Serializable Equity Cliquet Option. More...

#include <ored/portfolio/cliquetoption.hpp>

Inheritance diagram for CliquetOption:

Collaboration diagram for CliquetOption:

Public Member Functions
	CliquetOption (const std::string &tradeType)
	Default constructor. More...

	CliquetOption (const std::string &tradeType, ore::data::Envelope &env, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, std::string currency, QuantLib::Real notional, std::string longShort, std::string callPut, ore::data::ScheduleData scheduleData, QuantLib::Real moneyness=1.0, QuantLib::Real localCap=QuantLib::Null< QuantLib::Real >(), QuantLib::Real localFloor=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalCap=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalFloor=QuantLib::Null< QuantLib::Real >(), QuantLib::Size settlementDays=0, QuantLib::Real premium=0.0, std::string premiumCcy="", std::string premiumPayDate="")
	Constructor. More...

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

Inspectors
const std::string &	name () const

const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying () const

const std::string &	currency () const

const std::string &	longShort () const

const std::string &	callPut () const

const ore::data::ScheduleData &	scheduleData () const

const QuantLib::Real &	moneyness () const

const QuantLib::Real &	localCap () const

const QuantLib::Real &	localFloor () const

const QuantLib::Real &	globalCap () const

const QuantLib::Real &	globalFloor () const

QuantLib::Size	settlementDays () const

QuantLib::Real	premium () const

const std::string &	premiumCcy () const

const std::string &	premiumPayDate () 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...

Serialisation
QuantLib::ext::shared_ptr< ore::data::Underlying >	underlying_

std::string	currency_

QuantLib::Real	cliquetNotional_

std::set< QuantLib::Date >	valuationDates_

std::string	longShort_

std::string	callPut_

ore::data::ScheduleData	scheduleData_

QuantLib::Real	moneyness_

QuantLib::Real	localCap_

QuantLib::Real	localFloor_

QuantLib::Real	globalCap_

QuantLib::Real	globalFloor_

QuantLib::Size	settlementDays_

QuantLib::Real	premium_

std::string	premiumCcy_

std::string	premiumPayDate_

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

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

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 Equity Cliquet Option.

Definition at line 36 of file cliquetoption.hpp.

Constructor & Destructor Documentation

◆ CliquetOption() [1/2]

CliquetOption ( const std::string & tradeType )

Default constructor.

Definition at line 39 of file cliquetoption.hpp.

39: ore::data::Trade(tradeType) {}

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ CliquetOption() [2/2]

CliquetOption	(	const std::string &	tradeType,
		ore::data::Envelope &	env,
		const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying,
		std::string	currency,
		QuantLib::Real	notional,
		std::string	longShort,
		std::string	callPut,
		ore::data::ScheduleData	scheduleData,
		QuantLib::Real	moneyness = `1.0`,
		QuantLib::Real	localCap = `QuantLib::Null<QuantLib::Real>()`,
		QuantLib::Real	localFloor = `QuantLib::Null<QuantLib::Real>()`,
		QuantLib::Real	globalCap = `QuantLib::Null<QuantLib::Real>()`,
		QuantLib::Real	globalFloor = `QuantLib::Null<QuantLib::Real>()`,
		QuantLib::Size	settlementDays = `0`,
		QuantLib::Real	premium = `0.0`,
		std::string	premiumCcy = `""`,
		std::string	premiumPayDate = `""`
	)

Constructor.

Definition at line 41 of file cliquetoption.hpp.

        : ore::data::Trade(tradeType, env), underlying_(underlying), currency_(currency), longShort_(longShort),
          callPut_(callPut), scheduleData_(scheduleData), moneyness_(moneyness), localCap_(localCap),
          localFloor_(localFloor), globalCap_(globalCap), globalFloor_(globalFloor), settlementDays_(settlementDays),
          premium_(premium), premiumCcy_(premiumCcy), premiumPayDate_(premiumPayDate) {
        notional_ = notional;
    }

Here is the call graph for this function:

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 44 of file cliquetoption.cpp.

                                                                                   {
 
    // ISDA taxonomy
    if (underlying_->type() == "Equity") {
        additionalData_["isdaAssetClass"] = string("Equity");
        additionalData_["isdaBaseProduct"] = string("Other");
        additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    } else if (underlying_->type() == "Commodity") {
        // assuming that Commoditiy is treated like Equity
        additionalData_["isdaAssetClass"] = string("Commodity");
        additionalData_["isdaBaseProduct"] = string("Other");
        additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    } else if (underlying_->type() == "FX") {
        additionalData_["isdaAssetClass"] = string("Foreign Exchange");
        additionalData_["isdaBaseProduct"] = string("Complex Exotic");
        additionalData_["isdaSubProduct"] = string("Generic");
    } else {
        WLOG("ISDA taxonomy not set for trade " << id());
    }
 
    additionalData_["isdaTransaction"] = string("");  
 
    Currency ccy = parseCurrency(currency_);
 
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for VanillaOption");
 
    // Payoff
    Option::Type type = parseOptionType(callPut_);
    QuantLib::ext::shared_ptr<PercentageStrikePayoff> payoff = QuantLib::ext::make_shared<PercentageStrikePayoff>(type, moneyness_);
 
    Schedule schedule;
    schedule = makeSchedule(scheduleData_);
    Date expiryDate = schedule.dates().back();
 
    // Vanilla European/American.
    // If price adjustment is necessary we build a simple EU Option
    QuantLib::ext::shared_ptr<QuantLib::Instrument> instrument;
    QuantLib::ext::shared_ptr<EuropeanExercise> exerciseDate = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
 
    Date paymentDate = schedule.calendar().advance(expiryDate, settlementDays_, Days);
 
    for (auto d : schedule.dates())
        valuationDates_.insert(schedule.calendar().adjust(d, schedule.businessDayConvention()));
 
    Position::Type position = parsePositionType(longShort_);
 
    // Create QuantExt Cliquet Option
    QuantLib::ext::shared_ptr<Instrument> cliquet = QuantLib::ext::make_shared<QuantExt::CliquetOption>(
        payoff, exerciseDate, valuationDates_, paymentDate, cliquetNotional_, position, localCap_, localFloor_,
        globalCap_, globalFloor_, premium_, parseDate(premiumPayDate_), premiumCcy_);
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<CliquetOptionEngineBuilder> cliquetOptionBuilder =
        QuantLib::ext::dynamic_pointer_cast<CliquetOptionEngineBuilder>(builder);
 
    cliquet->setPricingEngine(cliquetOptionBuilder->engine(name(), ccy));
    setSensitivityTemplate(*cliquetOptionBuilder);
 
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(new VanillaInstrument(cliquet));
 
    npvCurrency_ = currency_;
    maturity_ = expiryDate;
    notional_ = cliquetNotional_;
    notionalCurrency_ = currency_;
 
    // add required fixings (all valuation dates)
    for (auto const& d : valuationDates_) {
        requiredFixings_.addFixingDate(d, "EQ-" + name(), paymentDate);
    }
 
    additionalData_["notional"] = cliquetNotional_;
}

Here is the call graph for this function:

◆ name()

const std::string & name ( ) const

Definition at line 62 of file cliquetoption.hpp.

62{ return underlying_->name(); }

◆ underlying()

const QuantLib::ext::shared_ptr< ore::data::Underlying > & underlying ( ) const

Definition at line 63 of file cliquetoption.hpp.

63{ return underlying_; }

◆ currency()

const std::string & currency ( ) const

Definition at line 64 of file cliquetoption.hpp.

64{ return currency_; }

◆ longShort()

const std::string & longShort ( ) const

Definition at line 65 of file cliquetoption.hpp.

65{ return longShort_; }

◆ callPut()

const std::string & callPut ( ) const

Definition at line 66 of file cliquetoption.hpp.

66{ return callPut_; }

◆ scheduleData()

const ore::data::ScheduleData & scheduleData ( ) const

Definition at line 67 of file cliquetoption.hpp.

67{ return scheduleData_; }