QPR-12206 code cleanup

Author: mgroncki

OREData/ored/portfolio/swap.cpp

@@ -58,7 +58,7 @@ void Swap::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     Size numLegs = legData_.size();
     legPayers_ = vector<bool>(numLegs);
     std::vector<QuantLib::Currency> currencies(numLegs);
-    std::vector<QuantLib::Currency> underlyingCurrencies(numLegs);
+    std::vector<QuantLib::Currency> currenciesForMcSimulation;
     legs_.resize(numLegs);
 
     isXCCY_ = false;
@@ -78,24 +78,29 @@ void Swap::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     }
 
 
-    // Check if there is indexing is used for NDF, needed for AMC
+    // Check if there is indexing is used, need to collect all underlying currrencies
+    // for AMC simulations, such a trade needs to be treated a x-ccy swap with both leg paying
+    // one currency.
+    auto addUnique = [](vector<Currency>& currencies, Currency ccy) {
+        if (std::find(currencies.begin(), currencies.end(), ccy) ==
+            currencies.end()) {
+            currencies.push_back(ccy);
+        }
+    };
+    
     for (Size i = 0; i < numLegs; ++i) {
-        underlyingCurrencies[i] = currencies[i];
-        if (tradeType_ == "CrossCurrencySwap" && !isXCCY_) {
-            vector<Indexing> indexings = legData_[i].indexing();
-            if (!indexings.empty() && indexings.front().hasData()) {
-                Indexing indexing = indexings.front();
-                if (boost::starts_with(indexing.index(), "FX-")) {
-                    auto index = parseFxIndex(indexing.index());
-                    Currency srcCurrency = index->sourceCurrency();
-                    Currency tgtCurrency = index->targetCurrency();
-                    underlyingCurrencies[i] = currency == srcCurrency ? tgtCurrency : srcCurrency;
-                    isXCCY_ = true;
-                }
+        addUnique(currenciesForMcSimulation, currencies[i]);
+        vector<Indexing> indexings = legData_[i].indexing();
+        if (!indexings.empty() && indexings.front().hasData()) {
+            Indexing indexing = indexings.front();
+            if (boost::starts_with(indexing.index(), "FX-")) {
+                auto index = parseFxIndex(indexing.index());
+                addUnique(currenciesForMcSimulation, index->targetCurrency());
+                addUnique(currenciesForMcSimulation, index->sourceCurrency());
             }
         }
     }
-
+    isXCCY_ = isXCCY_ || currenciesForMcSimulation.size() > 1;
     static std::set<std::string> eligibleForXbs = {"Fixed", "Floating"};
     bool useXbsCurves = true;
     for(Size i=0;i<numLegs;++i) {
@@ -175,7 +180,7 @@ void Swap::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         boost::shared_ptr<CrossCurrencySwapEngineBuilderBase> swapBuilder =
             boost::dynamic_pointer_cast<CrossCurrencySwapEngineBuilderBase>(builder);
         QL_REQUIRE(swapBuilder, "No Builder found for CrossCurrencySwap " << id());
-        swap->setPricingEngine(swapBuilder->engine(underlyingCurrencies, npvCcy));
+        swap->setPricingEngine(swapBuilder->engine(currenciesForMcSimulation, npvCcy));
         // take the first legs currency as the npv currency (arbitrary choice)
         instrument_.reset(new VanillaInstrument(swap));
     } else {