QPR-12275 add bond index to swaption

Author: pcaspers

OREData/ored/portfolio/swaption.cpp

@@ -498,5 +498,14 @@ XMLNode* Swaption::toXML(XMLDocument& doc) {
 
     return node;
 }
+
+map<AssetClass, set<string>>
+Swaption::underlyingIndices(const boost::shared_ptr<ReferenceDataManager>& referenceDataManager) const {
+    map<AssetClass, set<string>> result;
+    if (auto s = envelope().additionalField("security_spread", false); !s.empty())
+        result[AssetClass::BOND] = {s};
+    return result;
+}
+
 } // namespace data
 } // namespace ore

OREData/ored/portfolio/swaption.hpp

@@ -62,6 +62,9 @@ class Swaption : public Trade {
 
     bool isExercised() const;
 
+    std::map<AssetClass, std::set<std::string>>
+    underlyingIndices(const boost::shared_ptr<ReferenceDataManager>& referenceDataManager = nullptr) const override;
+
 private:
     OptionData optionData_;
     vector<LegData> legData_;