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QPR-11979 map credit free convertible bonds to Equity instead of Rates, general clean-up
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‎OREAnalytics/orea/simm/simmconfiguration.cpp‎

Lines changed: 0 additions & 229 deletions
Original file line numberDiff line numberDiff line change
@@ -116,223 +116,6 @@ const Size SimmConfiguration::numberOfMarginTypes = marginTypeMap.size();
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const Size SimmConfiguration::numberOfProductClasses = productClassMap.size();
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const Size SimmConfiguration::numberOfRegulations = regulationsMap.size();
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// Initialise the ORE trade to product class mapping
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// Note that not all trade types are here, some are defined by logic (e.g. FxForward)
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const map<string, SimmConfiguration::ProductClass> tradeProductClassMap = {
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{"CommodityAccumulator", SimmConfiguration::ProductClass::Commodity},
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{"CommodityAsianOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityAveragePriceOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityBasketOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityForward", SimmConfiguration::ProductClass::Commodity},
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{"CommodityOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityDigitalAveragePriceOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityDigitalOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityOptionStrip", SimmConfiguration::ProductClass::Commodity},
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{"CommodityPosition", SimmConfiguration::ProductClass::Commodity},
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{"CommodityRainbowOption", SimmConfiguration::ProductClass::Commodity},
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{"CommoditySpreadOption", SimmConfiguration::ProductClass::Commodity},
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{"CommoditySwap", SimmConfiguration::ProductClass::Commodity},
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{"CommoditySwaption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityTaRF", SimmConfiguration::ProductClass::Commodity},
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{"CommodityVarianceSwap", SimmConfiguration::ProductClass::Commodity},
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{"CommodityPairwiseVarianceSwap", SimmConfiguration::ProductClass::Commodity},
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{"CommodityBasketVarianceSwap", SimmConfiguration::ProductClass::Commodity},
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{"Ascot", SimmConfiguration::ProductClass::Credit},
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{"AssetBackedCreditDefaultSwap", SimmConfiguration::ProductClass::Credit},
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{"CBO", SimmConfiguration::ProductClass::Credit},
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{"CreditDefaultSwap", SimmConfiguration::ProductClass::Credit},
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{"CreditDefaultSwapOption", SimmConfiguration::ProductClass::Credit},
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{"CreditLinkedSwap", SimmConfiguration::ProductClass::Credit},
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{"IndexCreditDefaultSwap", SimmConfiguration::ProductClass::Credit},
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{"IndexCreditDefaultSwapOption", SimmConfiguration::ProductClass::Credit},
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{"RiskParticipationAgreement", SimmConfiguration::ProductClass::Credit},
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{"SyntheticCDO", SimmConfiguration::ProductClass::Credit},
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{"Failed", SimmConfiguration::ProductClass::Empty},
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{"IMScheduleTrade", SimmConfiguration::ProductClass::Empty},
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{"SensiTrade", SimmConfiguration::ProductClass::Empty},
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{"UseCounterparty", SimmConfiguration::ProductClass::Empty},
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{"EquityAccumulator", SimmConfiguration::ProductClass::Equity},
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{"EquityAsianOption", SimmConfiguration::ProductClass::Equity},
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{"EquityAsianOption", SimmConfiguration::ProductClass::Equity},
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{"EquityBarrierOption", SimmConfiguration::ProductClass::Equity},
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{"EquityBasketOption", SimmConfiguration::ProductClass::Equity},
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{"EquityCliquetOption", SimmConfiguration::ProductClass::Equity},
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{"EquityDigitalOption", SimmConfiguration::ProductClass::Equity},
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{"EquityDoubleBarrierOption", SimmConfiguration::ProductClass::Equity},
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{"EquityDoubleTouchOption", SimmConfiguration::ProductClass::Equity},
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{"EquityEuropeanBarrierOption", SimmConfiguration::ProductClass::Equity},
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{"EquityForward", SimmConfiguration::ProductClass::Equity},
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{"EquityFutureOption", SimmConfiguration::ProductClass::Equity},
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{"EquityOption", SimmConfiguration::ProductClass::Equity},
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{"EquityOptionPosition", SimmConfiguration::ProductClass::Equity},
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{"EquityOutperformanceOption", SimmConfiguration::ProductClass::Equity},
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{"EquityPosition", SimmConfiguration::ProductClass::Equity},
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{"EquityRainbowOption", SimmConfiguration::ProductClass::Equity},
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{"EquitySwap", SimmConfiguration::ProductClass::Equity},
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{"EquityWorstOfBasketSwap", SimmConfiguration::ProductClass::Equity},
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{"EquityTaRF", SimmConfiguration::ProductClass::Equity},
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{"EquityTouchOption", SimmConfiguration::ProductClass::Equity},
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{"EquityVarianceSwap", SimmConfiguration::ProductClass::Equity},
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{"EquityPairwiseVarianceSwap", SimmConfiguration::ProductClass::Equity},
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{"EquityBasketVarianceSwap", SimmConfiguration::ProductClass::Equity},
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{"FxAccumulator", SimmConfiguration::ProductClass::RatesFX},
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{"FxAsianOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxAsianOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxBarrierOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxBasketOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxDigitalBarrierOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxDigitalOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxDoubleBarrierOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxDoubleTouchOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxEuropeanBarrierOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxAverageForward", SimmConfiguration::ProductClass::RatesFX},
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{"FxForward", SimmConfiguration::ProductClass::RatesFX},
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{"FxKIKOBarrierOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxRainbowOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxSwap", SimmConfiguration::ProductClass::RatesFX},
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{"FxTaRF", SimmConfiguration::ProductClass::RatesFX},
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{"FxTouchOption", SimmConfiguration::ProductClass::RatesFX},
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{"FxVarianceSwap", SimmConfiguration::ProductClass::RatesFX},
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{"FxPairwiseVarianceSwap", SimmConfiguration::ProductClass::RatesFX},
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{"FxBasketVarianceSwap", SimmConfiguration::ProductClass::RatesFX},
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{"BalanceGuaranteedSwap", SimmConfiguration::ProductClass::RatesFX},
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{"Bond", SimmConfiguration::ProductClass::RatesFX},
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{"BondOption", SimmConfiguration::ProductClass::RatesFX},
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{"BondRepo", SimmConfiguration::ProductClass::RatesFX},
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{"BondTRS", SimmConfiguration::ProductClass::RatesFX},
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{"CallableSwap", SimmConfiguration::ProductClass::RatesFX},
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{"CapFloor", SimmConfiguration::ProductClass::RatesFX},
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{"ConvertibleBond", SimmConfiguration::ProductClass::RatesFX},
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{"FlexiSwap", SimmConfiguration::ProductClass::RatesFX},
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{"ForwardBond", SimmConfiguration::ProductClass::RatesFX},
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{"ForwardRateAgreement", SimmConfiguration::ProductClass::RatesFX},
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{"MultiLegOption", SimmConfiguration::ProductClass::RatesFX},
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{"CrossCurrencySwap", SimmConfiguration::ProductClass::RatesFX},
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{"Swap", SimmConfiguration::ProductClass::RatesFX},
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{"InflationSwap", SimmConfiguration::ProductClass::RatesFX},
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{"Swaption", SimmConfiguration::ProductClass::RatesFX},
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{"TotalReturnSwap", SimmConfiguration::ProductClass::RatesFX},
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{"ContractForDifference", SimmConfiguration::ProductClass::RatesFX},
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{"Autocallable_01", SimmConfiguration::ProductClass::Equity},
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// These are generic products that need logic to determine the product class, see
219-
// utilities.cpp/simmProductClassFromOreTrade()
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{"Autocallable_01", SimmConfiguration::ProductClass::Equity},
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{"CompositeTrade", SimmConfiguration::ProductClass::RatesFX},
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{"DoubleDigitalOption", SimmConfiguration::ProductClass::RatesFX},
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{"EuropeanOptionBarrier", SimmConfiguration::ProductClass::Equity},
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{"PerformanceOption_01", SimmConfiguration::ProductClass::Equity},
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{"ScriptedTrade", SimmConfiguration::ProductClass::Equity}};
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// Initialise the ORE trade to product class mapping
228-
// Note that not all trade types are here, some are defined by logic (e.g. FxForward)
229-
const map<string, SimmConfiguration::ProductClass> tradeScheduleProductClassMap = {
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{"CommodityAccumulator", SimmConfiguration::ProductClass::Commodity},
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{"CommodityAsianOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityAveragePriceOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityBasketOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityDigitalAveragePriceOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityDigitalOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityForward", SimmConfiguration::ProductClass::Commodity},
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{"CommodityOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityOptionStrip", SimmConfiguration::ProductClass::Commodity},
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{"CommodityPosition", SimmConfiguration::ProductClass::Commodity},
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{"CommodityRainbowOption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityWorstOfBasketSwap", SimmConfiguration::ProductClass::Commodity},
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{"CommoditySpreadOption", SimmConfiguration::ProductClass::Commodity},
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{"CommoditySwap", SimmConfiguration::ProductClass::Commodity},
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{"CommoditySwaption", SimmConfiguration::ProductClass::Commodity},
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{"CommodityTaRF", SimmConfiguration::ProductClass::Commodity},
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{"CommodityVarianceSwap", SimmConfiguration::ProductClass::Commodity},
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{"CommodityPairwiseVarianceSwap", SimmConfiguration::ProductClass::Commodity},
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{"CommodityBasketVarianceSwap", SimmConfiguration::ProductClass::Commodity},
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{"Ascot", SimmConfiguration::ProductClass::Credit},
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{"AssetBackedCreditDefaultSwap", SimmConfiguration::ProductClass::Credit},
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{"CBO", SimmConfiguration::ProductClass::Credit},
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{"CreditDefaultSwap", SimmConfiguration::ProductClass::Credit},
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{"CreditDefaultSwapOption", SimmConfiguration::ProductClass::Credit},
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{"CreditLinkedSwap", SimmConfiguration::ProductClass::Credit},
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{"IndexCreditDefaultSwap", SimmConfiguration::ProductClass::Credit},
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{"IndexCreditDefaultSwapOption", SimmConfiguration::ProductClass::Credit},
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{"RiskParticipationAgreement", SimmConfiguration::ProductClass::Credit},
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{"SyntheticCDO", SimmConfiguration::ProductClass::Credit},
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{"Failed", SimmConfiguration::ProductClass::Empty},
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{"IMScheduleTrade", SimmConfiguration::ProductClass::Empty},
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{"SensiTrade", SimmConfiguration::ProductClass::Empty},
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{"UseCounterparty", SimmConfiguration::ProductClass::Empty},
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{"EquityAccumulator", SimmConfiguration::ProductClass::Equity},
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{"EquityAsianOption", SimmConfiguration::ProductClass::Equity},
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{"EquityAsianOption", SimmConfiguration::ProductClass::Equity},
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{"EquityBarrierOption", SimmConfiguration::ProductClass::Equity},
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{"EquityBasketOption", SimmConfiguration::ProductClass::Equity},
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{"EquityCliquetOption", SimmConfiguration::ProductClass::Equity},
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{"EquityDigitalOption", SimmConfiguration::ProductClass::Equity},
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{"EquityDoubleBarrierOption", SimmConfiguration::ProductClass::Equity},
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{"EquityDoubleTouchOption", SimmConfiguration::ProductClass::Equity},
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{"EquityEuropeanBarrierOption", SimmConfiguration::ProductClass::Equity},
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{"EquityForward", SimmConfiguration::ProductClass::Equity},
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{"EquityFutureOption", SimmConfiguration::ProductClass::Equity},
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{"EquityOption", SimmConfiguration::ProductClass::Equity},
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{"EquityOptionPosition", SimmConfiguration::ProductClass::Equity},
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{"EquityOutperformanceOption", SimmConfiguration::ProductClass::Equity},
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{"EquityPosition", SimmConfiguration::ProductClass::Equity},
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{"EquityRainbowOption", SimmConfiguration::ProductClass::Equity},
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{"EquitySwap", SimmConfiguration::ProductClass::Equity},
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{"EquityTaRF", SimmConfiguration::ProductClass::Equity},
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{"EquityTouchOption", SimmConfiguration::ProductClass::Equity},
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{"EquityVarianceSwap", SimmConfiguration::ProductClass::Equity},
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{"EquityPairwiseVarianceSwap", SimmConfiguration::ProductClass::Equity},
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{"EquityBasketVarianceSwap", SimmConfiguration::ProductClass::Equity},
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{"FxAccumulator", SimmConfiguration::ProductClass::FX},
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{"FxAsianOption", SimmConfiguration::ProductClass::FX},
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{"FxAsianOption", SimmConfiguration::ProductClass::FX},
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{"FxBarrierOption", SimmConfiguration::ProductClass::FX},
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{"FxBasketOption", SimmConfiguration::ProductClass::FX},
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{"FxDigitalBarrierOption", SimmConfiguration::ProductClass::FX},
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{"FxDigitalOption", SimmConfiguration::ProductClass::FX},
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{"FxDoubleBarrierOption", SimmConfiguration::ProductClass::FX},
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{"FxDoubleTouchOption", SimmConfiguration::ProductClass::FX},
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{"FxEuropeanBarrierOption", SimmConfiguration::ProductClass::FX},
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{"FxWorstOfBasketSwap", SimmConfiguration::ProductClass::FX},
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{"FxAverageForward", SimmConfiguration::ProductClass::FX},
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{"FxForward", SimmConfiguration::ProductClass::FX},
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{"FxKIKOBarrierOption", SimmConfiguration::ProductClass::FX},
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{"FxOption", SimmConfiguration::ProductClass::FX},
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{"FxRainbowOption", SimmConfiguration::ProductClass::FX},
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{"FxSwap", SimmConfiguration::ProductClass::FX},
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{"FxTaRF", SimmConfiguration::ProductClass::FX},
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{"FxTouchOption", SimmConfiguration::ProductClass::FX},
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{"FxVarianceSwap", SimmConfiguration::ProductClass::FX},
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{"FxPairwiseVarianceSwap", SimmConfiguration::ProductClass::FX},
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{"FxBasketVarianceSwap", SimmConfiguration::ProductClass::FX},
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{"BalanceGuaranteedSwap", SimmConfiguration::ProductClass::Rates},
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{"Bond", SimmConfiguration::ProductClass::Rates},
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{"BondOption", SimmConfiguration::ProductClass::Rates},
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{"BondRepo", SimmConfiguration::ProductClass::Rates},
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{"BondTRS", SimmConfiguration::ProductClass::Rates},
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{"CallableSwap", SimmConfiguration::ProductClass::Rates},
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{"CapFloor", SimmConfiguration::ProductClass::Rates},
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{"ConvertibleBond", SimmConfiguration::ProductClass::Rates},
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{"FlexiSwap", SimmConfiguration::ProductClass::Rates},
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{"ForwardBond", SimmConfiguration::ProductClass::Rates},
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{"ForwardRateAgreement", SimmConfiguration::ProductClass::Rates},
319-
{"MultiLegOption", SimmConfiguration::ProductClass::Rates},
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{"CrossCurrencySwap", SimmConfiguration::ProductClass::Rates},
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{"Swap", SimmConfiguration::ProductClass::Rates},
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{"InflationSwap", SimmConfiguration::ProductClass::Rates},
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{"Swaption", SimmConfiguration::ProductClass::Rates},
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{"TotalReturnSwap", SimmConfiguration::ProductClass::Rates},
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{"ContractForDifference", SimmConfiguration::ProductClass::Rates},
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{"Autocallable_01", SimmConfiguration::ProductClass::Equity},
327-
// These are generic products that need logic to determine the product class, see
328-
// utilities.cpp/simmProductClassFromOreTrade()
329-
{"Autocallable_01", SimmConfiguration::ProductClass::Equity},
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{"CompositeTrade", SimmConfiguration::ProductClass::Rates},
331-
{"DoubleDigitalOption", SimmConfiguration::ProductClass::Rates},
332-
{"EuropeanOptionBarrier", SimmConfiguration::ProductClass::Equity},
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{"PerformanceOption_01", SimmConfiguration::ProductClass::Equity},
334-
{"ScriptedTrade", SimmConfiguration::ProductClass::Equity}};
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336119
set<SimmConfiguration::RiskClass> SimmConfiguration::riskClasses(bool includeAll) {
337120

338121
// This only works if 'All' is the last enum value
@@ -385,18 +168,6 @@ set<SimmConfiguration::ProductClass> SimmConfiguration::productClasses(bool incl
385168
return result;
386169
}
387170

388-
SimmConfiguration::ProductClass simmProductClassFromOreTradeType(const string& tradeType) {
389-
QL_REQUIRE(tradeProductClassMap.count(tradeType) > 0,
390-
"simmProductClassFromOreTradeType: tradeType '" << tradeType << "' not recognised");
391-
return tradeProductClassMap.at(tradeType);
392-
}
393-
394-
SimmConfiguration::ProductClass scheduleProductClassFromOreTradeType(const string& tradeType) {
395-
QL_REQUIRE(tradeScheduleProductClassMap.count(tradeType) > 0,
396-
"scheduleProductClassFromOreTradeType: tradeType '" << tradeType << "' not recognised");
397-
return tradeScheduleProductClassMap.at(tradeType);
398-
}
399-
400171
ostream& operator<<(ostream& out, const SimmConfiguration::SimmSide& s) {
401172
string side = s == SimmConfiguration::SimmSide::Call ? "Call" : "Post";
402173
return out << side;

‎OREAnalytics/orea/simm/simmconfiguration.hpp‎

Lines changed: 0 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -349,9 +349,5 @@ std::string filterRegulations(const std::string& regsString, const std::vector<s
349349
//! From a vector of regulations, determine the winning regulation based on order of priority
350350
SimmConfiguration::Regulation getWinningRegulation(const std::vector<std::string>& winningRegulations);
351351

352-
SimmConfiguration::ProductClass simmProductClassFromOreTradeType(const std::string& tradeType);
353-
354-
SimmConfiguration::ProductClass scheduleProductClassFromOreTradeType(const std::string& tradeType);
355-
356352
} // namespace analytics
357353
} // namespace ore

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