CommodityForward Class Reference

#include <ored/portfolio/commodityforward.hpp>

Inheritance diagram for CommodityForward:

Collaboration diagram for CommodityForward:

Public Member Functions
Constructors
	CommodityForward ()
	Default constructor. More...
	CommodityForward (const Envelope &envelope, const std::string &position, const std::string &commodityName, const std::string &currency, QuantLib::Real quantity, const std::string &maturityDate, QuantLib::Real strike)
	Detailed constructor with explicit future expiry date. More...
	CommodityForward (const Envelope &envelope, const std::string &position, const std::string &commodityName, const std::string &currency, QuantLib::Real quantity, const std::string &maturityDate, QuantLib::Real strike, const QuantLib::Date &futureExpiryDate, const boost::optional< bool > &physicallySettled=true, const Date &paymentDate=Date())
	Detailed constructor with explicit future expiry date. More...
	CommodityForward (const Envelope &envelope, const std::string &position, const std::string &commodityName, const std::string &currency, QuantLib::Real quantity, const std::string &maturityDate, QuantLib::Real strike, const QuantLib::Period &futureExpiryOffset, const QuantLib::Calendar &offsetCalendar, const boost::optional< bool > &physicallySettled=true, const Date &paymentDate=Date())
	Detailed constructor with explicit future expiry offset and calendar. More...
Inspectors
std::string	position ()
std::string	commodityName ()
std::string	currency ()
QuantLib::Real	quantity ()
std::string	maturityDate ()
QuantLib::Real	strike ()
const boost::optional< bool > &	isFuturePrice () const
const QuantLib::Date &	futureExpiryDate () const
const QuantLib::Period &	futureExpiryOffset () const
const QuantLib::Calendar &	offsetCalendar () const
const boost::optional< bool > &	physicallySettled () const
const QuantLib::Date &	paymentDate () const
Trade interface
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::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Commodity names. More...
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 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
std::string	position_
std::string	commodityName_
std::string	currency_
QuantLib::Real	quantity_
std::string	maturityDate_
QuantLib::Real	strike_
boost::optional< bool >	isFuturePrice_
QuantLib::Date	futureExpiryDate_
QuantLib::Period	futureExpiryOffset_
	Future expiry offset and calendar. More...
QuantLib::Calendar	offsetCalendar_
boost::optional< bool >	physicallySettled_
QuantLib::Date	paymentDate_
QuantLib::Date	fixingDate_
	NDF currency, index and fixing date. More...
std::string	fxIndex_
std::string	payCcy_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (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 Commodity forward contract

Definition at line 34 of file commodityforward.hpp.

Constructor & Destructor Documentation

CommodityForward() [1/4]

CommodityForward

(

)

Default constructor.

Definition at line 39 of file commodityforward.cpp.

: Trade("CommodityForward"), quantity_(0.0), strike_(0.0) {}

CommodityForward() [2/4]

CommodityForward	(	const Envelope &	envelope,
		const std::string &	position,
		const std::string &	commodityName,
		const std::string &	currency,
		QuantLib::Real	quantity,
		const std::string &	maturityDate,
		QuantLib::Real	strike
	)

Detailed constructor with explicit future expiry date.

CommodityForward() [3/4]

CommodityForward	(	const Envelope &	envelope,
		const std::string &	position,
		const std::string &	commodityName,
		const std::string &	currency,
		QuantLib::Real	quantity,
		const std::string &	maturityDate,
		QuantLib::Real	strike,
		const QuantLib::Date &	futureExpiryDate,
		const boost::optional< bool > &	physicallySettled = true,
		const Date &	paymentDate = Date()
	)

Detailed constructor with explicit future expiry date.

CommodityForward() [4/4]

CommodityForward	(	const Envelope &	envelope,
		const std::string &	position,
		const std::string &	commodityName,
		const std::string &	currency,
		QuantLib::Real	quantity,
		const std::string &	maturityDate,
		QuantLib::Real	strike,
		const QuantLib::Period &	futureExpiryOffset,
		const QuantLib::Calendar &	offsetCalendar,
		const boost::optional< bool > &	physicallySettled = true,
		const Date &	paymentDate = Date()
	)

Detailed constructor with explicit future expiry offset and calendar.

Member Function Documentation

position()

std::string position

(

)

Definition at line 64 of file commodityforward.hpp.

{ return position_; }

commodityName()

std::string commodityName

(

)

Definition at line 65 of file commodityforward.hpp.

{ return commodityName_; }

currency()

std::string currency

(

)

Definition at line 66 of file commodityforward.hpp.

{ return currency_; }

quantity()

QuantLib::Real quantity

(

)

Definition at line 67 of file commodityforward.hpp.

{ return quantity_; }

maturityDate()

std::string maturityDate

(

)

Definition at line 68 of file commodityforward.hpp.

{ return maturityDate_; }

strike()

QuantLib::Real strike

(

)

Definition at line 69 of file commodityforward.hpp.

{ return strike_; }

isFuturePrice()

const boost::optional< bool > & isFuturePrice

(

)

const

Definition at line 70 of file commodityforward.hpp.

{ return isFuturePrice_; }

futureExpiryDate()

const QuantLib::Date & futureExpiryDate

(

)

const

Definition at line 71 of file commodityforward.hpp.

{ return futureExpiryDate_; }

futureExpiryOffset()

const QuantLib::Period & futureExpiryOffset

(

)

const

Definition at line 72 of file commodityforward.hpp.

{ return futureExpiryOffset_; }

offsetCalendar()

const QuantLib::Calendar & offsetCalendar

(

)

const

Definition at line 73 of file commodityforward.hpp.

{ return offsetCalendar_; }

physicallySettled()

const boost::optional< bool > & physicallySettled

(

)

const

Definition at line 74 of file commodityforward.hpp.

{ return physicallySettled_; }

paymentDate()

const QuantLib::Date & paymentDate

(

)

const

Definition at line 75 of file commodityforward.hpp.

{ return paymentDate_; }

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 67 of file commodityforward.cpp.

                                                                                      {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Commodity");
    additionalData_["isdaBaseProduct"] = string("Forward");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");  
 
    // Create the underlying commodity index for the forward
    const QuantLib::ext::shared_ptr<Market>& market = engineFactory->market();
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex = nullptr;
 
    npvCurrency_ = fixingDate_ == Date() ? currency_ : payCcy_;
 
    // notional_ = strike_ * quantity_;
    notional_ = strike_ * quantity_;
    notionalCurrency_ = currency_;
 
    additionalData_["quantity"] = quantity_;
    additionalData_["strike"] = strike_;
    additionalData_["strikeCurrency"] = currency_;
    if (fixingDate_ != Date()) {
        additionalData_["settlementCurrency"] = payCcy_;
        additionalData_["fixingDate"] = fixingDate_;
        additionalData_["fxIndex"] = fxIndex;
    }
 
    maturity_ = parseDate(maturityDate_);
    auto index = *market->commodityIndex(commodityName_, engineFactory->configuration(MarketContext::pricing));
    bool isFutureAccordingToConventions = InstrumentConventions::instance().conventions()->has(commodityName_, Convention::Type::CommodityFuture);
 
    // adjust the maturity date if not a valid fixing date for the index
    maturity_ = index->fixingCalendar().adjust(maturity_, Preceding);
 
    if ((isFuturePrice_ && *isFuturePrice_) || isFutureAccordingToConventions) {
 
        // Get the commodity index from the market.
        index = *market->commodityIndex(commodityName_, engineFactory->configuration(MarketContext::pricing));
 
        // May have been given an explicit future expiry date or an offset and calendar or neither.
        Date expiryDate = maturity_;
        if (futureExpiryDate_ != Date()) {
            expiryDate = futureExpiryDate_;
        } else if (futureExpiryOffset_ != Period()) {
            Calendar cal = offsetCalendar_.empty() ? NullCalendar() : offsetCalendar_;
            expiryDate = cal.advance(maturity_, futureExpiryOffset_);
        }
 
        // Clone the index with the relevant expiry date.
        index = index->clone(expiryDate);
    }
        
    Date paymentDate = paymentDate_;
    bool physicallySettled = true;
    if (physicallySettled_ && !(*physicallySettled_)) {
        // If cash settled and given a payment date that is not greater than the maturity date, set it equal to the
        // maturity date and log a warning to continue processing.
        physicallySettled = false;
        if (paymentDate_ != Date() && paymentDate_ < maturity_) {
            WLOG("Commodity forward " << id() << " has payment date (" << io::iso_date(paymentDate_) <<
                ") before the maturity date (" << io::iso_date(maturity_) << "). Setting payment date" <<
                " equal to the maturity date.");
            paymentDate = maturity_;
        }
    } else {
        // If physically settled and given a payment date, log a warning that it is ignored.
        if (paymentDate_ != Date()) {
            WLOG("Commodity forward " << id() << " supplies a payment date (" << io::iso_date(paymentDate_) <<
                ") but is physically settled. The payment date is ignored.");
            paymentDate = Date();
        }
    }
 
    // add required commodity fixing
    DLOG("commodity forward " << id() << " paymentDate is " << paymentDate);
    requiredFixings_.addFixingDate(maturity_, index->name(),
                                   paymentDate == Date() ? maturity_ : paymentDate);
 
    // Create the commodity forward instrument
    Currency currency = parseCurrency(currency_);
    Position::Type position = parsePositionType(position_);
    auto payCcy = Currency();
    if(!fxIndex_.empty()){
        payCcy = parseCurrency(payCcy_);
        requiredFixings_.addFixingDate( fixingDate_, fxIndex_, paymentDate);
        fxIndex = buildFxIndex(fxIndex_, currency.code(), payCcy.code(), engineFactory->market(),
                               engineFactory->configuration(MarketContext::pricing));
        npvCurrency_ = payCcy_;
    }
    QuantLib::ext::shared_ptr<Instrument> commodityForward = QuantLib::ext::make_shared<QuantExt::CommodityForward>(
        index, currency, position, quantity_, maturity_, strike_, physicallySettled, paymentDate,
        payCcy, fixingDate_, fxIndex);
 
    // Pricing engine
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<CommodityForwardEngineBuilder> commodityForwardEngineBuilder =
        QuantLib::ext::dynamic_pointer_cast<CommodityForwardEngineBuilder>(builder);
    commodityForward->setPricingEngine(commodityForwardEngineBuilder->engine(currency)); // the engine accounts for NDF if settlement data are present
    setSensitivityTemplate(*commodityForwardEngineBuilder);
 
    // set up other Trade details
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(commodityForward);
}

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notional()

Real notional ( ) const

overridevirtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

Definition at line 173 of file commodityforward.cpp.

{ return notional_; }

underlyingIndices()

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

overridevirtual

Add underlying Commodity names.

Reimplemented from Trade.

Definition at line 176 of file commodityforward.cpp.

                                                                                                                 {
    return {{AssetClass::COM, std::set<std::string>({commodityName_})}};
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 180 of file commodityforward.cpp.

                                            {
 
    Trade::fromXML(node);
    XMLNode* commodityDataNode = XMLUtils::getChildNode(node, "CommodityForwardData");
 
    position_ = XMLUtils::getChildValue(commodityDataNode, "Position", true);
    commodityName_ = XMLUtils::getChildValue(commodityDataNode, "Name", true);
    currency_ = XMLUtils::getChildValue(commodityDataNode, "Currency", true);
    quantity_ = XMLUtils::getChildValueAsDouble(commodityDataNode, "Quantity", true);
    maturityDate_ = XMLUtils::getChildValue(commodityDataNode, "Maturity", true);
    strike_ = XMLUtils::getChildValueAsDouble(commodityDataNode, "Strike", true);
 
    isFuturePrice_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(commodityDataNode, "IsFuturePrice"))
        isFuturePrice_ = parseBool(XMLUtils::getNodeValue(n));
 
    futureExpiryDate_ = Date();
    if (XMLNode* n = XMLUtils::getChildNode(commodityDataNode, "FutureExpiryDate"))
        futureExpiryDate_ = parseDate(XMLUtils::getNodeValue(n));
 
    // If not given an explicit future expiry date, check for offset and calendar.
    if (futureExpiryDate_ == Date()) {
        futureExpiryOffset_ = Period();
        if (XMLNode* n = XMLUtils::getChildNode(commodityDataNode, "FutureExpiryOffset"))
            futureExpiryOffset_ = parsePeriod(XMLUtils::getNodeValue(n));
 
        offsetCalendar_ = Calendar();
        if (XMLNode* n = XMLUtils::getChildNode(commodityDataNode, "FutureExpiryOffsetCalendar"))
            offsetCalendar_ = parseCalendar(XMLUtils::getNodeValue(n));
    }
 
    physicallySettled_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(commodityDataNode, "PhysicallySettled"))
        physicallySettled_ = parseBool(XMLUtils::getNodeValue(n));
 
    paymentDate_ = Date();
    if (XMLNode* n = XMLUtils::getChildNode(commodityDataNode, "PaymentDate"))
        paymentDate_ = parseDate(XMLUtils::getNodeValue(n));
 
    if (XMLNode* settlementDataNode = XMLUtils::getChildNode(commodityDataNode, "SettlementData")) {
        // this node is used to provide data for NDF. This includes a fixing date, a settlement currency and the
        // quote/settlement fx index.
        payCcy_ = XMLUtils::getChildValue(settlementDataNode, "PayCurrency", true);
        fxIndex_ = XMLUtils::getChildValue(settlementDataNode, "FXIndex", true);
        fixingDate_ = parseDate(XMLUtils::getChildValue(settlementDataNode, "FixingDate", true));
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 228 of file commodityforward.cpp.

                                                       {
 
    XMLNode* node = Trade::toXML(doc);
    XMLNode* commodityDataNode = doc.allocNode("CommodityForwardData");
    XMLUtils::appendNode(node, commodityDataNode);
 
    XMLUtils::addChild(doc, commodityDataNode, "Position", position_);
    XMLUtils::addChild(doc, commodityDataNode, "Maturity", maturityDate_);
    XMLUtils::addChild(doc, commodityDataNode, "Name", commodityName_);
    XMLUtils::addChild(doc, commodityDataNode, "Currency", currency_);
    XMLUtils::addChild(doc, commodityDataNode, "Strike", strike_);
    XMLUtils::addChild(doc, commodityDataNode, "Quantity", quantity_);
 
    if (isFuturePrice_)
        XMLUtils::addChild(doc, commodityDataNode, "IsFuturePrice", *isFuturePrice_);
 
    if (futureExpiryDate_ != Date())
        XMLUtils::addChild(doc, commodityDataNode, "FutureExpiryDate", to_string(futureExpiryDate_));
 
    if (futureExpiryOffset_ != Period())
        XMLUtils::addChild(doc, commodityDataNode, "FutureExpiryOffset", to_string(futureExpiryOffset_));
 
    if (offsetCalendar_ != Calendar())
        XMLUtils::addChild(doc, commodityDataNode, "FutureExpiryOffsetCalendar", to_string(offsetCalendar_));
 
    if (physicallySettled_)
        XMLUtils::addChild(doc, commodityDataNode, "PhysicallySettled", *physicallySettled_);
 
    if (paymentDate_ != Date())
        XMLUtils::addChild(doc, commodityDataNode, "PaymentDate", to_string(paymentDate_));
 
    if(fixingDate_!=Date()){ //NDF
        XMLNode* settlementDataNode = doc.allocNode("SettlementData");
        XMLUtils::appendNode(commodityDataNode, settlementDataNode);
        XMLUtils::addChild(doc, settlementDataNode, "PayCurrency", payCcy_);
        XMLUtils::addChild(doc, settlementDataNode, "FXIndex", fxIndex_);
        XMLUtils::addChild(doc, settlementDataNode, "FixingDate", to_string(fixingDate_));
    }
 
    return node;
}

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Member Data Documentation

position_

std::string position_

private

Definition at line 95 of file commodityforward.hpp.

commodityName_

std::string commodityName_

private

Definition at line 96 of file commodityforward.hpp.

currency_

std::string currency_

private

Definition at line 97 of file commodityforward.hpp.

quantity_

QuantLib::Real quantity_

private

Definition at line 98 of file commodityforward.hpp.

maturityDate_

std::string maturityDate_

private

Definition at line 99 of file commodityforward.hpp.

strike_

QuantLib::Real strike_

private

Definition at line 100 of file commodityforward.hpp.

isFuturePrice_

boost::optional<bool> isFuturePrice_

private

Indicates if the forward underlying is a commodity future settlement price, true, or a spot price false. If not explicitly set, it is assumed to be false.

Definition at line 105 of file commodityforward.hpp.

futureExpiryDate_

QuantLib::Date futureExpiryDate_

private

An explicit expiry date for the underlying future contract. This can be used if the trade references a future contract settlement price and the forward's maturity date does not match the future contract expiry date.

Definition at line 111 of file commodityforward.hpp.

futureExpiryOffset_

QuantLib::Period futureExpiryOffset_

private

Future expiry offset and calendar.

Definition at line 114 of file commodityforward.hpp.

offsetCalendar_

QuantLib::Calendar offsetCalendar_

private

Definition at line 115 of file commodityforward.hpp.

physicallySettled_

boost::optional<bool> physicallySettled_

private

Definition at line 117 of file commodityforward.hpp.

paymentDate_

QuantLib::Date paymentDate_

private

Definition at line 118 of file commodityforward.hpp.

fixingDate_

QuantLib::Date fixingDate_

private

NDF currency, index and fixing date.

Definition at line 121 of file commodityforward.hpp.

fxIndex_

std::string fxIndex_

private

Definition at line 122 of file commodityforward.hpp.

payCcy_

std::string payCcy_

private

Definition at line 123 of file commodityforward.hpp.