Merge remote-tracking branch 'origin/master' into QPR-11777

Author: rolandlichters

Docs/UserGuide/tradedata/totalReturnSwap.tex

@@ -52,6 +52,7 @@ \subsubsection{Generic Total Return Swap / Contract for Difference (CFD)}
   \item Bond: See \ref{ss:bond}, the trade data is given in a BondData sub node.
   \item ForwardBond: See \ref{ss:BondForward_refdata}, the trade data is given in a ForwardBondData sub node.
   \item CBO: See \ref{ss:CBOData}, the trade data is given in a CBOData sub node.
+  \item CommodityPosition: See \ref{ss:commodity_position}, the trade data is given in a CommodityPositionData sub node.
   \item ConvertibleBond: See \ref{ss:convertible_bond}, the trade data is given in a ConvertibleBondData sub
     node. When using reference data, a TRS on a convertible bond can also be captured as a TRS on a bond, i.e. there is
     no need to distinguish between a TRS on a Bond and a TRS on a convertible Bond in this case, the pricer will figure
@@ -416,6 +417,33 @@ \subsubsection{Generic Total Return Swap / Contract for Difference (CFD)}
 \label{lst:trsdata4}
 \end{listing}
 
+\begin{listing}[H]
+%\hrule\medskip
+\begin{minted}[fontsize=\footnotesize]{xml}
+    <TotalReturnSwapData>
+      <UnderlyingData>
+        <Trade>
+          <TradeType>CommodityPosition</TradeType>
+          <CommodityPositionData>
+            <!-- basket price = quantity x sum_i ( weight_i x equityPrice_i x fx_i ) -->
+            <Quantity>1000</Quantity>
+            <Underlying>
+              <Type>Commodity</Type>
+              <Name>RIC:.BCOM</Name>
+              <Weight>1.0</Weight>
+              <PriceType>Spot</PriceType>
+            </Underlying>
+          </CommodityPositionData>
+        </Trade>
+      </UnderlyingData>
+      <!-- omitting ReturnData, FundingData, AdditionalCashflowData -->
+    </TotalReturnSwapData>
+  </Trade>
+\end{minted}
+\caption{Generic Total Return Swap on a commodity index underlying}
+\label{lst:trsdata5}
+\end{listing}
+
 \begin{listing}[H]
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}

Docs/UserGuide/userguide.tex

@@ -6018,7 +6018,6 @@ \subsection{Calendar Adjustment: {\tt calendaradjustment.xml}}\label{sec:calenda
 \input{tradedata/cbodata.tex}
 
 \input{tradedata/compositetrade}
-\input{tradedata/totalReturnSwap}
 
 \input{tradedata/creditdefaultswap}
 \input{tradedata/indexcds}
@@ -6035,6 +6034,8 @@ \subsection{Calendar Adjustment: {\tt calendaradjustment.xml}}\label{sec:calenda
 \input{tradedata/commodityvarianceswap}
 \input{tradedata/commodityposition}
 
+\input{tradedata/totalReturnSwap}
+
 %\include{tradecomponents}
 \input{tradecomponents/tradecomponentsintro}
 \input{tradecomponents/optiondata}