#include <ored/portfolio/bestentryoption.hpp>

Inheritance diagram for BestEntryOption:

Collaboration diagram for BestEntryOption:

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

	BestEntryOption (const Envelope &env, const string &longShort, const string &notional, const string &multiplier, const string &strike, const string &cap, const string &resetMinimum, const string &triggerLevel, const QuantLib::ext::shared_ptr< Underlying > underlying, const string &currency, const ScheduleData &observationDates, const string &premiumDate)

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
std::string	longShort_

std::string	notional_

std::string	multiplier_

std::string	strike_

std::string	cap_

std::string	resetMinimum_

std::string	triggerLevel_

QuantLib::ext::shared_ptr< Underlying >	underlying_

std::string	currency_

ScheduleData	observationDates_

std::string	expiryDate_

std::string	premium_

std::string	settlementDate_

std::string	strikeDate_

std::string	premiumDate_

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 27 of file bestentryoption.hpp.

Constructor & Destructor Documentation

◆ BestEntryOption() [1/2]

BestEntryOption ( const string & tradeType = "BestEntryOption" )

explicit

Definition at line 29 of file bestentryoption.hpp.

29: 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

◆ BestEntryOption() [2/2]

BestEntryOption	(	const Envelope &	env,
		const string &	longShort,
		const string &	notional,
		const string &	multiplier,
		const string &	strike,
		const string &	cap,
		const string &	resetMinimum,
		const string &	triggerLevel,
		const QuantLib::ext::shared_ptr< Underlying >	underlying,
		const string &	currency,
		const ScheduleData &	observationDates,
		const string &	premiumDate
	)

Definition at line 30 of file bestentryoption.hpp.

        : longShort_(longShort), notional_(notional), multiplier_(multiplier), strike_(strike), cap_(cap),
          resetMinimum_(resetMinimum), triggerLevel_(triggerLevel), underlying_(underlying), currency_(currency),
          observationDates_(observationDates), premiumDate_(premiumDate) {
        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 bestentryoption.cpp.

                                                                               {
 
    // set script parameters
 
    clear();
    initIndices();
 
    // clang-format off
 
    static const std::string script =
        "NUMBER payoff, initialIndex, triggerEvent, strikeIndexObs, strikeIndexLevel, d, resetMinValue;\n"
        "\n"
        "triggerEvent = 0;\n"
        "\n"
        "strikeIndexLevel = Underlying(StrikeDate);\n"
        "\n"
        "resetMinValue = strikeIndexLevel * ResetMinimum;\n"
        "\n"
        "strikeIndexObs = Underlying(StrikeObservationDates[1]);\n"
        "\n"
        "FOR d IN (1, SIZE(StrikeObservationDates), 1) DO\n"
        "  IF Underlying(StrikeObservationDates[d]) < TriggerLevel * strikeIndexLevel THEN\n"
        "    triggerEvent = 1;\n"
        "    strikeIndexObs = min(strikeIndexObs, Underlying(StrikeObservationDates[d]));\n"
        "  END;\n"
        "END;\n"
        "\n"
        "IF triggerEvent == 1 THEN\n"
        "  initialIndex = max(ResetMinimum * strikeIndexLevel, strikeIndexObs);\n"
        "ELSE\n"
        "  initialIndex = strikeIndexLevel;\n"
        "END;\n"
        "\n"
        "IF Underlying(ExpiryDate) > Strike * initialIndex THEN\n"
        "  payoff = LongShort * Notional * Multiplier * min(Cap, max(0, (Underlying(ExpiryDate) - initialIndex)/initialIndex));\n"
        "ELSE\n"
        "  payoff = -1* LongShort * Notional * (Strike * initialIndex - Underlying(ExpiryDate))/initialIndex;\n"
        "END;\n"
        "\n"
        "Option = PAY(payoff, ExpiryDate, SettlementDate, Currency) - PAY(Premium, PremiumDate, PremiumDate, Currency);\n";
 
    // clang-format on
 
    numbers_.emplace_back("Number", "Notional", notional_);
    numbers_.emplace_back("Number", "Multiplier", !multiplier_.empty() ? multiplier_ : "1");
    numbers_.emplace_back("Number", "Cap", cap_);
    numbers_.emplace_back("Number", "ResetMinimum", resetMinimum_);
 
    numbers_.emplace_back("Number", "Strike", strike_);
 
    numbers_.emplace_back("Number", "LongShort", longShort_ == "Long" ? "1" : "-1");
 
    numbers_.emplace_back("Number", "TriggerLevel", triggerLevel_);
 
    events_.emplace_back("ExpiryDate", expiryDate_);
    QL_REQUIRE(parseDate(expiryDate_) <= parseDate(settlementDate_),
               "Expiry date must be before settlement date");
 
    currencies_.emplace_back("Currency", "Currency", currency_);
    numbers_.emplace_back("Number", "Premium", !premium_.empty() ? premium_ : "0");
    events_.emplace_back("PremiumDate", !premiumDate_.empty() ? premiumDate_ : settlementDate_);
 
    events_.emplace_back("SettlementDate", settlementDate_);
    events_.emplace_back("StrikeDate", strikeDate_);
    QL_REQUIRE(parseDate(strikeDate_) < parseDate(expiryDate_), "Strike date must be before expiry date");
 
    if (observationDates_.hasData()) {
        events_.emplace_back("StrikeObservationDates", observationDates_);
    }
 
    // set product tag
 
    productTag_ = "SingleAssetOption({AssetClass})";
 
    // set script
    
    script_[""] = ScriptedTradeScriptData(script, "Option", 
        {{"initialIndex", "initialIndex"}, {"strikeIndexLevel", "strikeIndexLevel"}, 
        {"payoffAmount", "payoff"}, {"resetMinimumValue", "resetMinValue"},
                                           {"lowestStrikeObs", "strikeIndexObs"},
                                           {"Cap", "Cap"},
                                           {"TriggerEvent", "triggerEvent"}}, 
        {});
 
    // build trade
 
    ScriptedTrade::build(factory);
}

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◆ setIsdaTaxonomyFields()

void setIsdaTaxonomyFields ( )

overridevirtual

Reimplemented from ScriptedTrade.

Definition at line 118 of file bestentryoption.cpp.

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

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 141 of file bestentryoption.cpp.

                                           {
    Trade::fromXML(node);
    XMLNode* tradeDataNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    QL_REQUIRE(tradeDataNode, "BestEntryOptionData node not found");
    longShort_ = XMLUtils::getChildValue(tradeDataNode, "LongShort", true);
    notional_ = XMLUtils::getChildValue(tradeDataNode, "Notional", true);
    multiplier_ = XMLUtils::getChildValue(tradeDataNode, "Multiplier", false);
    strike_ = XMLUtils::getChildValue(tradeDataNode, "Strike", true);
    cap_ = XMLUtils::getChildValue(tradeDataNode, "Cap", true);
    triggerLevel_ = XMLUtils::getChildValue(tradeDataNode, "TriggerLevel", true);
    resetMinimum_ = XMLUtils::getChildValue(tradeDataNode, "ResetMinimum", true);
    currency_ = XMLUtils::getChildValue(tradeDataNode, "Currency", true);
 
    XMLNode* underlying = XMLUtils::getChildNode(tradeDataNode, "Underlying");
    QL_REQUIRE(underlying, "Underlying node not found");
 
    UnderlyingBuilder underlyingBuilder;
    underlyingBuilder.fromXML(underlying);
    underlying_ = underlyingBuilder.underlying();
 
    XMLNode* observationNode = XMLUtils::getChildNode(tradeDataNode, "StrikeObservationDates");
    QL_REQUIRE(observationNode, "No strike observation dates provided");
    observationDates_.fromXML(observationNode);
 
    expiryDate_ = XMLUtils::getChildValue(tradeDataNode, "ExpiryDate", true);
    settlementDate_ = XMLUtils::getChildValue(tradeDataNode, "SettlementDate");
    strikeDate_ = XMLUtils::getChildValue(tradeDataNode, "StrikeDate", true);
    premium_ = XMLUtils::getChildValue(tradeDataNode, "Premium", false);
    premiumDate_ = XMLUtils::getChildValue(tradeDataNode, "PremiumDate", false);
    currency_ = XMLUtils::getChildValue(tradeDataNode, "Currency", true);
 
    initIndices();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 175 of file bestentryoption.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, "Notional", notional_);
    XMLUtils::addChild(doc, tradeNode, "Multiplier", multiplier_);
    XMLUtils::addChild(doc, tradeNode, "Strike", strike_);
    XMLUtils::addChild(doc, tradeNode, "Cap", cap_);
    XMLUtils::addChild(doc, tradeNode, "TriggerLevel", triggerLevel_);
    XMLUtils::addChild(doc, tradeNode, "ResetMinimum", resetMinimum_);
 
    XMLUtils::appendNode(tradeNode, underlying_->toXML(doc));
 
    XMLNode* observationNode = observationDates_.toXML(doc);
    XMLUtils::setNodeName(doc, observationNode, "StrikeObservationDates");
    XMLUtils::appendNode(tradeNode, observationNode);
 
    XMLUtils::addChild(doc, tradeNode, "ExpiryDate", expiryDate_);
    XMLUtils::addChild(doc, tradeNode, "StrikeDate", strikeDate_);
    XMLUtils::addChild(doc, tradeNode, "Currency", currency_);
    XMLUtils::addChild(doc, tradeNode, "Premium", premium_);
    XMLUtils::addChild(doc, tradeNode, "PremiumDate", premiumDate_);
    XMLUtils::addChild(doc, tradeNode, "SettlementDate", settlementDate_);
 
    return node;
}

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◆ initIndices()

void initIndices ( )

private

Definition at line 139 of file bestentryoption.cpp.

139{ indices_.emplace_back("Index", "Underlying", scriptedIndexName(underlying_)); }

ore::data::ScriptedTrade::indices_

std::vector< ScriptedTradeValueTypeData > indices_

Definition: scriptedtrade.hpp:267

ore::data::scriptedIndexName

QL_DEPRECATED_ENABLE_WARNING std::string scriptedIndexName(const QuantLib::ext::shared_ptr< Underlying > &underlying)

Definition: utilities.cpp:614

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Member Data Documentation

◆ longShort_

std::string longShort_

private

Definition at line 48 of file bestentryoption.hpp.

◆ notional_

std::string notional_

private

Definition at line 48 of file bestentryoption.hpp.

◆ multiplier_

std::string multiplier_

private

Definition at line 48 of file bestentryoption.hpp.

◆ strike_

std::string strike_

private

Definition at line 48 of file bestentryoption.hpp.

◆ cap_

std::string cap_

private

Definition at line 49 of file bestentryoption.hpp.

◆ resetMinimum_

std::string resetMinimum_

private

Definition at line 49 of file bestentryoption.hpp.

◆ triggerLevel_

std::string triggerLevel_

private

Definition at line 49 of file bestentryoption.hpp.

◆ underlying_

QuantLib::ext::shared_ptr<Underlying> underlying_

private

Definition at line 50 of file bestentryoption.hpp.

◆ currency_

std::string currency_

private

Definition at line 51 of file bestentryoption.hpp.

◆ observationDates_

ScheduleData observationDates_

private

Definition at line 52 of file bestentryoption.hpp.

◆ expiryDate_

std::string expiryDate_

private

Definition at line 53 of file bestentryoption.hpp.

◆ premium_

std::string premium_

private

Definition at line 53 of file bestentryoption.hpp.

◆ settlementDate_

std::string settlementDate_

private

Definition at line 53 of file bestentryoption.hpp.

◆ strikeDate_

std::string strikeDate_

private

Definition at line 54 of file bestentryoption.hpp.

◆ premiumDate_

std::string premiumDate_

private

Definition at line 54 of file bestentryoption.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BestEntryOption() [1/2]

◆ BestEntryOption() [2/2]

Member Function Documentation

◆ build()

◆ setIsdaTaxonomyFields()

◆ fromXML()

◆ toXML()

◆ initIndices()

Member Data Documentation

◆ longShort_

◆ notional_

◆ multiplier_

◆ strike_

◆ cap_

◆ resetMinimum_

◆ triggerLevel_

◆ underlying_

◆ currency_

◆ observationDates_

◆ expiryDate_

◆ premium_

◆ settlementDate_

◆ strikeDate_

◆ premiumDate_