add underlying index method to commodityspreadoption

Author: mgroncki

OREData/ored/portfolio/commodityspreadoption.cpp

@@ -304,6 +304,24 @@ void CommoditySpreadOption::build(const boost::shared_ptr<ore::data::EngineFacto
     }
 }
 
+std::map<ore::data::AssetClass, std::set<std::string>>
+CommoditySpreadOption::underlyingIndices(const boost::shared_ptr<ReferenceDataManager>& referenceDataManager) const {
+    std::map<ore::data::AssetClass, std::set<std::string>> result;
+    auto legData = csoData_.legData();
+    for (const auto& leg : legData) {
+        set<string> indices = leg.indices();
+        for (auto ind : indices) {
+            boost::shared_ptr<Index> index = parseIndex(ind);
+            // only handle commodity
+            if (auto ci = boost::dynamic_pointer_cast<QuantExt::CommodityIndex>(index)) {
+                result[ore::data::AssetClass::COM].insert(ci->name());
+            }
+        }
+    }
+    return result;
+}
+
+
 void CommoditySpreadOption::fromXML(XMLNode* node) {
     Trade::fromXML(node);
     XMLNode* csoNode = XMLUtils::getChildNode(node, "CommoditySpreadOptionData");
@@ -356,6 +374,7 @@ XMLNode* CommoditySpreadOptionData::toXML(XMLDocument& doc) {
     return csoNode;
 }
 
+
 void CommoditySpreadOptionData::OptionStripData::fromXML(XMLNode* node) {
     XMLUtils::checkNode(node, "OptionStripPaymentDates");
     XMLNode* optionStripScheduleNode = XMLUtils::getChildNode(node, "OptionStripDefinition");

OREData/ored/portfolio/commodityspreadoption.hpp

@@ -93,6 +93,10 @@ class CommoditySpreadOption : public ore::data::Trade {
 
     //@}
 
+    //! Add underlying Commodity names
+    std::map<ore::data::AssetClass, std::set<std::string>>
+    underlyingIndices(const boost::shared_ptr<ReferenceDataManager>& referenceDataManager = nullptr) const override;
+
 private:
     CommoditySpreadOptionData csoData_;
     std::vector<std::string> fxIndex_;