QPR-12130 commodity future of a specific contract instead of the prompt future

Author: mgroncki

OREData/ored/portfolio/commodityposition.cpp

@@ -64,15 +64,24 @@ void CommodityPosition::build(const boost::shared_ptr<ore::data::EngineFactory>&
             auto convention = boost::dynamic_pointer_cast<CommodityFutureConvention>(p.second);
             ConventionsBasedFutureExpiry feCalc(*convention);
             Date expiry = Settings::instance().evaluationDate();
-            if (u.deliveryRollDays() != Null<Size>()) {
-                auto cal = u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
-                expiry = cal.advance(expiry, u.deliveryRollDays() * Days, convention->businessDayConvention());
-            }
-            
             Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
-
-            expiry = feCalc.nextExpiry(true, expiry, nOffset);
-            
+            if (u.futureExpiryDate().empty()) {
+                if (u.deliveryRollDays() != Null<Size>()) {
+                    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);
         }
         indices_.push_back(index);

OREData/ored/portfolio/underlying.cpp

@@ -133,6 +133,7 @@ void CommodityUnderlying::fromXML(XMLNode* node) {
             deliveryRollDays_ = Null<Size>();
         deliveryRollCalendar_ = XMLUtils::getChildValue(node, "DeliveryRollCalendar", false);
         isBasic_ = false;
+        futureExpiryDate_ = XMLUtils::getChildValue(node, "FutureExpiryDate", false);
     } else {
         QL_FAIL("Need either a Name or Underlying node for CommodityUnderlying.");
     }
@@ -153,6 +154,8 @@ XMLNode* CommodityUnderlying::toXML(XMLDocument& doc) {
             XMLUtils::addChild(doc, node, "DeliveryRollDays", (int)deliveryRollDays_);
         if (!deliveryRollCalendar_.empty())
             XMLUtils::addChild(doc, node, "DeliveryRollCalendar", deliveryRollCalendar_);
+        if (!futureExpiryDate_.empty()) 
+            XMLUtils::addChild(doc, node, "FutureExpiryDate", futureExpiryDate_);
     }
     return node;
 }

OREData/ored/portfolio/underlying.hpp

@@ -140,6 +140,7 @@ 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_; }
 
     //! \name Serialisation
     //@{
@@ -152,6 +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 futureExpiryDate_;
 };
 
 class FXUnderlying : public Underlying {