CommoditySpreadOption Class Reference

#include <ored/portfolio/commodityspreadoption.hpp>

Inheritance diagram for CommoditySpreadOption:

Collaboration diagram for CommoditySpreadOption:

Public Member Functions
	CommoditySpreadOption ()
	CommoditySpreadOption (const CommoditySpreadOptionData &data)
void	build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory) override
	Implement the build method. More...
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
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...

Inspectors
CommoditySpreadOptionData	csoData_
std::vector< std::string >	fxIndex_
std::vector< std::string > const &	fxIndex () const
const ore::data::OptionData &	option () const
QuantLib::Real	strike () const
std::map< ore::data::AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Commodity names. 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

Definition at line 73 of file commodityspreadoption.hpp.

Constructor & Destructor Documentation

CommoditySpreadOption() [1/2]

CommoditySpreadOption

(

)

Definition at line 75 of file commodityspreadoption.hpp.

: ore::data::Trade("CommoditySpreadOption") {}

CommoditySpreadOption() [2/2]

CommoditySpreadOption

(

const CommoditySpreadOptionData &

data

)

Definition at line 76 of file commodityspreadoption.hpp.

        : ore::data::Trade("CommoditySpreadOption"), csoData_(data) {}

Member Function Documentation

build()

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

override

Implement the build method.

Definition at line 124 of file commodityspreadoption.cpp.

                                                                                                  {
 
    DLOG("CommoditySpreadOption::build() called for trade " << id());
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = std::string("Commodity");
    additionalData_["isdaBaseProduct"] = std::string("Other");
    additionalData_["isdaSubProduct"] = std::string("");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = std::string("");
 
    reset();
    auto legData_ = csoData_.legData();
    auto optionData_ = csoData_.optionData();
    auto strike_ = csoData_.strike();
 
    QL_REQUIRE(legData_.size() == 2, "Only two legs supported");
    QL_REQUIRE(legData_[0].currency() == legData_[1].currency(), "Both legs must have same currency");
    QL_REQUIRE(legData_[0].isPayer() != legData_[1].isPayer(), "Need one payer and one receiver leg");
 
    if (!optionData_.style().empty()) {
        QuantLib::Exercise::Type exerciseType = parseExerciseType(optionData_.style());
        QL_REQUIRE(exerciseType == QuantLib::Exercise::Type::European, "Only European spread option supported");
    }
 
    maturity_ = Date();
    npvCurrency_ = legData_[0].currency();
    Size payerLegId = legData_[0].isPayer() ? 0 : 1;
 
    // build the relevant fxIndexes;
    std::vector<QuantLib::ext::shared_ptr<QuantExt::FxIndex>> fxIndexes(2, nullptr);
    Currency ccy = parseCurrency(npvCurrency_);
    Option::Type optionType = parseOptionType(optionData_.callPut());
 
    // init engine factory builder
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    auto engineBuilder = QuantLib::ext::dynamic_pointer_cast<CommoditySpreadOptionEngineBuilder>(builder);
    // get config
    auto config = builder->configuration(MarketContext::pricing);
 
    // set exercise date to the pricing date of the coupon
    QL_REQUIRE(optionData_.exerciseDates().size() == 0,
               "Only European spread option supported, expiry date is end_date of the period");
 
    // Build the commodity legs
 
    for (Size i = 0; i < legData_.size();
         ++i) { // The order is important, the first leg is always the long position, the second is the short;
        legPayers_.push_back(legData_[i].isPayer());
 
        // build legs
 
        auto commLegData = (QuantLib::ext::dynamic_pointer_cast<CommodityFloatingLegData>(legData_[i].concreteLegData()));
        QL_REQUIRE(commLegData, "CommoditySpreadOption leg data should be of type CommodityFloating");
 
        auto legBuilder = engineFactory->legBuilder(legData_[i].legType());
        auto cflb = QuantLib::ext::dynamic_pointer_cast<CommodityFloatingLegBuilder>(legBuilder);
 
        QL_REQUIRE(cflb, "CommoditySpreadOption: Expected a CommodityFloatingLegBuilder for leg "
                             << i << " but got " << legData_[i].legType());
        Leg leg = cflb->buildLeg(legData_[i], engineFactory, requiredFixings_, config);
 
        // setup the cf indexes
        QL_REQUIRE(!leg.empty(), "CommoditySpreadOption: Leg " << i << " has no coupons");
        auto index = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityCashFlow>(leg.front())->index();
 
        // check ccy consistency
        auto underlyingCcy = index->priceCurve()->currency();
        auto tmpFx = commLegData->fxIndex();
        if (tmpFx.empty()) {
            QL_REQUIRE(underlyingCcy.code() == npvCurrency_,
                       "CommoditySpreadOption, inconsistent currencies: Settlement currency is "
                           << npvCurrency_ << ", leg " << i + 1 << " currency " << legData_[i].currency()
                           << ", underlying currency " << underlyingCcy << ", no FxIndex provided");
        } else {
            QL_REQUIRE(underlyingCcy.code() != npvCurrency_,
                       "CommoditySpreadOption, inconsistent currencies: Settlement currency is "
                           << npvCurrency_ << ", leg " << i + 1 << " currency " << legData_[i].currency()
                           << ", underlying currency " << underlyingCcy << ", FxIndex " << tmpFx << "provided");
            auto domestic = npvCurrency_;
            auto foreign = underlyingCcy.code();
            fxIndexes[i] = buildFxIndex(tmpFx, domestic, foreign, engineFactory->market(),
                                        engineFactory->configuration(MarketContext::pricing));
            // update required fixings. This is handled automatically in the leg builder in the averaging case
            if (commLegData->isAveraged()) {
                for (auto cf : leg) {
                    auto fixingDate = cf->date();
                    if (!fxIndexes[i]->fixingCalendar().isBusinessDay(
                            fixingDate)) { // If fx index is not available for the cashflow pricing day,
                        // this ensures to require the previous valid one which will be used in pricing
                        // from fxIndex()->fixing(...)
                        Date adjustedFixingDate = fxIndexes[i]->fixingCalendar().adjust(fixingDate, Preceding);
                        requiredFixings_.addFixingDate(adjustedFixingDate, tmpFx);
                    } else {
                        requiredFixings_.addFixingDate(fixingDate, tmpFx);
                    }
                }
            }
        }
        legs_.push_back(leg);
        legCurrencies_.push_back(legData_[i].currency()); // all legs and cf are priced with the same ccy
    }
 
    QL_REQUIRE(legs_[0].size() == legs_[1].size(),
               "CommoditySpreadOption: the two legs must contain the same number of options.");
 
    QL_REQUIRE(legs_[0].size() > 0, "CommoditySpreadOption: need at least one option, please check the trade xml");
 
    Position::Type positionType = parsePositionType(optionData_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
 
    QuantLib::ext::shared_ptr<QuantLib::Instrument> firstInstrument;
    double firstMultiplier = 0.0;
    vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    vector<Real> additionalMultipliers;
 
    vector<Date> expiryDates;
    for (size_t i = 0; i < legs_[0].size(); ++i) {
        auto longFlow = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityCashFlow>(legs_[1 - payerLegId][i]);
        auto shortFlow = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityCashFlow>(legs_[payerLegId][i]);
        expiryDates.push_back(std::max(longFlow->lastPricingDate(), shortFlow->lastPricingDate()));
    }
 
    auto paymentDateAdjuster = makeOptionPaymentDateAdjuster(csoData_, expiryDates);
 
    for (size_t i = 0; i < legs_[0].size(); ++i) {
        auto longFlow = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityCashFlow>(legs_[1 - payerLegId][i]);
        auto shortFlow = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityCashFlow>(legs_[payerLegId][i]);
 
        QuantLib::Real quantity = longFlow->periodQuantity();
 
        QL_REQUIRE(quantity == shortFlow->periodQuantity(), "all cashflows must refer to the same quantity");
 
        QuantLib::Date expiryDate = expiryDates[i];
 
        QuantLib::Date paymentDate = longFlow->date();
 
        QL_REQUIRE(paymentDate == shortFlow->date(),
                   "all cashflows must refer to the same paymentDate, its used as the settlementDate of the option");
 
        paymentDateAdjuster->updatePaymentDate(expiryDate, paymentDate);
 
        QL_REQUIRE(paymentDate >= expiryDate, "Payment date must be greater than or equal to expiry date.");
 
        QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
 
        // maturity gets overwritten every time, and it is ok. If the last option is settled with delay, maturity is set
        // to the settlement date.
        maturity_ = maturity_ == Date() ? paymentDate : std::max(maturity_, paymentDate);
 
        // build the instrument for the i-th cfs
        QuantLib::ext::shared_ptr<QuantExt::CommoditySpreadOption> spreadOption =
            QuantLib::ext::make_shared<QuantExt::CommoditySpreadOption>(longFlow, shortFlow, exercise, quantity, strike_,
                                                                optionType, paymentDate, fxIndexes[1 - payerLegId],
                                                                fxIndexes[1 - payerLegId]);
 
        // build and assign the engine
        QuantLib::ext::shared_ptr<PricingEngine> commoditySpreadOptionEngine =
            engineBuilder->engine(ccy, longFlow->index(), shortFlow->index(), id());
        spreadOption->setPricingEngine(commoditySpreadOptionEngine);
        setSensitivityTemplate(*engineBuilder);
        if (i > 0) {
            additionalInstruments.push_back(spreadOption);
            additionalMultipliers.push_back(bsInd);
        } else {
            firstInstrument = spreadOption;
            firstMultiplier = bsInd;
        }
    }
 
    // Add premium
    auto configuration = engineBuilder->configuration(MarketContext::pricing);
    maturity_ = std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, firstMultiplier,
                                                optionData_.premiumData(), -bsInd, ccy, engineFactory, configuration));
 
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(firstInstrument, firstMultiplier, additionalInstruments,
                                                        additionalMultipliers);
    if (!optionData_.premiumData().premiumData().empty()) {
        auto premium = optionData_.premiumData().premiumData().front();
        additionalData_["premiumAmount"] = -bsInd * premium.amount;
        additionalData_["premiumPaymentDate"] = premium.payDate;
        additionalData_["premiumCurrency"] = premium.ccy;
    }
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 327 of file commodityspreadoption.cpp.

                                                 {
    Trade::fromXML(node);
    XMLNode* csoNode = XMLUtils::getChildNode(node, "CommoditySpreadOptionData");
    csoData_.fromXML(csoNode);
}

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 332 of file commodityspreadoption.cpp.

                                                            {
    XMLNode* node = Trade::toXML(doc);
    auto csoNode = csoData_.toXML(doc);
    XMLUtils::appendNode(node, csoNode);
    return node;
}

fxIndex()

std::vector< std::string > const & fxIndex

(

)

const

Definition at line 90 of file commodityspreadoption.hpp.

{ return fxIndex_; }

option()

const ore::data::OptionData & option

(

)

const

Definition at line 91 of file commodityspreadoption.hpp.

{ return csoData_.optionData(); }

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strike()

QuantLib::Real strike

(

)

const

Definition at line 92 of file commodityspreadoption.hpp.

{ return csoData_.strike(); }

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underlyingIndices()

std::map< ore::data::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 310 of file commodityspreadoption.cpp.

                                                                                                                      {
    std::map<ore::data::AssetClass, std::set<std::string>> result;
    auto legData = csoData_.legData();
    for (const auto& leg : legData) {
        set<string> indices = leg.indices();
        for (auto ind : indices) {
            QuantLib::ext::shared_ptr<Index> index = parseIndex(ind);
            // only handle commodity
            if (auto ci = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityIndex>(index)) {
                result[ore::data::AssetClass::COM].insert(ci->name());
            }
        }
    }
    return result;
}

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Member Data Documentation

csoData_

CommoditySpreadOptionData csoData_

private

Definition at line 101 of file commodityspreadoption.hpp.

fxIndex_

std::vector<std::string> fxIndex_

private

Definition at line 102 of file commodityspreadoption.hpp.