Serializable Convertible Bond. More...

#include <ored/portfolio/ascot.hpp>

Inheritance diagram for Ascot:

Collaboration diagram for Ascot:

Public Member Functions
	Ascot ()
	Default constructor. More...

	Ascot (const Envelope &env, const ConvertibleBond &bond, const OptionData &optionData, const ore::data::LegData &fundingLegData)
	Constructor for coupon bonds. More...

void	build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &) override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override

const ConvertibleBond &	bond () const

const OptionData &	optionData () const

const ore::data::LegData &	fundingLegData () const

const string &	creditCurveId () const

Public Member Functions inherited from Trade
	Trade ()
	Default constructor. More...

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor. More...

virtual	~Trade ()
	Default destructor. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0

virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const

const RequiredFixings &	requiredFixings () const

virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const

void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade. More...

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values. More...

string &	id ()
	Set the trade id. More...

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info. More...

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions. More...

const string &	id () const

const string &	tradeType () const

const Envelope &	envelope () const

const set< string > &	portfolioIds () const

const TradeActions &	tradeActions () const

const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const

const std::vector< QuantLib::Leg > &	legs () const

const std::vector< string > &	legCurrencies () const

const std::vector< bool > &	legPayers () const

const string &	npvCurrency () const

virtual QuantLib::Real	notional () const
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

virtual string	notionalCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum. More...

virtual const std::map< std::string, boost::any > &	additionalData () const
	returns all additional data returned by the trade once built More...

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set. More...

virtual bool	hasCashflows () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const =0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string. More...

std::string	toXMLString () const
	Parse from XML string. More...

Private Attributes
ConvertibleBond	bond_

OptionData	optionData_

ore::data::LegData	fundingLegData_

Additional Inherited Members
Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Detailed Description

Serializable Convertible Bond.

Definition at line 35 of file ascot.hpp.

Constructor & Destructor Documentation

◆ Ascot() [1/2]

Ascot ( )

Default constructor.

Definition at line 38 of file ascot.hpp.

38: Trade("Ascot") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ Ascot() [2/2]

Ascot	(	const Envelope &	env,
		const ConvertibleBond &	bond,
		const OptionData &	optionData,
		const ore::data::LegData &	fundingLegData
	)

Constructor for coupon bonds.

Definition at line 41 of file ascot.hpp.

43 : Trade("Ascot", env), bond_(bond), optionData_(optionData), fundingLegData_(fundingLegData) {}

QuantExt::Ascot::bond_

ext::shared_ptr< ConvertibleBond2 > bond_

ore::data::Ascot::optionData_

OptionData optionData_

Definition: ascot.hpp:60

ore::data::Ascot::fundingLegData_

ore::data::LegData fundingLegData_

Definition: ascot.hpp:61

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< ore::data::EngineFactory > & engineFactory )

override

Definition at line 38 of file ascot.cpp.

                                                                                  {
    DLOG("Ascot::build() called for trade " << id());
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Credit");
    additionalData_["isdaBaseProduct"] = string("Exotic");
    additionalData_["isdaSubProduct"] = string("Other");  
    additionalData_["isdaTransaction"] = string("");  
 
    // build underlying convertible bond
    bond_.reset();
    // we need to do set the id manually because it otherwise remains blank
    bond_.id() = id() + "_Bond";
    bond_.build(engineFactory);
    requiredFixings_.addData(bond_.requiredFixings());
    QuantLib::ext::shared_ptr<QuantExt::ConvertibleBond2> cb =
        QuantLib::ext::dynamic_pointer_cast<QuantExt::ConvertibleBond2>(bond_.instrument()->qlInstrument());
 
    // check option fields
    Exercise::Type exerciseType = parseExerciseType(optionData_.style());
    QL_REQUIRE(exerciseType == Exercise::American, "expected American exercise type");
    QL_REQUIRE(optionData_.exerciseDates().size() == 1,
               "Ascot::build(): exactly one option date required, found " << optionData_.exerciseDates().size());
    Date exerciseDate = parseDate(optionData_.exerciseDates().back());
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<AmericanExercise>(exerciseDate);
    Option::Type type = parseOptionType(optionData_.callPut());
 
    // build funding leg
    // Payer should be false,
    // i.e. the swap is entered from the viewpoint of the asset swap buyer
    QL_REQUIRE(fundingLegData_.isPayer() == false, "expected isPayer == false for funding leg");
    Leg fundingLeg;
 
    auto builder = QuantLib::ext::dynamic_pointer_cast<AscotEngineBuilder>(engineFactory->builder("Ascot"));
    auto configuration = builder->configuration(MarketContext::pricing);
    auto legBuilder = engineFactory->legBuilder(fundingLegData_.legType());
    fundingLeg = legBuilder->buildLeg(fundingLegData_, engineFactory, requiredFixings_, configuration);
 
    QL_REQUIRE(builder, "Ascot::build(): could not cast to AscotBuilder, this is unexpected");
 
    auto qlAscot =
        QuantLib::ext::make_shared<QuantExt::Ascot>(type, exercise, bond_.data().bondData().bondNotional(), cb, fundingLeg);
    qlAscot->setPricingEngine(builder->engine(id(), bond_.data().bondData().currency()));
    setSensitivityTemplate(*builder);
 
    Real multiplier = (parsePositionType(optionData_.longShort()) == Position::Long ? 1.0 : -1.0);
    instrument_ =
        QuantLib::ext::shared_ptr<ore::data::InstrumentWrapper>(new ore::data::VanillaInstrument(qlAscot, multiplier));
 
    npvCurrency_ = notionalCurrency_ = bond_.notionalCurrency();
    legs_ = {cb->cashflows()};
    legCurrencies_ = {npvCurrency_};
    legPayers_ = {parsePositionType(optionData_.longShort()) == Position::Long};
 
    notional_ = bond_.data().bondData().bondNotional();
    maturity_ = bond_.maturity();
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 96 of file ascot.cpp.

                                 {
    Trade::fromXML(node);
    XMLNode* dataNode = XMLUtils::getChildNode(node, "AscotData");
    QL_REQUIRE(dataNode, "AscotData node not found");
 
    ConvertibleBondData bondData;
    bondData.fromXML(XMLUtils::getChildNode(dataNode, "ConvertibleBondData"));
    bond_ = ConvertibleBond(envelope(), bondData);
 
    optionData_.fromXML(XMLUtils::getChildNode(dataNode, "OptionData"));
 
    XMLNode* tmpNode = XMLUtils::getChildNode(dataNode, "ReferenceSwapData");
    QL_REQUIRE(tmpNode, "ReferenceSwapData node not found");
    XMLNode* legNode = XMLUtils::getChildNode(tmpNode, "LegData");
    QL_REQUIRE(legNode, "LegData node not found");
    fundingLegData_.fromXML(legNode);
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 114 of file ascot.cpp.

                                            {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* dataNode = doc.allocNode("AscotData");
    XMLUtils::appendNode(node, dataNode);
 
    ConvertibleBondData d = bond_.data();
    XMLUtils::appendNode(dataNode, d.toXML(doc));
    XMLUtils::appendNode(dataNode, optionData_.toXML(doc));
 
    XMLNode* fundingDataNode = doc.allocNode("ReferenceSwapData");
    XMLUtils::appendNode(dataNode, fundingDataNode);
    XMLUtils::appendNode(fundingDataNode, fundingLegData_.toXML(doc));
 
    return node;
}

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◆ underlyingIndices()

std::map< AssetClass, std::set< std::string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager = nullptr ) const

overridevirtual

Reimplemented from Trade.

Definition at line 34 of file ascot.cpp.

                                                                                                      {
    return bond_.underlyingIndices(referenceDataManager);
}

◆ bond()

const ConvertibleBond & bond ( ) const

Definition at line 51 of file ascot.hpp.

51{ return bond_; }

◆ optionData()

const OptionData & optionData ( ) const

Definition at line 52 of file ascot.hpp.

52{ return optionData_; }

◆ fundingLegData()

const ore::data::LegData & fundingLegData ( ) const

Definition at line 53 of file ascot.hpp.

53{ return fundingLegData_; }

◆ creditCurveId()

const string & creditCurveId ( ) const

Definition at line 56 of file ascot.hpp.

56{ return bond_.data().bondData().creditCurveId(); }

Member Data Documentation

◆ bond_

ConvertibleBond bond_

private

Definition at line 59 of file ascot.hpp.

◆ optionData_

OptionData optionData_

private

Definition at line 60 of file ascot.hpp.

◆ fundingLegData_

ore::data::LegData fundingLegData_

private

Definition at line 61 of file ascot.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Ascot() [1/2]

◆ Ascot() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

◆ bond()

◆ optionData()

◆ fundingLegData()

◆ creditCurveId()

Member Data Documentation

◆ bond_

◆ optionData_

◆ fundingLegData_