingEngine(capFloorBuilder->engine(underlyingIndex));
+                setSensitivityTemplate(*capFloorBuilder);
                 boost::dynamic_pointer_cast<QuantLib::CompositeInstrument>(qlInstrument)->add(capfloor, sign * gearing);
                 maturity_ = std::max(maturity_, capfloor->payDate());
             }
@@ -419,6 +441,7 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         boost::shared_ptr<YoYCapFloorEngineBuilder> capFloorBuilder =
             boost::dynamic_pointer_cast<YoYCapFloorEngineBuilder>(builder);
         qlInstrument->setPricingEngine(capFloorBuilder->engine(underlyingIndex));
+        setSensitivityTemplate(*capFloorBuilder);
 
         // Wrap the QL instrument in a vanilla instrument
 

OREData/ored/portfolio/cbo.cpp

@@ -109,6 +109,7 @@ void CBO::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     boost::shared_ptr<CboMCEngineBuilder> cboBuilder = boost::dynamic_pointer_cast<CboMCEngineBuilder>(builder);
     QL_REQUIRE(cboBuilder, "No Builder found for CBO: " << id());
     cbo->setPricingEngine(cboBuilder->engine(bondbasket_->pool()));
+    setSensitivityTemplate(*cboBuilder);
     instrument_.reset(new VanillaInstrument(cbo, multiplier_));
 
     maturity_ = schedule.endDate();
@@ -467,4 +468,4 @@ void CBO::validateCbo(){
 }
 
 } // namespace data
-} // namespace ore
+} // namespace ore

OREData/ored/portfolio/cdo.cpp

@@ -548,6 +548,7 @@ void SyntheticCDO::build(const boost::shared_ptr<EngineFactory>& engineFactory)
 
         cdoDetach->setPricingEngine(
             cdoEngineBuilder->engine(ccy, false, {}, calibrationFactor, fixedRecovery));
+        setSensitivityTemplate(*cdoEngineBuilder);
         cdoD = cdoDetach;
 
         DLOG("Detachment tranche [0," << adjDetachPoint << "] built.");
@@ -566,6 +567,7 @@ void SyntheticCDO::build(const boost::shared_ptr<EngineFactory>& engineFactory)
 
         cds->setPricingEngine(
             cdoEngineBuilder->engine(ccy, true, creditCurves, calibrationFactor, fixedRecovery));
+        setSensitivityTemplate(*cdoEngineBuilder);
         cdoD = cds;
 
         DLOG("Index CDS for [0,1.0] 'tranche' built.");
@@ -593,6 +595,7 @@ void SyntheticCDO::build(const boost::shared_ptr<EngineFactory>& engineFactory)
 
         cdoA->setPricingEngine(
             cdoEngineBuilder->engine(ccy, false, {}, calibrationFactor, fixedRecovery));
+        setSensitivityTemplate(*cdoEngineBuilder);
 
         DLOG("Attachment tranche [0," << adjAttachPoint << "] built.");
 

OREData/ored/portfolio/cliquetoption.cpp

@@ -78,6 +78,7 @@ void CliquetOption::build(const boost::shared_ptr<EngineFactory>& engineFactory)
         boost::dynamic_pointer_cast<CliquetOptionEngineBuilder>(builder);
 
     cliquet->setPricingEngine(cliquetOptionBuilder->engine(name(), ccy));
+    setSensitivityTemplate(*cliquetOptionBuilder);
 
     instrument_ = boost::shared_ptr<InstrumentWrapper>(new VanillaInstrument(cliquet));