Merge remote-tracking branch 'origin/1.0.77' into 1.0.77_into_master

Author: pcaspers

OREData/ored/portfolio/trs.cpp

@@ -297,48 +297,6 @@ void TRS::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
 
     reset();
 
-    // ISDA taxonomy
-    bool assetClassIsUnique = true;
-    std::string assetClass;
-    for (auto u : underlying_) {
-        auto it = u->additionalData().find("isdaAssetClass");
-        if (it != u->additionalData().end()) {
-            std::string ac = boost::any_cast<std::string>(it->second);
-            if (assetClass == "")
-                assetClass = ac;
-            else if (ac != assetClass)
-                assetClassIsUnique = false;
-        }
-    }
-
-    additionalData_["isdaAssetClass"] = string("");
-    additionalData_["isdaBaseProduct"] = string("");
-    additionalData_["isdaSubProduct"] = string("");
-    additionalData_["isdaTransaction"] = string("");
-
-    if (assetClass == "") {
-        ALOG("ISDA asset class not found for TRS " << id() << ", ISDA taxonomy undefined");
-    } else {
-        additionalData_["isdaAssetClass"] = assetClass;
-        if (!assetClassIsUnique) {
-            WLOG("ISDA asset class not unique in TRS " << id() << " using first hit: " << assetClass);
-        }
-        additionalData_["isdaBaseProduct"] = string("Total Return Swap");
-        if (assetClass == "Equity") {
-            if (tradeType_ == "ContractForDifference")
-                additionalData_["isdaBaseProduct"] = string("Contract For Difference");
-            else
-                additionalData_["isdaBaseProduct"] = string("Swap");
-            additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
-        } else if (assetClass == "Credit") {
-            additionalData_["isdaBaseProduct"] = string("Total Return Swap");
-            additionalData_["isdaSubProduct"] = string("");
-        } else {
-            WLOG("ISDA asset class " << assetClass << " not explicitly covered for TRS trade " << id()
-                                     << " using default BaseProduct 'Total Retuen Swap' and leaving sub-product blank");
-        }
-    }
-
     creditRiskCurrency_.clear();
     creditQualifierMapping_.clear();
 
@@ -516,6 +474,48 @@ void TRS::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
         fxIndices.insert(localFxIndices.begin(), localFxIndices.end());
     }
 
+    // ISDA taxonomy
+    bool assetClassIsUnique = true;
+    std::string assetClass;
+    for (auto u : underlying_) {
+        auto it = u->additionalData().find("isdaAssetClass");
+        if (it != u->additionalData().end()) {
+            std::string ac = boost::any_cast<std::string>(it->second);
+            if (assetClass == "")
+                assetClass = ac;
+            else if (ac != assetClass)
+                assetClassIsUnique = false;
+        }
+    }
+
+    additionalData_["isdaAssetClass"] = string("");
+    additionalData_["isdaBaseProduct"] = string("");
+    additionalData_["isdaSubProduct"] = string("");
+    additionalData_["isdaTransaction"] = string("");
+
+    if (assetClass == "") {
+        ALOG("ISDA asset class not found for TRS " << id() << ", ISDA taxonomy undefined");
+    } else {
+        additionalData_["isdaAssetClass"] = assetClass;
+        if (!assetClassIsUnique) {
+            WLOG("ISDA asset class not unique in TRS " << id() << " using first hit: " << assetClass);
+        }
+        additionalData_["isdaBaseProduct"] = string("Total Return Swap");
+        if (assetClass == "Equity") {
+            if (tradeType_ == "ContractForDifference")
+                additionalData_["isdaBaseProduct"] = string("Contract For Difference");
+            else
+                additionalData_["isdaBaseProduct"] = string("Swap");
+            additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
+        } else if (assetClass == "Credit") {
+            additionalData_["isdaBaseProduct"] = string("Total Return Swap");
+            additionalData_["isdaSubProduct"] = string("");
+        } else {
+            WLOG("ISDA asset class " << assetClass << " not explicitly covered for TRS trade " << id()
+                                     << " using default BaseProduct 'Total Retuen Swap' and leaving sub-product blank");
+        }
+    }
+
     // check that we have all fx terms that we needed to build the fx indices
 
     QL_REQUIRE(missingFxIndexPairs.empty(), "TRS::build(): missing FXTerms for the following pairs: "