Add generic `Create_CashflowFromPayout` function

[winitall01]

Background

There's an existing function that creates cashflow from SettlementPayout. However, there's a requirement to create a generic cahflow creation function, espacially from OptionPayout.

Proposal

Add the following function in CDM 6.x.x

Compatibility

This function is backward compatible.

Release

CDM 6.15.0

Additional Context

No response

[ReleaseManagement-BP]

Discussed at CDM Contribution Review Working Group - February 3rd 2026

@tomhealey-icma wishes to approve the issue before being approved

[CDM-ReleaseManagement-OT]

@tomhealey-icma have you had a chance to review the issue? This is holding up the 6.x.x release.

[tomhealey-icma]

A couple questions that may be issues:

1. Option cash flows will include a initial premium payment on settlement date, a rebate based on an event like barrier or expiration, separate payouts while the option is active and exercise. I'm not sure you're capturing these.
2. You have a switch statement on Option and Settlement payout. If you're running this from an event then it would work but if you're trying to generate all future cash flows then you need to loop over all payouts.
3. You need first qualify that this is an option but trying to extract an option payout.

[winitall01]

@tomhealey-icma
Hello Tom,
I agree to the mentioed points regarding the requirements of a Cashflow type, however, please note that the original Cashflow type was mainly used in ForeignExchange type which is now deprecated in CDM6. In the new structure, only Asset Leg is kept for FXProducts and Cashflow is removed.
Given to the change in ForeignExchange type, we need a function to extract payments for PriceLeg as well.
Currently this requiment is served by an existing function Create_CashflowFromSettlementPayout for FX Forwards. However, similar function is required to enable to extract the Price for both sides of FXOption
The qualification for FXoption is implemented separately in DRR.

[winitall01]

@tomhealey-icma
Hello Tom,
as we've discussed, I've added the annotations to the function. Please review.