#include <ored/portfolio/callableswap.hpp>

Inheritance diagram for CallableSwap:

Collaboration diagram for CallableSwap:

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

	CallableSwap (const ore::data::Envelope &env, const ore::data::Swap &swap, const ore::data::Swaption &swaption)
	Constructor. More...

void	build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...

Inspectors
const ore::data::Swap &	swap () const

const ore::data::Swaption &	swaption () 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...

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
ore::data::Swap	swap_

ore::data::Swaption	swaption_

virtual void	fromXML (ore::data::XMLNode *node) override

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

const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built More...

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 Swaption.

Definition at line 36 of file callableswap.hpp.

Constructor & Destructor Documentation

◆ CallableSwap() [1/2]

CallableSwap ( )

Default constructor.

Definition at line 39 of file callableswap.hpp.

39: ore::data::Trade("CallableSwap") {}

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ CallableSwap() [2/2]

CallableSwap	(	const ore::data::Envelope &	env,
		const ore::data::Swap &	swap,
		const ore::data::Swaption &	swaption
	)

Constructor.

Definition at line 41 of file callableswap.hpp.

42 : Trade("CallableSwap", env), swap_(swap), swaption_(swaption) {}

ore::data::CallableSwap::swap

const ore::data::Swap & swap() const

Definition: callableswap.hpp:49

ore::data::CallableSwap::swaption

const ore::data::Swaption & swaption() const

Definition: callableswap.hpp:50

ore::data::CallableSwap::swaption_

ore::data::Swaption swaption_

Definition: callableswap.hpp:63

ore::data::CallableSwap::swap_

ore::data::Swap swap_

Definition: callableswap.hpp:62

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

Member Function Documentation

◆ build()

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

override

Build QuantLib/QuantExt instrument, link pricing engine.

Definition at line 30 of file callableswap.cpp.

                                                                                  {
    LOG("Building CallableSwap " << id());
    swap_.reset();
    swaption_.reset();
    // we need to do set the id manually because it otherwise remains blank
    swap_.id() = id() + "_Swap";
    swap_.build(engineFactory);
    // likewise here, and now it is essential because the engine is stored by id if the option style is Bermudan
    swaption_.id() = id() + "_Swaption";
    swaption_.build(engineFactory);
 
    setSensitivityTemplate(swaption_.sensitivityTemplate());
 
    instrument_ = QuantLib::ext::make_shared<CompositeInstrumentWrapper>(
        std::vector<QuantLib::ext::shared_ptr<InstrumentWrapper>>{swap_.instrument(), swaption_.instrument()});
 
    legs_ = swap_.legs();
    legCurrencies_ = swap_.legCurrencies();
    legPayers_ = swap_.legPayers();
    if (swaption_.isExercised()) {
        legs_.insert(legs_.end(), swaption_.legs().begin(), swaption_.legs().end());
        legCurrencies_.insert(legCurrencies_.end(), swaption_.legCurrencies().begin(), swaption_.legCurrencies().end());
        bool isShort = parsePositionType(swaption_.optionData().longShort()) == QuantLib::Position::Short;
        for (auto const& p : swaption_.legPayers()) {
            legPayers_.push_back(isShort ? !p : p);
        }
    }
 
    npvCurrency_ = swap_.npvCurrency();
    notional_ = swap_.notional();
    notionalCurrency_ = swap_.notionalCurrency();
    maturity_ = swap_.maturity();
 
    requiredFixings_.addData(swap_.requiredFixings());
}

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◆ swap()

const ore::data::Swap & swap ( ) const

Definition at line 49 of file callableswap.hpp.

49{ return swap_; }

◆ swaption()

const ore::data::Swaption & swaption ( ) const

Definition at line 50 of file callableswap.hpp.

50{ return swaption_; }

◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 68 of file callableswap.cpp.

                                        {
    Trade::fromXML(node);
    XMLNode* swapNode = XMLUtils::getChildNode(node, "CallableSwapData");
 
    vector<LegData> legData;
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(swapNode, "LegData");
    for (Size i = 0; i < nodes.size(); i++) {
        auto ld = QuantLib::ext::make_shared<ore::data::LegData>();
        ld->fromXML(nodes[i]);
        legData.push_back(*ld);
    }
    swap_ = ore::data::Swap(envelope(), legData);
 
    OptionData optionData;
    optionData.fromXML(XMLUtils::getChildNode(swapNode, "OptionData"));
    if (parsePositionType(optionData.longShort()) == QuantLib::Position::Long) {
        vector<LegData> reversedLegData(legData);
        for (auto& l : reversedLegData)
            l.isPayer() = !l.isPayer();
        swaption_ = ore::data::Swaption(envelope(), optionData, reversedLegData);
    } else {
        swaption_ = ore::data::Swaption(envelope(), optionData, legData);
    }
}

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◆ toXML()

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

overridevirtual

Reimplemented from Trade.

Definition at line 93 of file callableswap.cpp.

                                                   {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* swapNode = doc.allocNode("CallableSwapData");
    XMLUtils::appendNode(node, swapNode);
 
    for (Size i = 0; i < swap_.legData().size(); i++) {
        // poor const correctness in ORE, so we copy...
        LegData ld = swap_.legData()[i];
        XMLUtils::appendNode(swapNode, ld.toXML(doc));
    }
 
    // same as above...
    OptionData od = swaption_.optionData();
    XMLUtils::appendNode(swapNode, od.toXML(doc));
 
    return node;
}

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◆ additionalData()

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

overridevirtual

returns all additional data returned by the trade once built

Reimplemented from Trade.

Definition at line 66 of file callableswap.cpp.

66{ return swap_.additionalData(); }

ore::data::Swap::additionalData

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

returns all additional data returned by the trade once built

Definition: swap.cpp:228

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Member Data Documentation

◆ swap_

ore::data::Swap swap_

private

Definition at line 62 of file callableswap.hpp.

◆ swaption_

ore::data::Swaption swaption_

private

Definition at line 63 of file callableswap.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CallableSwap() [1/2]

◆ CallableSwap() [2/2]

Member Function Documentation

◆ build()

◆ swap()

◆ swaption()

◆ fromXML()

◆ toXML()

◆ additionalData()

Member Data Documentation

◆ swap_

◆ swaption_