QPR-12130 clean up

Author: mgroncki

OREData/ored/portfolio/commodityposition.cpp

@@ -65,22 +65,24 @@ void CommodityPosition::build(const boost::shared_ptr<ore::data::EngineFactory>&
             ConventionsBasedFutureExpiry feCalc(*convention);
             Date expiry = Settings::instance().evaluationDate();
             Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
-            if (u.futureExpiryDate().empty()) {
+            if (!u.futureContractMonth().empty()) {
+                QL_REQUIRE(u.futureContractMonth().size() == 7,
+                           "FutureContractMonth has invalid format, please use Mon-YYYY, where 'Mon' is a 3 letter "
+                           "month abbreviation.");
+                auto month = parseMonth(u.futureContractMonth().substr(0, 3));
+                auto year = parseInteger(u.futureContractMonth().substr(3, 4));
+                Date contractDate(1, month, year);
+                expiry = feCalc.expiryDate(contractDate, nOffset, false);
+            } else if (!u.futureExpiryDate().empty()) {
+                expiry = parseDate(u.futureExpiryDate());
+                expiry = feCalc.nextExpiry(true,expiry, nOffset, false);
+            } else {
                 if (u.deliveryRollDays() != Null<Size>()) {
-                    auto cal = u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
+                    auto cal = u.deliveryRollCalendar().empty() ? convention->calendar()
+                                                                : parseCalendar(u.deliveryRollCalendar());
                     expiry = cal.advance(expiry, u.deliveryRollDays() * Days, convention->businessDayConvention());
                 }
-                
                 expiry = feCalc.nextExpiry(true, expiry, nOffset);
-            } else if (u.futureExpiryDate().size() == 7) {
-                // parse MONTHYYYY (e.g. NOV2023) format into date
-                auto month = parseMonth(u.futureExpiryDate().substr(0, 3));
-                auto year = parseInteger(u.futureExpiryDate().substr(3, 4));
-                Date contractDate(1, month, year);
-                expiry = feCalc.expiryDate(contractDate, nOffset, false);
-            } else {
-                Date contractDate = parseDate(u.futureExpiryDate());
-                expiry = feCalc.expiryDate(contractDate, nOffset, false);
             }
             index = index->clone(expiry, pts);
         }

OREData/ored/portfolio/underlying.cpp

@@ -134,6 +134,9 @@ void CommodityUnderlying::fromXML(XMLNode* node) {
         deliveryRollCalendar_ = XMLUtils::getChildValue(node, "DeliveryRollCalendar", false);
         isBasic_ = false;
         futureExpiryDate_ = XMLUtils::getChildValue(node, "FutureExpiryDate", false);
+        futureContractMonth_ = XMLUtils::getChildValue(node, "FutureContractMonth", false);
+        QL_REQUIRE(futureExpiryDate_.empty() || futureContractMonth_.empty(),
+                   "Only futureExpiryDate or futureContractMonth are allowed not both");
     } else {
         QL_FAIL("Need either a Name or Underlying node for CommodityUnderlying.");
     }
@@ -156,6 +159,8 @@ XMLNode* CommodityUnderlying::toXML(XMLDocument& doc) {
             XMLUtils::addChild(doc, node, "DeliveryRollCalendar", deliveryRollCalendar_);
         if (!futureExpiryDate_.empty()) 
             XMLUtils::addChild(doc, node, "FutureExpiryDate", futureExpiryDate_);
+        if (!futureContractMonth_.empty())
+            XMLUtils::addChild(doc, node, "FutureContractMonth", futureContractMonth_);
     }
     return node;
 }

OREData/ored/portfolio/underlying.hpp

@@ -140,8 +140,8 @@ class CommodityUnderlying : public Underlying {
     QuantLib::Size futureMonthOffset() const { return futureMonthOffset_; }
     QuantLib::Size deliveryRollDays() const { return deliveryRollDays_; }
     const std::string& deliveryRollCalendar() const { return deliveryRollCalendar_; }
-    const std::string& futureExpiryDate() const { return futureExpiryDate_; }
-
+    const std::string& futureContractMonth() const { return futureContractMonth_; }
+    const std::string& futureExpiryDate() const { return futureExpiryDate_;  }
     //! \name Serialisation
     //@{
     void fromXML(XMLNode* node) override;
@@ -153,6 +153,7 @@ class CommodityUnderlying : public Underlying {
     QuantLib::Size futureMonthOffset_ = QuantLib::Null<QuantLib::Size>();
     QuantLib::Size deliveryRollDays_ = QuantLib::Null<QuantLib::Size>();
     std::string deliveryRollCalendar_;
+    std::string futureContractMonth_;
     std::string futureExpiryDate_;
 };