#include <ored/portfolio/basketvarianceswap.hpp>

Inheritance diagram for BasketVarianceSwap:

Collaboration diagram for BasketVarianceSwap:

Public Member Functions
	BasketVarianceSwap (const string &tradeType="BasketVarianceSwap")

	BasketVarianceSwap (const Envelope &env, const string &longShort, const string &notional, const string &strike, const string &currency, const string &cap, const string &floor, const string &settlementDate, const ScheduleData &valuationSchedule, bool squaredPayoff, const vector< QuantLib::ext::shared_ptr< Underlying > > underlyings)

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

void	setIsdaTaxonomyFields () override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Public Member Functions inherited from ScriptedTrade
	ScriptedTrade (const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::map< std::string, ScriptedTradeScriptData > &script, const std::string &productTag, const std::string &tradeType="ScriptedTrade")

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::string &scriptName, const std::string &tradeType="ScriptedTrade")

void	clear ()

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

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

std::string	notionalCurrency () const override

void	fromXML (XMLNode *node) override

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

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const PremiumData &premiumData, const Real premiumMultiplier)

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

virtual void	setIsdaTaxonomyFields ()

const std::vector< ScriptedTradeEventData > &	events () const

const std::vector< ScriptedTradeValueTypeData > &	numbers () const

const std::vector< ScriptedTradeValueTypeData > &	indices () const

const std::vector< ScriptedTradeValueTypeData > &	currencies () const

const std::vector< ScriptedTradeValueTypeData > &	daycounters () const

const std::map< std::string, ScriptedTradeScriptData > &	script () const

const std::string &	productTag () const

const std::string &	scriptName () const

const std::string &	simmProductClass () const

const std::string &	scheduleProductClass () const

const ScriptedTradeScriptData &	script (const std::string &purpose, const bool fallBackOnEmptyPurpose=true) 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

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 Member Functions
void	initIndices ()

Private Attributes
string	longShort_

string	notional_

string	strike_

string	currency_

string	cap_

string	floor_

string	settlementDate_

ScheduleData	valuationSchedule_

bool	squaredPayoff_

vector< QuantLib::ext::shared_ptr< Underlying > >	underlyings_

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 ScriptedTrade
std::vector< ScriptedTradeEventData >	events_

std::vector< ScriptedTradeValueTypeData >	numbers_

std::vector< ScriptedTradeValueTypeData >	indices_

std::vector< ScriptedTradeValueTypeData >	currencies_

std::vector< ScriptedTradeValueTypeData >	daycounters_

std::map< std::string, ScriptedTradeScriptData >	script_

std::string	productTag_

std::string	scriptName_

std::string	simmProductClass_

std::string	scheduleProductClass_

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

Definition at line 34 of file basketvarianceswap.hpp.

Constructor & Destructor Documentation

◆ BasketVarianceSwap() [1/2]

BasketVarianceSwap ( const string & tradeType = "BasketVarianceSwap" )

explicit

Definition at line 36 of file basketvarianceswap.hpp.

36: ScriptedTrade(tradeType) {}

ore::data::ScriptedTrade::ScriptedTrade

ScriptedTrade(const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

Definition: scriptedtrade.hpp:205

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ BasketVarianceSwap() [2/2]

BasketVarianceSwap	(	const Envelope &	env,
		const string &	longShort,
		const string &	notional,
		const string &	strike,
		const string &	currency,
		const string &	cap,
		const string &	floor,
		const string &	settlementDate,
		const ScheduleData &	valuationSchedule,
		bool	squaredPayoff,
		const vector< QuantLib::ext::shared_ptr< Underlying > >	underlyings
	)

Definition at line 37 of file basketvarianceswap.hpp.

        : longShort_(longShort), notional_(notional), strike_(strike), currency_(currency), cap_(cap), floor_(floor),
          settlementDate_(settlementDate), valuationSchedule_(valuationSchedule), squaredPayoff_(squaredPayoff),
          underlyings_(underlyings) {
        initIndices();
    }

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Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

Definition at line 29 of file basketvarianceswap.cpp.

                                                                                  {
 
    auto builder = QuantLib::ext::dynamic_pointer_cast<ScriptedTradeEngineBuilder>(factory->builder("ScriptedTrade"));
 
    // set script parameters
 
    clear();
    initIndices();
 
    // check underlying types
    QL_REQUIRE(underlyings_.size() > 0, "No underlyings were provided");
    string type = underlyings_.front()->type();
    for (auto u : underlyings_) {
        QL_REQUIRE(u->type() == type, "All of Underlyings must be from the same asset class.");
    }
 
    // dates/schedules
    events_.emplace_back("ValuationSchedule", valuationSchedule_);
    events_.emplace_back("SettlementDate", settlementDate_);
 
    // numbers
    numbers_.emplace_back("Number", "Strike", strike_);
    numbers_.emplace_back("Number", "Notional", notional_);
    numbers_.emplace_back("Number", "Cap", cap_.empty() ? "0" : cap_);
    numbers_.emplace_back("Number", "Floor", floor_.empty() ? "0" : floor_);
 
    // booleans
    numbers_.emplace_back("Number", "LongShort", parsePositionType(longShort_) == Position::Long ? "1" : "-1");
    numbers_.emplace_back("Number", "SquaredPayoff", squaredPayoff_ ? "1" : "-1");
 
    // currencies
    currencies_.emplace_back("Currency", "PayCcy", currency_);
 
    // set product tag accordingly
    if (type == "InterestRate") {
        productTag_ = "MultiUnderlyingIrOption";
    } else {
        productTag_ = "MultiAssetOptionAD({AssetClass})";
    }
    
    LOG("ProductTag=" << productTag_);
 
    // set script
 
    script_ = {// clang-format off
        {"", ScriptedTradeScriptData(
                "REQUIRE {Notional >= 0} AND {Strike >= 0};\n"
                "REQUIRE {Cap >= 0} AND {Floor >= 0};\n"
                "\n"
                "NUMBER i, n;\n"
                "n = SIZE(Underlyings);\n"
                "\n"
                "NUMBER sumOfWeights;\n"
                "FOR i IN (1, n, 1) DO\n"
                "  sumOfWeights = sumOfWeights + Weights[i];\n"
                "END;\n"
                "REQUIRE sumOfWeights == 1;\n"
                "\n"
                "NUMBER d, expectedN, currPrice[n], prevPrice[n];\n"
                "NUMBER realisedVariance, basketVariation, realisedVariation;\n"
                "NUMBER strike, cap, floor, currentNotional, payoff;\n"
                "\n"
                "FOR d IN (2, SIZE(ValuationSchedule), 1) DO\n"
                "  basketVariation = 0;\n"
                "  FOR i IN (1, n, 1) DO\n"
                "    currPrice[i] = Underlyings[i](ValuationSchedule[d]);\n"
                "    prevPrice[i] = Underlyings[i](ValuationSchedule[d-1]);\n"
                "    basketVariation = basketVariation + Weights[i] * ln(currPrice[i]/prevPrice[i]);\n"
                "  END;\n"
                "  realisedVariance = realisedVariance + pow(basketVariation, 2);\n"
                "END;\n"
                "\n"
                "expectedN = SIZE(ValuationSchedule) - 1;\n"
                "realisedVariance = (252/expectedN) * realisedVariance;\n"
                "\n"
                "IF SquaredPayoff == 1 THEN\n"
                "  realisedVariation = realisedVariance;\n"
                "  currentNotional = pow(100, 2) * Notional / (2 * 100 * Strike);\n"
                "  strike = pow(Strike, 2);\n"
                "ELSE\n"
                "  realisedVariation = sqrt(realisedVariance);\n"
                "  currentNotional = 100 * Notional;\n"
                "  strike = Strike;\n"
                "END;\n"
                "\n"
                "IF Floor > 0 THEN\n"
                "  IF SquaredPayoff == 1 THEN\n"
                "    floor = pow(Floor, 2);\n"
                "  ELSE\n"
                "    floor = Floor;\n"
                "  END;\n"
                "  realisedVariation = max(floor * strike, realisedVariation);\n"
                "END;\n"
                "IF Cap > 0 THEN\n"
                "  IF SquaredPayoff == 1 THEN\n"
                "    cap = pow(Cap, 2);\n"
                "  ELSE\n"
                "    cap = Cap;\n"
                "  END;\n"
                "  realisedVariation = min(cap * strike, realisedVariation);\n"
                "END;\n"
                "\n"
                "payoff = LongShort * currentNotional * (realisedVariation - strike);\n"
                "\n"
                "Swap = PAY(payoff, ValuationSchedule[SIZE(ValuationSchedule)],\n"
                "           SettlementDate, PayCcy);\n",
             "Swap",
             {{"RealisedVariance", "realisedVariance"},
              {"currentNotional", "currentNotional"},
              {"notionalCurrency", "PayCcy"}},
            {})}};
        // clang-format on
 
    // build trade
 
    ScriptedTrade::build(factory);
}

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◆ setIsdaTaxonomyFields()

void setIsdaTaxonomyFields ( )

overridevirtual

Reimplemented from ScriptedTrade.

Definition at line 147 of file basketvarianceswap.cpp.

                                               {
    ScriptedTrade::setIsdaTaxonomyFields();
 
    // ISDA taxonomy
    // asset class set in the base class already
    std::string assetClass = boost::any_cast<std::string>(additionalData_["isdaAssetClass"]);
    if (assetClass == "Equity") {
        additionalData_["isdaBaseProduct"] = string("Swap");
        additionalData_["isdaSubProduct"] = string("Parameter Return Variance");
    } else if (assetClass == "Foreign Exchange") {
        additionalData_["isdaBaseProduct"] = string("Complex Exotic");
        additionalData_["isdaSubProduct"] = string("Generic");
    } else if (assetClass == "Commodity") {
        // isda taxonomy missing for this class, using the same as equity
        additionalData_["isdaBaseProduct"] = string("Other");
        additionalData_["isdaSubProduct"] = string("Parameter Return Variance");
    } else {
        WLOG("ISDA taxonomy incomplete for trade " << id());
    }
    additionalData_["isdaTransaction"] = string("Basket");
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 180 of file basketvarianceswap.cpp.

                                              {
    Trade::fromXML(node);
    XMLNode* tradeDataNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    QL_REQUIRE(tradeDataNode, "BasketVarianceSwapData node not found");
    longShort_ = XMLUtils::getChildValue(tradeDataNode, "LongShort", true);
    notional_ = XMLUtils::getChildValue(tradeDataNode, "Notional", true);
    strike_ = XMLUtils::getChildValue(tradeDataNode, "Strike", true);
    cap_ = XMLUtils::getChildValue(tradeDataNode, "Cap", false);
    floor_ = XMLUtils::getChildValue(tradeDataNode, "Floor", false);
 
    XMLNode* valuationSchedule = XMLUtils::getChildNode(tradeDataNode, "ValuationSchedule");
    QL_REQUIRE(valuationSchedule, "No valuation schedule provided");
    valuationSchedule_.fromXML(valuationSchedule);
    
    XMLNode* underlyingsNode = XMLUtils::getChildNode(tradeDataNode, "Underlyings");
    QL_REQUIRE(underlyingsNode, "Could not find an Underlyings node.");
    auto underlyings = XMLUtils::getChildrenNodes(underlyingsNode, "Underlying");
    for (auto const& u : underlyings) {
        UnderlyingBuilder underlyingBuilder;
        underlyingBuilder.fromXML(u);
        underlyings_.push_back(underlyingBuilder.underlying());
    }
 
    settlementDate_ = XMLUtils::getChildValue(tradeDataNode, "SettlementDate", false);
 
    string squaredPayoff = XMLUtils::getChildValue(tradeDataNode, "SquaredPayoff", false);
    squaredPayoff_ = squaredPayoff.empty() ? false : parseBool(squaredPayoff);
 
    currency_ = XMLUtils::getChildValue(tradeDataNode, "Currency", true);
 
    initIndices();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 213 of file basketvarianceswap.cpp.

                                                         {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* tradeNode = doc.allocNode(tradeType() + "Data");
    XMLUtils::appendNode(node, tradeNode);
    XMLUtils::addChild(doc, tradeNode, "LongShort", longShort_);
    XMLUtils::addChild(doc, tradeNode, "Currency", currency_);
    XMLUtils::addChild(doc, tradeNode, "Notional", notional_);
    XMLUtils::addChild(doc, tradeNode, "Strike", strike_);
 
    XMLNode* underlyingsNode = doc.allocNode("Underlyings");
    for (auto const& u : underlyings_)
        XMLUtils::appendNode(underlyingsNode, u->toXML(doc));
    XMLUtils::appendNode(tradeNode, underlyingsNode);
 
    XMLNode* valuationSchedule = valuationSchedule_.toXML(doc);
    XMLUtils::setNodeName(doc, valuationSchedule, "ValuationSchedule");
    XMLUtils::appendNode(tradeNode, valuationSchedule);
    
    XMLUtils::addChild(doc, tradeNode, "SettlementDate", settlementDate_);
    if (!cap_.empty()) {
        XMLUtils::addChild(doc, tradeNode, "Cap", cap_);
    }
    if (!floor_.empty()) {
        XMLUtils::addChild(doc, tradeNode, "Floor", floor_);
    }
    XMLUtils::addChild(doc, tradeNode, "SquaredPayoff", squaredPayoff_);
 
    return node;
}

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◆ initIndices()

void initIndices ( )

private

Definition at line 169 of file basketvarianceswap.cpp.

                                     {
    std::vector<string> underlyings, weights;
    for (auto const& u : underlyings_) {
        underlyings.push_back(scriptedIndexName(u));
        QL_REQUIRE(u->weight() != Null<Real>(), "underlying '" << u->name() << "' has no weight");
        weights.push_back(boost::lexical_cast<std::string>(u->weight()));
    }
    indices_.emplace_back("Index", "Underlyings", underlyings);
    numbers_.emplace_back("Number", "Weights", weights);
}

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Member Data Documentation

◆ longShort_

string longShort_

private

Definition at line 55 of file basketvarianceswap.hpp.

◆ notional_

string notional_

private

Definition at line 55 of file basketvarianceswap.hpp.

◆ strike_

string strike_

private

Definition at line 55 of file basketvarianceswap.hpp.

◆ currency_

string currency_

private

Definition at line 55 of file basketvarianceswap.hpp.

◆ cap_

string cap_

private

Definition at line 55 of file basketvarianceswap.hpp.

◆ floor_

string floor_

private

Definition at line 55 of file basketvarianceswap.hpp.

◆ settlementDate_

string settlementDate_

private

Definition at line 56 of file basketvarianceswap.hpp.

◆ valuationSchedule_

ScheduleData valuationSchedule_

private

Definition at line 57 of file basketvarianceswap.hpp.

◆ squaredPayoff_

bool squaredPayoff_

private

Definition at line 58 of file basketvarianceswap.hpp.

◆ underlyings_

vector<QuantLib::ext::shared_ptr<Underlying> > underlyings_

private

Definition at line 59 of file basketvarianceswap.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BasketVarianceSwap() [1/2]

◆ BasketVarianceSwap() [2/2]

Member Function Documentation

◆ build()

◆ setIsdaTaxonomyFields()

◆ fromXML()

◆ toXML()

◆ initIndices()

Member Data Documentation

◆ longShort_

◆ notional_

◆ strike_

◆ currency_

◆ cap_

◆ floor_

◆ settlementDate_

◆ valuationSchedule_

◆ squaredPayoff_

◆ underlyings_