Barrier Option Wrapper. More...

#include <ored/portfolio/barrieroptionwrapper.hpp>

Inheritance diagram for BarrierOptionWrapper:

Collaboration diagram for BarrierOptionWrapper:

Public Member Functions
	BarrierOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const bool isPhysicalDelivery, const QuantLib::ext::shared_ptr< QuantLib::Instrument > &undInst, Barrier::Type barrierType, Handle< Quote > spot, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...

virtual bool	checkBarrier (Real, bool) const =0

Public Member Functions inherited from OptionWrapper
	OptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDate, const bool isPhysicalDelivery, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &undInst, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
	Constructor. More...

void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid. More...

void	reset () override
	reset is called every time a new path is about to be priced. More...

QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...

Real	multiplier2 () const override

const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...

void	updateQlInstruments () override
	call update on enclosed instrument(s) More...

bool	isOption () override
	is it an Option? More...

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	underlyingInstruments () const
	return the underlying instruments More...

const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	activeUnderlyingInstrument (const bool calculate=false) const

bool	isLong () const
	return true if option is long, false if option is short More...

bool	isExercised () const
	return true if option is exercised More...

bool	isPhysicalDelivery () const
	return true for physical delivery, false for cash settlement More...

Real	underlyingMultiplier () const
	the underlying multiplier More...

const QuantLib::Date &	exerciseDate () const
	the (actual) date the option was exercised More...

void	enableExercise ()
	disable exercise decisions More...

void	disableExercise ()
	enable exercise decisions More...

virtual bool	exercise () const =0

Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper ()

	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

virtual	~InstrumentWrapper ()

virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid. More...

virtual void	reset ()=0
	reset is called every time a new path is about to be priced. More...

virtual QuantLib::Real	NPV () const =0
	Return the NPV of this instrument. More...

virtual const std::map< std::string, boost::any > &	additionalResults () const =0
	Return the additional results of this instrument. More...

QuantLib::Real	additionalInstrumentsNPV () const

virtual void	updateQlInstruments ()
	call update on enclosed instrument(s) More...

virtual bool	isOption ()
	is it an Option? More...

QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors. More...

Real	multiplier () const

virtual Real	multiplier2 () const

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const

const std::vector< Real > &	additionalMultipliers () const

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

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

void	resetPricingStats () const
	Reset pricing statistics. More...

Protected Member Functions
QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...

Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes
Handle< Quote >	spot_

Barrier::Type	barrierType_

Real	rebate_

const QuantLib::Currency	ccy_

const QuantLib::Date	startDate_

QuantLib::ext::shared_ptr< QuantLib::Index >	index_

QuantLib::Calendar	calendar_

Protected Attributes inherited from OptionWrapper
bool	isLong_

bool	isPhysicalDelivery_

std::vector< QuantLib::Date >	contractExerciseDates_

std::vector< QuantLib::Date >	effectiveExerciseDates_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	underlyingInstruments_

QuantLib::ext::shared_ptr< QuantLib::Instrument >	activeUnderlyingInstrument_

Real	undMultiplier_

bool	exercised_

bool	exercisable_

QuantLib::Date	exerciseDate_

Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_

Real	multiplier_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_

std::vector< Real >	additionalMultipliers_

std::size_t	numberOfPricings_ = 0

boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Detailed Description

Barrier Option Wrapper.

An Barrier Option Wrapper will exercise whenever the barrier is touched. If it is an 'out' option it will pay the rebate value when exercised

Definition at line 39 of file barrieroptionwrapper.hpp.

Constructor & Destructor Documentation

◆ BarrierOptionWrapper()

BarrierOptionWrapper	(	const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	inst,
		const bool	isLongOption,
		const QuantLib::Date &	exerciseDate,
		const bool	isPhysicalDelivery,
		const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	undInst,
		Barrier::Type	barrierType,
		Handle< Quote >	spot,
		Real	rebate,
		const QuantLib::Currency	ccy,
		const QuantLib::Date &	startDate,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	index,
		const QuantLib::Calendar &	calendar,
		const Real	multiplier = `1.0`,
		const Real	undMultiplier = `1.0`,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments = `std::vector<QuantLib::ext::shared_ptr<QuantLib::Instrument>>()`,
		const std::vector< Real > &	additionalMultipliers = `std::vector<Real>()`
	)

Definition at line 41 of file barrieroptionwrapper.hpp.

        : OptionWrapper(inst, isLongOption, std::vector<QuantLib::Date>(1, exerciseDate), isPhysicalDelivery,
                        std::vector<QuantLib::ext::shared_ptr<QuantLib::Instrument>>(1, undInst), multiplier, undMultiplier,
                        additionalInstruments, additionalMultipliers),
          spot_(spot), barrierType_(barrierType), rebate_(rebate), ccy_(ccy), startDate_(startDate), 
          index_(index) {
        calendar_ = index ? index->fixingCalendar() : calendar;
        reset();
    }

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Member Function Documentation

◆ additionalResults()

const std::map< std::string, boost::any > & additionalResults ( ) const

overridevirtual

Return the additional results of this instrument.

Implements InstrumentWrapper.

Definition at line 80 of file barrieroptionwrapper.cpp.

                                                                                 {
    static std::map<std::string, boost::any> emptyMap;
    NPV();
    if (exercised_) {
        if (!(barrierType_ == Barrier::DownOut || barrierType_ == Barrier::UpOut))
            return activeUnderlyingInstrument_->additionalResults();
        else
            return emptyMap;
    } else {
        auto vanillaOption = QuantLib::ext::dynamic_pointer_cast<VanillaOption>(activeUnderlyingInstrument_);
        if (vanillaOption) {
            auto payoff = QuantLib::ext::dynamic_pointer_cast<StrikedTypePayoff>(vanillaOption->payoff());
            if (payoff && ((barrierType_ == Barrier::DownOut && payoff->optionType() == Option::Put) ||
                           (barrierType_ == Barrier::UpOut && payoff->optionType() == Option::Call))) {
                const bool isTouchingOnly = true;
                if (checkBarrier(payoff->strike(), isTouchingOnly))
                    return emptyMap;
            }
        }
 
        return instrument_->additionalResults();
    }
}

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◆ checkBarrier()

virtual bool checkBarrier	(	Real	,
		bool
	)		const

pure virtual

Implemented in SingleBarrierOptionWrapper, and DoubleBarrierOptionWrapper.

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◆ NPV()

Real NPV ( ) const

overrideprotectedvirtual

Return the NPV of this instrument.

Implements InstrumentWrapper.

Definition at line 40 of file barrieroptionwrapper.cpp.

                                     {
    Real addNPV = additionalInstrumentsNPV();
    
    Date today = Settings::instance().evaluationDate();
 
    // check the trigger on the first run, we only need to re check it if the 
    // instrument becomes un calculated. The trigger should only need to be rechecked
    // for a change in valuation date or spot, and this ensures
    if (!exercised_ || !instrument_->isCalculated()) {
        exercise();
    }
 
    if (exercised_) {
        Real npv;
        if (barrierType_ == Barrier::DownOut || barrierType_ == Barrier::UpOut)
            npv = (today == exerciseDate_) ? multiplier2() * rebate_ * undMultiplier_ : 0.0;
        else
            npv = multiplier2() * getTimedNPV(activeUnderlyingInstrument_) * undMultiplier_;
        
        return npv + addNPV;
    } else {
        // if not exercised we just return the original option's NPV
        Real npv = multiplier2() * getTimedNPV(instrument_) * multiplier_;
 
        // Handling the edge case where barrier = strike, is KO, and underlying is only ITM when inside KO barrier.
        // NPV should then be zero, but the pricing engine might not necessarily be pricing it as zero at the boundary.
        auto vanillaOption = QuantLib::ext::dynamic_pointer_cast<VanillaOption>(activeUnderlyingInstrument_);
        if (vanillaOption) {
            auto payoff = QuantLib::ext::dynamic_pointer_cast<StrikedTypePayoff>(vanillaOption->payoff());
            if (payoff && ((barrierType_ == Barrier::DownOut && payoff->optionType() == Option::Put) ||
                           (barrierType_ == Barrier::UpOut && payoff->optionType() == Option::Call))) {
                const bool isTouchingOnly = true;
                if (checkBarrier(payoff->strike(), isTouchingOnly))
                    npv = 0;
            }
        }
        return npv + addNPV;
    }
}

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Member Data Documentation

◆ spot_

Handle<Quote> spot_

protected

Definition at line 68 of file barrieroptionwrapper.hpp.

◆ barrierType_

Barrier::Type barrierType_

protected

Definition at line 69 of file barrieroptionwrapper.hpp.

◆ rebate_

Real rebate_

protected

Definition at line 70 of file barrieroptionwrapper.hpp.

◆ ccy_

const QuantLib::Currency ccy_

protected

Definition at line 71 of file barrieroptionwrapper.hpp.

◆ startDate_

const QuantLib::Date startDate_

protected

Definition at line 72 of file barrieroptionwrapper.hpp.

◆ index_

QuantLib::ext::shared_ptr<QuantLib::Index> index_

protected

Definition at line 73 of file barrieroptionwrapper.hpp.

◆ calendar_

QuantLib::Calendar calendar_

protected

Definition at line 74 of file barrieroptionwrapper.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ BarrierOptionWrapper()

Member Function Documentation

◆ additionalResults()

◆ checkBarrier()

◆ NPV()

Member Data Documentation

◆ spot_

◆ barrierType_

◆ rebate_

◆ ccy_

◆ startDate_

◆ index_

◆ calendar_