BalanceGuaranteedSwap Class Reference

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.

: Trade("BalanceGuaranteedSwap") {}

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.

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

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.

{ return referenceSecurity_; }

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tranches()

const std::vector< BGSTrancheData > & tranches

(

)

const

Definition at line 85 of file balanceguaranteedswap.hpp.

{ return tranches_; }

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schedule()

const ore::data::ScheduleData schedule

(

)

const

Definition at line 86 of file balanceguaranteedswap.hpp.

{ return schedule_; }

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swap()

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

(

)

const

Definition at line 87 of file balanceguaranteedswap.hpp.

{ 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.