CreditDefaultSwap Class Reference

#include <ored/portfolio/creditdefaultswap.hpp>

Inheritance diagram for CreditDefaultSwap:

Collaboration diagram for CreditDefaultSwap:

Public Member Functions
	CreditDefaultSwap ()
	Default constructor. More...
	CreditDefaultSwap (const Envelope &env, const CreditDefaultSwapData &swap)
virtual 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...
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
const CreditDefaultSwapData &	swap () const
const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built 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...
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
CreditDefaultSwapData	swap_

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 36 of file creditdefaultswap.hpp.

Constructor & Destructor Documentation

CreditDefaultSwap() [1/2]

CreditDefaultSwap

(

)

Default constructor.

Definition at line 39 of file creditdefaultswap.hpp.

: Trade("CreditDefaultSwap") {}

CreditDefaultSwap() [2/2]

CreditDefaultSwap	(	const Envelope &	env,
		const CreditDefaultSwapData &	swap
	)

Definition at line 42 of file creditdefaultswap.hpp.

        : Trade("CreditDefaultSwap", env), swap_(swap) {}

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 34 of file creditdefaultswap.cpp.

                                                                                       {
    DLOG("CreditDefaultSwap::build() called for trade " << id());
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Credit");
    additionalData_["isdaBaseProduct"] = string("Single Name");
    // set isdaSubProduct to entityType in credit reference data
    additionalData_["isdaSubProduct"] = string("");
    string entity = swap_.referenceInformation() ? swap_.referenceInformation()->id() : swap_.creditCurveId();
    QuantLib::ext::shared_ptr<ReferenceDataManager> refData = engineFactory->referenceData();
    if (refData && refData->hasData("Credit", entity)) {
        auto refDatum = refData->getData("Credit", entity);
        QuantLib::ext::shared_ptr<CreditReferenceDatum> creditRefDatum =
            QuantLib::ext::dynamic_pointer_cast<CreditReferenceDatum>(refDatum);
        additionalData_["isdaSubProduct"] = creditRefDatum->creditData().entityType;
        if (creditRefDatum->creditData().entityType == "") {
            ALOG("EntityType is blank in credit reference data for entity " << entity);
        }
    } else {
        ALOG("Credit reference data missing for entity " << entity << ", isdaSubProduct left blank");
    }
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");  
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("CreditDefaultSwap");
 
    auto legData = swap_.leg(); // copy
    const auto& notionals = swap_.leg().notionals();
 
    npvCurrency_ = legData.currency();
    notionalCurrency_ = legData.currency();
 
    QL_REQUIRE(legData.legType() == "Fixed", "CreditDefaultSwap requires Fixed leg");
    Schedule schedule = makeSchedule(legData.schedule());
    QL_REQUIRE(schedule.size() > 1, "CreditDefaultSwap requires at least two dates in the schedule");
 
    BusinessDayConvention payConvention = Following;
    if (!legData.paymentConvention().empty()) {
        payConvention = parseBusinessDayConvention(legData.paymentConvention());
    }
 
    Protection::Side prot = legData.isPayer() ? Protection::Side::Buyer : Protection::Side::Seller;
    notional_ = notionals.front();
 
    DayCounter dc = Actual360();
    if (!legData.dayCounter().empty()) {
        dc = parseDayCounter(legData.dayCounter());
    }
 
    // In general for CDS and CDS index trades, the standard day counter is Actual/360 and the final
    // period coupon accrual includes the maturity date.
    DayCounter lastPeriodDayCounter;
    auto strLpdc = legData.lastPeriodDayCounter();
    if (!strLpdc.empty()) {
        lastPeriodDayCounter = parseDayCounter(strLpdc);
    } else {
        Actual360 standardDayCounter;
        if (dc == standardDayCounter) {
            lastPeriodDayCounter = dc == standardDayCounter ? Actual360(true) : dc;
            legData.lastPeriodDayCounter() = "A360 (Incl Last)";
        } else {
            lastPeriodDayCounter = dc;
        }
    }
 
    // Build the coupon leg
    auto legBuilder = engineFactory->legBuilder(legData.legType());
    auto couponLeg =
        legBuilder->buildLeg(legData, engineFactory, requiredFixings_, builder->configuration(MarketContext::pricing));
    // for the accrual rebate calculation we may need historical coupons that are already paid
    requiredFixings_.unsetPayDates();
 
    /* If we have an indexed leg we don't allow for an upfront fee, since we would need to index that
       as well, btu the ql instrument / engine cdoes not support this currently */
    QL_REQUIRE(legData.indexing().empty() || swap_.upfrontFee() == Null<Real>(),
               "CreditDefaultSwap with indexed coupon leg does not allow for an upfront fee");
 
    /* The rate is really only used to compute the fair spread in the add results and we support that only
       for fixed coupons with a sinlge rate, otherwise we set this rate to zero */
    Real fixedRate = 0.0;
    if (auto fixedData = QuantLib::ext::dynamic_pointer_cast<FixedLegData>(legData.concreteLegData())) {
        if (fixedData->rates().size() == 1)
            fixedRate = fixedData->rates().front();
    }
 
    QuantLib::ext::shared_ptr<QuantLib::CreditDefaultSwap> cds;
 
    if (swap_.upfrontFee() == Null<Real>()) {
        cds = QuantLib::ext::make_shared<QuantLib::CreditDefaultSwap>(
            prot, notional_, couponLeg, fixedRate, schedule, payConvention, dc, swap_.settlesAccrual(),
            swap_.protectionPaymentTime(), swap_.protectionStart(), QuantLib::ext::shared_ptr<Claim>(), lastPeriodDayCounter,
            swap_.rebatesAccrual(), swap_.tradeDate(), swap_.cashSettlementDays());
    } else {
        cds = QuantLib::ext::make_shared<QuantLib::CreditDefaultSwap>(
            prot, notional_, couponLeg, swap_.upfrontFee(), fixedRate, schedule, payConvention, dc,
            swap_.settlesAccrual(), swap_.protectionPaymentTime(), swap_.protectionStart(), swap_.upfrontDate(),
            QuantLib::ext::shared_ptr<Claim>(), lastPeriodDayCounter, swap_.rebatesAccrual(), swap_.tradeDate(),
            swap_.cashSettlementDays());
    }
 
    maturity_ = cds->coupons().back()->date();
 
    QuantLib::ext::shared_ptr<CreditDefaultSwapEngineBuilder> cdsBuilder =
        QuantLib::ext::dynamic_pointer_cast<CreditDefaultSwapEngineBuilder>(builder);
 
    QL_REQUIRE(cdsBuilder, "No Builder found for CreditDefaultSwap: " << id());
    cds->setPricingEngine(cdsBuilder->engine(parseCurrency(npvCurrency_), swap_.creditCurveId(), swap_.recoveryRate()));
    setSensitivityTemplate(*cdsBuilder);
 
    instrument_.reset(new VanillaInstrument(cds));
 
    legs_ = {cds->coupons()};
    legCurrencies_ = {npvCurrency_};
    legPayers_ = {legData.isPayer()};
 
    if (swap_.protectionStart() != Date())
        additionalData_["startDate"] = to_string(swap_.protectionStart());
    else
        additionalData_["startDate"] = to_string(schedule.dates().front());
 
    issuer_ = swap_.issuerId();
}

Here is the call graph for this function:

notional()

QuantLib::Real notional ( ) const

overridevirtual

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

Reimplemented from Trade.

Definition at line 175 of file creditdefaultswap.cpp.

                                               {
    Date asof = Settings::instance().evaluationDate();
    // get the current notional from CDS premium leg
    if (!legs_.empty()) {
        for (Size i = 0; i < legs_[0].size(); ++i) {
            QuantLib::ext::shared_ptr<Coupon> coupon = boost::dynamic_pointer_cast<Coupon>(legs_[0][i]);
            if (coupon->date() > asof)
                return coupon->nominal();
        }
    }
    // if no coupons are given, return the initial notional by default
    return notional_;
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 189 of file creditdefaultswap.cpp.

                                             {
    Trade::fromXML(node);
    XMLNode* cdsNode = XMLUtils::getChildNode(node, "CreditDefaultSwapData");
    QL_REQUIRE(cdsNode, "No CreditDefaultSwapData Node");
    swap_.fromXML(cdsNode);
}

Here is the call graph for this function:

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 196 of file creditdefaultswap.cpp.

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

Here is the call graph for this function:

swap()

const CreditDefaultSwapData & swap

(

)

const

Definition at line 51 of file creditdefaultswap.hpp.

{ return swap_; }

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 158 of file creditdefaultswap.cpp.

                                                                           {
    setLegBasedAdditionalData(0, 2);
    additionalData_["legNPV[1]"] = instrument_->qlInstrument()->result<Real>("protectionLegNPV");
    additionalData_["legNPV[2]"] = instrument_->qlInstrument()->result<Real>("premiumLegNPVDirty") +
                                   instrument_->qlInstrument()->result<Real>("upfrontPremiumNPV") +
                                   instrument_->qlInstrument()->result<Real>("accrualRebateNPV");
    additionalData_["isPayer[1]"] = !swap_.leg().isPayer();
    additionalData_["isPayer[2]"] = swap_.leg().isPayer();
    additionalData_["legType[2]"] = swap_.leg().legType();
    additionalData_["legType[1]"] = std::string("Protection");
    additionalData_["currentNotional[1]"] = additionalData_["currentNotional[2]"];
    additionalData_["originalNotional[1]"] = additionalData_["originalNotional[2]"];
    additionalData_["notionalCurrency[1]"] = notionalCurrency_;
    additionalData_["notionalCurrency[2]"] = notionalCurrency_;
    return additionalData_;
}

Here is the call graph for this function:

Member Data Documentation

swap_

CreditDefaultSwapData swap_

private

Definition at line 56 of file creditdefaultswap.hpp.