Serializable Bond Option. More...

#include <ored/portfolio/bondoption.hpp>

Inheritance diagram for BondOption:

Collaboration diagram for BondOption:

Public Member Functions
	BondOption ()
	Default constructor. More...

	BondOption (Envelope env, const BondData &bondData, const OptionData &optionData, TradeStrike strike, bool knocksOut)
	Constructor taking trade data. More...

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

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Bond names. More...

const BondData &	bondData () const

const OptionData &	optionData () const

TradeStrike	strike () const

double	redemption () const

string	priceType () 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...

Private Attributes
BondData	originalBondData_

BondData	bondData_

OptionData	optionData_

TradeStrike	strike_

double	redemption_

string	priceType_

string	currency_

bool	knocksOut_

QuantLib::ext::shared_ptr< ore::data::Bond >	underlying_

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 Bond Option.

Definition at line 39 of file bondoption.hpp.

Constructor & Destructor Documentation

◆ BondOption() [1/2]

BondOption ( )

Default constructor.

Definition at line 42 of file bondoption.hpp.

42: Trade("BondOption"), redemption_(0.0), knocksOut_(false) {}

ore::data::BondOption::knocksOut_

bool knocksOut_

Definition: bondoption.hpp:73

ore::data::BondOption::redemption_

double redemption_

Definition: bondoption.hpp:70

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ BondOption() [2/2]

BondOption	(	Envelope	env,
		const BondData &	bondData,
		const OptionData &	optionData,
		TradeStrike	strike,
		bool	knocksOut
	)

Constructor taking trade data.

Definition at line 45 of file bondoption.hpp.

46 : Trade("BondOption", env), bondData_(bondData), optionData_(optionData), strike_(strike),

47 knocksOut_(knocksOut) {}

ore::data::BondOption::bondData_

BondData bondData_

Definition: bondoption.hpp:66

ore::data::BondOption::optionData_

OptionData optionData_

Definition: bondoption.hpp:67

ore::data::BondOption::strike_

TradeStrike strike_

Definition: bondoption.hpp:69

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 49 of file bondoption.cpp.

                                                                                {
    DLOG("Building Bond Option: " << id());
    
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string("Option");
    additionalData_["isdaSubProduct"] = string("Debt Option");
    additionalData_["isdaTransaction"] = string("");  
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("BondOption");
    bondData_ = originalBondData_;
    bondData_.populateFromBondReferenceData(engineFactory->referenceData());
 
    Calendar calendar = parseCalendar(bondData_.calendar());
    QuantLib::ext::shared_ptr<QuantExt::BondOption> bondoption;
 
    // FIXME this won't work for zero bonds (but their implementation is incomplete anyhow, see bond.cpp)
    underlying_ = QuantLib::ext::make_shared<ore::data::Bond>(Envelope(), bondData_);
 
    underlying_->build(engineFactory);
 
    legs_ = underlying_->legs();
    legCurrencies_ = underlying_->legCurrencies();
    legPayers_ = std::vector<bool>(legs_.size(), false); // always receive (long option view)
    npvCurrency_ = underlying_->bondData().currency();
    notional_ = underlying_->notional() * bondData_.bondNotional();
    notionalCurrency_ = underlying_->bondData().currency();
    maturity_ = std::max(optionData_.premiumData().latestPremiumDate(), underlying_->maturity());
 
    auto qlBondInstr = QuantLib::ext::dynamic_pointer_cast<QuantLib::Bond>(underlying_->instrument()->qlInstrument());
    QL_REQUIRE(qlBondInstr, "BondOption::build(): could not cast to QuantLib::Bond");
    for (auto const p : underlying_->legPayers()) {
        QL_REQUIRE(!p, "BondOption::build(): underlying leg must be receiver");
    }
 
    boost::variant<QuantLib::Bond::Price, QuantLib::InterestRate> callabilityPrice;
    if (strike_.type() == TradeStrike::Type::Price) {
        if (priceType_ == "Dirty") {
            callabilityPrice = QuantLib::Bond::Price(strike_.value(), QuantLib::Bond::Price::Dirty);
        } else if (priceType_ == "Clean") {
            callabilityPrice = QuantLib::Bond::Price(strike_.value(), QuantLib::Bond::Price::Clean);
        } else {
            QL_FAIL("BondOption::build(): price type \"" << priceType_ << "\" not recognised.");
        }
    } else {
        // strike is quoted as a yield
        DayCounter dayCounter = Actual365Fixed();
        Frequency freq = Annual;
        // attempt to get the daycounter and frequency from the bond
        if (bondData_.coupons().size() > 0) {
            auto cn = bondData_.coupons().front();
            const string& dc = cn.dayCounter();
            if (!dc.empty()) 
                dayCounter = parseDayCounter(dc);
            if (cn.schedule().rules().size() > 0)
                freq = parsePeriod(cn.schedule().rules().front().tenor()).frequency();
        }
        callabilityPrice = QuantLib::InterestRate(strike_.value(), dayCounter, strike_.compounding(), freq);
    }    
 
    Callability::Type callabilityType =
        parseOptionType(optionData_.callPut()) == Option::Call ? Callability::Call : Callability::Put;
 
    QL_REQUIRE(optionData_.exerciseDates().size() == 1,
               "BondOption::build(): exactly one option date required, found " << optionData_.exerciseDates().size());
    Date exerciseDate = parseDate(optionData_.exerciseDates().back());
    QuantLib::ext::shared_ptr<Callability> callability;
    callability.reset(new Callability(callabilityPrice, callabilityType, exerciseDate));
    CallabilitySchedule callabilitySchedule = std::vector<QuantLib::ext::shared_ptr<Callability>>(1, callability);
 
    bondoption.reset(new QuantExt::BondOption(qlBondInstr, callabilitySchedule, knocksOut_));
 
    Currency currency = parseCurrency(underlying_->bondData().currency());
 
    QuantLib::ext::shared_ptr<BondOptionEngineBuilder> bondOptionBuilder =
        QuantLib::ext::dynamic_pointer_cast<BondOptionEngineBuilder>(builder);
    QL_REQUIRE(bondOptionBuilder, "No Builder found for bondOption: " << id());
 
    QuantLib::ext::shared_ptr<BlackBondOptionEngine> blackEngine = QuantLib::ext::dynamic_pointer_cast<BlackBondOptionEngine>(
        bondOptionBuilder->engine(id(), currency, bondData_.creditCurveId(), bondData_.hasCreditRisk(),
                                  bondData_.securityId(), bondData_.referenceCurveId(), bondData_.volatilityCurveId()));
    bondoption->setPricingEngine(blackEngine);
    setSensitivityTemplate(*bondOptionBuilder);
 
    Real multiplier =
        bondData_.bondNotional() * (parsePositionType(optionData_.longShort()) == Position::Long ? 1.0 : -1.0);
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    addPremiums(additionalInstruments, additionalMultipliers, multiplier, optionData_.premiumData(),
                multiplier > 0.0 ? -1.0 : 1.0, currency, engineFactory,
                bondOptionBuilder->configuration(MarketContext::pricing));
 
    instrument_.reset(new VanillaInstrument(bondoption, multiplier, additionalInstruments, additionalMultipliers));
    
    // the required fixings are (at most) those of the underlying
    requiredFixings_ = underlying_->requiredFixings();
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 149 of file bondoption.cpp.

                                      {
    Trade::fromXML(node);
 
    XMLNode* bondOptionNode = XMLUtils::getChildNode(node, "BondOptionData");
    QL_REQUIRE(bondOptionNode, "No BondOptionData Node");
    optionData_.fromXML(XMLUtils::getChildNode(bondOptionNode, "OptionData"));
    strike_.fromXML(bondOptionNode, true, true);
    redemption_ = XMLUtils::getChildValueAsDouble(bondOptionNode, "Redemption", false, 100.0);
    // don't need PriceType id a yield strike is provided
    if (strike_.type() == TradeStrike::Type::Price)
        priceType_ = XMLUtils::getChildValue(bondOptionNode, "PriceType", true);
    if (auto n = XMLUtils::getChildNode(bondOptionNode, "KnocksOut"))
        knocksOut_ = parseBool(XMLUtils::getNodeValue(n));
    else
        knocksOut_ = false;
 
    originalBondData_.fromXML(XMLUtils::getChildNode(bondOptionNode, "BondData"));
    bondData_ = originalBondData_;
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 169 of file bondoption.cpp.

                                                 {
    XMLNode* node = Trade::toXML(doc);
 
    XMLNode* bondOptionNode = doc.allocNode("BondOptionData");
    XMLUtils::appendNode(node, bondOptionNode);
    XMLUtils::appendNode(bondOptionNode, optionData_.toXML(doc));
    XMLUtils::appendNode(bondOptionNode, strike_.toXML(doc));
    XMLUtils::addChild(doc, bondOptionNode, "Redemption", redemption_);
    if (!priceType_.empty())
        XMLUtils::addChild(doc, bondOptionNode, "PriceType", priceType_);
    XMLUtils::addChild(doc, bondOptionNode, "KnocksOut", knocksOut_);
 
    XMLUtils::appendNode(bondOptionNode, originalBondData_.toXML(doc));
    return node;
}

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◆ underlyingIndices()

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

overridevirtual

Add underlying Bond names.

Reimplemented from Trade.

Definition at line 186 of file bondoption.cpp.

                                                                                                           {
    std::map<AssetClass, std::set<std::string>> result;
    result[AssetClass::BOND] = {bondData_.securityId()};
    return result;
}

◆ bondData()

const BondData & bondData ( ) const

Definition at line 59 of file bondoption.hpp.

59{ return bondData_; }

◆ optionData()

const OptionData & optionData ( ) const

Definition at line 60 of file bondoption.hpp.

60{ return optionData_; }

◆ strike()

TradeStrike strike ( ) const

Definition at line 61 of file bondoption.hpp.

61{ return strike_; }

◆ redemption()

double redemption ( ) const

Definition at line 62 of file bondoption.hpp.

62{ return redemption_; }

◆ priceType()

string priceType ( ) const

Definition at line 63 of file bondoption.hpp.

63{ return priceType_; }

Member Data Documentation

◆ originalBondData_

BondData originalBondData_

private

Definition at line 66 of file bondoption.hpp.

◆ bondData_

BondData bondData_

private

Definition at line 66 of file bondoption.hpp.

◆ optionData_

OptionData optionData_

private

Definition at line 67 of file bondoption.hpp.

◆ strike_

TradeStrike strike_

private

Definition at line 69 of file bondoption.hpp.

◆ redemption_

double redemption_

private

Definition at line 70 of file bondoption.hpp.

◆ priceType_

string priceType_

private

Definition at line 71 of file bondoption.hpp.

◆ currency_

string currency_

private

Definition at line 72 of file bondoption.hpp.

◆ knocksOut_

bool knocksOut_

private

Definition at line 73 of file bondoption.hpp.

◆ underlying_

QuantLib::ext::shared_ptr<ore::data::Bond> underlying_

private

Definition at line 75 of file bondoption.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BondOption() [1/2]

◆ BondOption() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

◆ bondData()

◆ optionData()

◆ strike()

◆ redemption()

◆ priceType()

Member Data Documentation

◆ originalBondData_

◆ bondData_

◆ optionData_

◆ strike_

◆ redemption_

◆ priceType_

◆ currency_

◆ knocksOut_

◆ underlying_