Serializable Balance Guaranteed Swap. More...

#include <ored/portfolio/balanceguaranteedswap.hpp>

Inheritance diagram for BalanceGuaranteedSwap:

Collaboration diagram for BalanceGuaranteedSwap:

Public Member Functions
	BalanceGuaranteedSwap ()

	BalanceGuaranteedSwap (const ore::data::Envelope &env, const std::string &referenceSecurity, const std::vector< BGSTrancheData > &tranches, const ore::data::Schedule schedule, const std::vector< ore::data::LegData > &swap)

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

Inspectors
const std::string &	referenceSecurity () const

const std::vector< BGSTrancheData > &	tranches () const

const ore::data::ScheduleData	schedule () const

const std::vector< ore::data::LegData > &	swap () 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...

Serialisation
std::string	referenceSecurity_

std::vector< BGSTrancheData >	tranches_

ore::data::ScheduleData	schedule_

std::vector< ore::data::LegData >	swap_

virtual void	fromXML (ore::data::XMLNode *node) override

virtual ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

std::map< ore::data::AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &) const override

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 Balance Guaranteed Swap.

Definition at line 71 of file balanceguaranteedswap.hpp.

Constructor & Destructor Documentation

◆ BalanceGuaranteedSwap() [1/2]

BalanceGuaranteedSwap ( )

Definition at line 73 of file balanceguaranteedswap.hpp.

73: Trade("BalanceGuaranteedSwap") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ BalanceGuaranteedSwap() [2/2]

BalanceGuaranteedSwap	(	const ore::data::Envelope &	env,
		const std::string &	referenceSecurity,
		const std::vector< BGSTrancheData > &	tranches,
		const ore::data::Schedule	schedule,
		const std::vector< ore::data::LegData > &	swap
	)

Definition at line 74 of file balanceguaranteedswap.hpp.

77 : Trade("BalanceGuaranteedSwap", env), referenceSecurity_(referenceSecurity), tranches_(tranches), swap_(swap) {

78 }

ore::data::BalanceGuaranteedSwap::referenceSecurity_

std::string referenceSecurity_

Definition: balanceguaranteedswap.hpp:102

ore::data::BalanceGuaranteedSwap::swap_

std::vector< ore::data::LegData > swap_

Definition: balanceguaranteedswap.hpp:105

ore::data::BalanceGuaranteedSwap::tranches_

std::vector< BGSTrancheData > tranches_

Definition: balanceguaranteedswap.hpp:103

Member Function Documentation

◆ build()

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

override

Definition at line 54 of file balanceguaranteedswap.cpp.

                                                                                           {
 
    LOG("BalanceGuaranteedSwap::build() for id \"" << id() << "\" called.");
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string("Exotic");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");  
 
    QuantLib::Schedule schedule = makeSchedule(this->schedule());
 
    std::vector<BGSTrancheData> sortedTranches(tranches());
    std::sort(sortedTranches.begin(), sortedTranches.end(),
              [](const BGSTrancheData& x, const BGSTrancheData& y) { return x.seniority() < y.seniority(); });
    std::vector<std::vector<Real>> trancheNotionals;
    Size referencedTranche = Null<Size>(), counter = 0;
    for (auto const& t : sortedTranches) {
        if (t.securityId() == referenceSecurity()) {
            QL_REQUIRE(referencedTranche == Null<Size>(),
                       "there is more than one tranche with id \"" << referenceSecurity() << "\"");
            referencedTranche = counter;
        }
        trancheNotionals.push_back(buildScheduledVectorNormalised(t.notionals(), t.notionalDates(), schedule, 0.0));
        ++counter;
    }
    QL_REQUIRE(referencedTranche != Null<Size>(), "referenced tranche not found");
 
    QL_REQUIRE(swap_.size() == 2, "swap must have 2 legs");
    QL_REQUIRE(swap_[0].currency() == swap_[1].currency(), "swap must be single currency");
 
    string ccy_str = swap_[0].currency();
    Currency currency = parseCurrency(ccy_str);
 
    Size fixedLegIndex, floatingLegIndex;
    if (swap_[0].legType() == "Floating" && swap_[1].legType() == "Fixed") {
        floatingLegIndex = 0;
        fixedLegIndex = 1;
    } else if (swap_[1].legType() == "Floating" && swap_[0].legType() == "Fixed") {
        floatingLegIndex = 1;
        fixedLegIndex = 0;
    } else {
        QL_FAIL("Invalid leg types " << swap_[0].legType() << " + " << swap_[1].legType());
    }
 
    QuantLib::ext::shared_ptr<FixedLegData> fixedLegData =
        QuantLib::ext::dynamic_pointer_cast<FixedLegData>(swap_[fixedLegIndex].concreteLegData());
    QuantLib::ext::shared_ptr<FloatingLegData> floatingLegData =
        QuantLib::ext::dynamic_pointer_cast<FloatingLegData>(swap_[floatingLegIndex].concreteLegData());
 
    QL_REQUIRE(fixedLegData != nullptr, "expected fixed leg data");
    QL_REQUIRE(floatingLegData != nullptr, "expected floating leg data");
 
    QuantLib::ext::shared_ptr<EngineBuilder> tmp = engineFactory->builder("BalanceGuaranteedSwap");
    auto builder = QuantLib::ext::dynamic_pointer_cast<FlexiSwapBGSEngineBuilderBase>(tmp);
    QL_REQUIRE(builder, "No BGS Builder found for \"" << id() << "\"");
 
    Schedule fixedSchedule = makeSchedule(swap_[fixedLegIndex].schedule());
    Schedule floatingSchedule = makeSchedule(swap_[floatingLegIndex].schedule());
    vector<Real> fixedRate =
        buildScheduledVectorNormalised(fixedLegData->rates(), fixedLegData->rateDates(), fixedSchedule, 0.0);
    vector<Real> spreads = buildScheduledVectorNormalised(floatingLegData->spreads(), floatingLegData->spreadDates(),
                                                          floatingSchedule, 0.0);
    vector<Real> gearings = buildScheduledVectorNormalised(floatingLegData->gearings(), floatingLegData->gearingDates(),
                                                           floatingSchedule, 1.0);
    vector<Real> caps = buildScheduledVectorNormalised(floatingLegData->caps(), floatingLegData->capDates(),
                                                       floatingSchedule, (Real)Null<Real>());
    vector<Real> floors = buildScheduledVectorNormalised(floatingLegData->floors(), floatingLegData->floorDates(),
                                                         floatingSchedule, (Real)Null<Real>());
    std::string floatingIndex = floatingLegData->index();
    DayCounter fixedDayCounter = parseDayCounter(swap_[fixedLegIndex].dayCounter());
    Handle<IborIndex> index =
        engineFactory->market()->iborIndex(floatingIndex, builder->configuration(MarketContext::pricing));
    DayCounter floatingDayCounter = parseDayCounter(swap_[floatingLegIndex].dayCounter());
    BusinessDayConvention paymentConvention = parseBusinessDayConvention(swap_[floatingLegIndex].paymentConvention());
    VanillaSwap::Type type = swap_[fixedLegIndex].isPayer() ? VanillaSwap::Payer : VanillaSwap::Receiver;
 
    auto bgSwap = QuantLib::ext::make_shared<QuantExt::BalanceGuaranteedSwap>(
        type, trancheNotionals, schedule, referencedTranche, fixedSchedule, fixedRate, fixedDayCounter,
        floatingSchedule, *index, gearings, spreads, caps, floors, floatingDayCounter, paymentConvention);
 
    auto fixLeg = bgSwap->leg(0);
    auto fltLeg = bgSwap->leg(1);
 
    // check that nominal schedule in legs is identical with the one we extracted from the tranche notionals
    Size legRatio = fltLeg.size() / fixLeg.size(); // no remainder by construction of a bg swap
    vector<Real> legFixedNominal = buildScheduledVectorNormalised(
        swap_[fixedLegIndex].notionals(), swap_[fixedLegIndex].notionalDates(), fixedSchedule, 0.0);
    vector<Real> legFloatingNominal = buildScheduledVectorNormalised(
        swap_[floatingLegIndex].notionals(), swap_[floatingLegIndex].notionalDates(), floatingSchedule, 0.0);
    for (Size i = 0; i < legFixedNominal.size(); ++i) {
        QL_REQUIRE(close_enough(bgSwap->trancheNominal(referencedTranche, fixedSchedule[i]), legFixedNominal[i]),
                   "fixed leg notional at " << i << " (" << legFixedNominal[i] << ") does not match tranche notional ("
                                            << bgSwap->trancheNominal(referencedTranche, fixedSchedule[i])
                                            << "), referenced tranche is " << referencedTranche);
    }
    for (Size i = 0; i < legFloatingNominal.size(); ++i) {
        // this is how we build the float notional schedule in the BGS internally as well, i.e. derived from the fixed
        // side
        QL_REQUIRE(close_enough(legFloatingNominal[i], legFixedNominal[i / legRatio]),
                   "floating leg notional at " << i << " (" << legFloatingNominal[i]
                                               << ") does not match fixed leg notional at " << (i / legRatio) << " ("
                                               << legFixedNominal[i / legRatio] << ")");
    }
 
    // set coupon pricers if needed (for flow report, discounting swap engine, not used in LGM engine)
 
    bool hasCapsFloors = false;
    for (auto const& k : caps) {
        if (k != Null<Real>())
            hasCapsFloors = true;
    }
    for (auto const& k : floors) {
        if (k != Null<Real>())
            hasCapsFloors = true;
    }
    if (hasCapsFloors) {
        QuantLib::ext::shared_ptr<EngineBuilder> cfBuilder = engineFactory->builder("CapFlooredIborLeg");
        QL_REQUIRE(cfBuilder, "No builder found for CapFlooredIborLeg");
        QuantLib::ext::shared_ptr<CapFlooredIborLegEngineBuilder> cappedFlooredIborBuilder =
            QuantLib::ext::dynamic_pointer_cast<CapFlooredIborLegEngineBuilder>(cfBuilder);
        QL_REQUIRE(cappedFlooredIborBuilder != nullptr, "expected CapFlooredIborLegEngineBuilder");
        QuantLib::ext::shared_ptr<FloatingRateCouponPricer> couponPricer =
            cappedFlooredIborBuilder->engine(IndexNameTranslator::instance().oreName(index->name()));
        QuantLib::setCouponPricer(fltLeg, couponPricer);
    }
 
    // determine expiries and strikes for calibration basket (simple approach, a la summit)
 
    std::vector<Date> expiryDates;
    std::vector<Real> strikes;
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < fltLeg.size(); ++i) {
        auto fltcpn = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(fltLeg[i]);
        if (fltcpn != nullptr && fltcpn->fixingDate() > today && i % legRatio == 0) {
            expiryDates.push_back(fltcpn->fixingDate());
            auto fixcpn = QuantLib::ext::dynamic_pointer_cast<FixedRateCoupon>(fixLeg[i]);
            QL_REQUIRE(fixcpn != nullptr, "BalanceGuaranteedSwap Builder: expected fixed rate coupon");
            strikes.push_back(fixcpn->rate() - fltcpn->spread());
        }
    }
 
    // set pricing engine, init instrument and other trade members
 
    bgSwap->setPricingEngine(
        builder->engine(id(), referenceSecurity(), ccy_str, expiryDates, bgSwap->maturityDate(), strikes));
    setSensitivityTemplate(*builder);
 
    // add required fixings
    addToRequiredFixings(fltLeg, QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_));
 
    // FIXME this won't work for exposure, currently not supported
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(bgSwap);
 
    npvCurrency_ = ccy_str;
    notional_ = std::max(currentNotional(fixLeg), currentNotional(fltLeg));
    notionalCurrency_ = ccy_str;
    legCurrencies_ = vector<string>(2, ccy_str);
    legs_ = {fixLeg, fltLeg};
    legPayers_ = {swap_[fixedLegIndex].isPayer(), swap_[floatingLegIndex].isPayer()};
    maturity_ = bgSwap->maturityDate();
}

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◆ referenceSecurity()

const std::string & referenceSecurity ( ) const

Definition at line 84 of file balanceguaranteedswap.hpp.

84{ return referenceSecurity_; }

◆ tranches()

const std::vector< BGSTrancheData > & tranches ( ) const

Definition at line 85 of file balanceguaranteedswap.hpp.

85{ return tranches_; }

◆ schedule()

const ore::data::ScheduleData schedule ( ) const

Definition at line 86 of file balanceguaranteedswap.hpp.

86{ return schedule_; }

ore::data::BalanceGuaranteedSwap::schedule_

ore::data::ScheduleData schedule_

Definition: balanceguaranteedswap.hpp:104

◆ swap()

const std::vector< ore::data::LegData > & swap ( ) const

Definition at line 87 of file balanceguaranteedswap.hpp.

87{ return swap_; }

◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 217 of file balanceguaranteedswap.cpp.

                                                 {
    Trade::fromXML(node);
    XMLNode* swapNode = XMLUtils::getChildNode(node, "BalanceGuaranteedSwapData");
    QL_REQUIRE(swapNode, "BalanceGuaranteedSwap::fromXML(): BalanceGuaranteedSwapData not found");
 
    referenceSecurity_ = XMLUtils::getChildValue(swapNode, "ReferenceSecurity");
 
    XMLNode* tranchesNode = XMLUtils::getChildNode(swapNode, "Tranches");
    QL_REQUIRE(tranchesNode, "BalanceGuaranteedSwap::fromXML(): Tranches node not found");
    tranches_.clear();
    vector<XMLNode*> trancheNodes = XMLUtils::getChildrenNodes(tranchesNode, "Tranche");
    for (Size i = 0; i < trancheNodes.size(); ++i) {
        BGSTrancheData td;
        td.fromXML(trancheNodes[i]);
        tranches_.push_back(td);
    }
 
    XMLNode* scheduleNode = XMLUtils::getChildNode(tranchesNode, "ScheduleData");
    schedule_.fromXML(scheduleNode);
 
    swap_.clear();
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(swapNode, "LegData");
    for (Size i = 0; i < nodes.size(); ++i) {
        LegData ld; // we do not allow ORE+ leg types anyway
        ld.fromXML(nodes[i]);
        swap_.push_back(ld);
    }
}

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◆ toXML()

XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 246 of file balanceguaranteedswap.cpp.

                                                            {
    XMLNode* node = Trade::toXML(doc);
    XMLUtils::addChild(doc, node, "ReferenceSecurity", referenceSecurity_);
 
    XMLNode* tranchesNode = doc.allocNode("Tranches");
    XMLUtils::appendNode(node, tranchesNode);
    for (Size i = 0; i < tranches_.size(); ++i) {
        XMLUtils::appendNode(tranchesNode, tranches_[i].toXML(doc));
    }
 
    XMLUtils::appendNode(tranchesNode, schedule_.toXML(doc));
 
    XMLNode* swapNode = doc.allocNode("BalanceGuaranteedSwapData");
    XMLUtils::appendNode(node, swapNode);
    for (Size i = 0; i < swap_.size(); ++i)
        XMLUtils::appendNode(swapNode, swap_[i].toXML(doc));
    return node;
}

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◆ underlyingIndices()

std::map< ore::data::AssetClass, std::set< std::string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > & ) const

override

Definition at line 97 of file balanceguaranteedswap.hpp.

                                                                                                {
        return {{ore::data::AssetClass::BOND, {referenceSecurity_}}};
    }

Member Data Documentation

◆ referenceSecurity_

std::string referenceSecurity_

private

Definition at line 102 of file balanceguaranteedswap.hpp.

◆ tranches_

std::vector<BGSTrancheData> tranches_

private

Definition at line 103 of file balanceguaranteedswap.hpp.

◆ schedule_

ore::data::ScheduleData schedule_

private

Definition at line 104 of file balanceguaranteedswap.hpp.

◆ swap_

std::vector<ore::data::LegData> swap_

private

Definition at line 105 of file balanceguaranteedswap.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BalanceGuaranteedSwap() [1/2]

◆ BalanceGuaranteedSwap() [2/2]

Member Function Documentation

◆ build()

◆ referenceSecurity()

◆ tranches()

◆ schedule()

◆ swap()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

Member Data Documentation

◆ referenceSecurity_

◆ tranches_

◆ schedule_

◆ swap_