#include <ored/portfolio/creditlinkedswap.hpp>

Inheritance diagram for CreditLinkedSwap:

Collaboration diagram for CreditLinkedSwap:

Public Member Functions
	CreditLinkedSwap ()

	CreditLinkedSwap (const std::string &creditCurveId, const bool settlesAccrual, const Real fixedRecoveryRate, const QuantExt::CreditDefaultSwap::ProtectionPaymentTime &defaultPaymentTime, const std::vector< LegData > &independentPayments, const std::vector< LegData > &contingentPayments, const std::vector< LegData > &defaultPayments, const std::vector< LegData > &recoveryPayments)

void	fromXML (XMLNode *node) override

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

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

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. 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...

Private Attributes
std::string	creditCurveId_

bool	settlesAccrual_

double	fixedRecoveryRate_

QuantExt::CreditDefaultSwap::ProtectionPaymentTime	defaultPaymentTime_

std::vector< LegData >	independentPayments_

std::vector< LegData >	contingentPayments_

std::vector< LegData >	defaultPayments_

std::vector< LegData >	recoveryPayments_

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 creditlinkedswap.hpp.

Constructor & Destructor Documentation

◆ CreditLinkedSwap() [1/2]

CreditLinkedSwap ( )

Definition at line 38 of file creditlinkedswap.hpp.

38: Trade("CreditLinkedSwap") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ CreditLinkedSwap() [2/2]

CreditLinkedSwap	(	const std::string &	creditCurveId,
		const bool	settlesAccrual,
		const Real	fixedRecoveryRate,
		const QuantExt::CreditDefaultSwap::ProtectionPaymentTime &	defaultPaymentTime,
		const std::vector< LegData > &	independentPayments,
		const std::vector< LegData > &	contingentPayments,
		const std::vector< LegData > &	defaultPayments,
		const std::vector< LegData > &	recoveryPayments
	)

Definition at line 39 of file creditlinkedswap.hpp.

        : Trade("CreditLinkedSwap"), creditCurveId_(creditCurveId), settlesAccrual_(settlesAccrual),
          fixedRecoveryRate_(fixedRecoveryRate), defaultPaymentTime_(defaultPaymentTime),
          independentPayments_(independentPayments), contingentPayments_(contingentPayments),
          defaultPayments_(defaultPayments), recoveryPayments_(recoveryPayments) {}

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 31 of file creditlinkedswap.cpp.

                                            {
    Trade::fromXML(node);
    XMLNode* n = XMLUtils::getChildNode(node, "CreditLinkedSwapData");
    creditCurveId_ = XMLUtils::getChildValue(n, "CreditCurveId");
    settlesAccrual_ = XMLUtils::getChildValueAsBool(n, "SettlesAccrual", false, true);
    fixedRecoveryRate_ = XMLUtils::getChildValueAsDouble(n, "FixedRecoveryRate", false, Null<Real>());
    defaultPaymentTime_ = QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault;
    if (auto c = XMLUtils::getChildNode(n, "DefaultPaymentTime")) {
        if (XMLUtils::getNodeValue(c) == "atDefault")
            defaultPaymentTime_ = QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault;
        else if (XMLUtils::getNodeValue(c) == "atPeriodEnd")
            defaultPaymentTime_ = QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atPeriodEnd;
        else if (XMLUtils::getNodeValue(c) == "atMaturity")
            defaultPaymentTime_ = QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atMaturity;
        else {
            QL_FAIL("default payment time '" << XMLUtils::getNodeValue(c)
                                             << "' not known, expected atDefault, atPeriodEnd, atMaturity");
        }
    }
    if (auto tmp = XMLUtils::getChildNode(n, "IndependentPayments")) {
        for (auto const& d : XMLUtils::getChildrenNodes(tmp, "LegData")) {
            independentPayments_.push_back(LegData());
            independentPayments_.back().fromXML(d);
        }
    }
    if (auto tmp = XMLUtils::getChildNode(n, "ContingentPayments")) {
        for (auto const& d : XMLUtils::getChildrenNodes(tmp, "LegData")) {
            contingentPayments_.push_back(LegData());
            contingentPayments_.back().fromXML(d);
        }
    }
    if (auto tmp = XMLUtils::getChildNode(n, "DefaultPayments")) {
        for (auto const& d : XMLUtils::getChildrenNodes(tmp, "LegData")) {
            defaultPayments_.push_back(LegData());
            defaultPayments_.back().fromXML(d);
        }
    }
    if (auto tmp = XMLUtils::getChildNode(n, "RecoveryPayments")) {
        for (auto const& d : XMLUtils::getChildrenNodes(tmp, "LegData")) {
            recoveryPayments_.push_back(LegData());
            recoveryPayments_.back().fromXML(d);
        }
    }
}

◆ toXML()

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

overridevirtual

Reimplemented from Trade.

Definition at line 76 of file creditlinkedswap.cpp.

                                                              {
    XMLNode* n = Trade::toXML(doc);
    XMLNode* d = doc.allocNode("CreditLinkedSwapData");
    XMLUtils::appendNode(n, d);
    XMLUtils::addChild(doc, d, "CreditCurveId", creditCurveId_);
    XMLUtils::addChild(doc, d, "SettlesAccrual", settlesAccrual_);
    XMLUtils::addChild(doc, d, "FixedRecoveryRate", fixedRecoveryRate_);
    if (defaultPaymentTime_ == QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault) {
        XMLUtils::addChild(doc, d, "DefaultPaymentTime", "atDefault");
    } else if (defaultPaymentTime_ == QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atPeriodEnd) {
        XMLUtils::addChild(doc, d, "DefaultPaymentTime", "atPeriodEnd");
    } else if (defaultPaymentTime_ == QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atMaturity) {
        XMLUtils::addChild(doc, d, "DefaultPaymentTime", "atMaturity");
    } else {
        QL_FAIL("toXML(): unexpected DefaultPaymentTime");
    }
    XMLNode* d1 = doc.allocNode("IndependentPayments");
    XMLUtils::appendNode(d, d1);
    for (auto& l : independentPayments_) {
        XMLUtils::appendNode(d1, l.toXML(doc));
    }
    XMLNode* d2 = doc.allocNode("ContingentPayments");
    XMLUtils::appendNode(d, d2);
    for (auto& l : contingentPayments_) {
        XMLUtils::appendNode(d2, l.toXML(doc));
    }
    XMLNode* d3 = doc.allocNode("DefaultPayments");
    XMLUtils::appendNode(d, d3);
    for (auto& l : defaultPayments_) {
        XMLUtils::appendNode(d3, l.toXML(doc));
    }
    XMLNode* d4 = doc.allocNode("RecoveryPayments");
    XMLUtils::appendNode(d, d4);
    for (auto& l : recoveryPayments_) {
        XMLUtils::appendNode(d4, l.toXML(doc));
    }
    return n;
}

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◆ 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 115 of file creditlinkedswap.cpp.

                                                                                      {
 
    DLOG("Building credit linked swap " << id());
 
    // ISDA taxonomy
 
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string("Exotic");
    additionalData_["isdaSubProduct"] = string("");  
    additionalData_["isdaTransaction"] = string("");  
 
    // checks, set npv currency (= single currency allowed in all legs)
 
    npvCurrency_.clear();
    for (auto const& l : independentPayments_) {
        QL_REQUIRE(npvCurrency_ == "" || l.currency() == npvCurrency_,
                   "CreditLinkedSwap: all leg currencies must be the same, found " << npvCurrency_ << " and "
                                                                                   << l.currency());
        npvCurrency_ = l.currency();
    }
 
    // get engine builder
 
    auto builder = QuantLib::ext::dynamic_pointer_cast<CreditLinkedSwapEngineBuilder>(engineFactory->builder(tradeType()));
    QL_REQUIRE(builder, "CreditLinkedSwap: wrong builder, expected CreditLinkedSwapEngineBuilder");
    auto configuration = builder->configuration(MarketContext::pricing);
 
    // build underlying legs
 
    std::vector<QuantExt::CreditLinkedSwap::LegType> legTypes;
    for (auto const& l : independentPayments_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        legs_.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        legPayers_.push_back(l.isPayer());
        legTypes.push_back(QuantExt::CreditLinkedSwap::LegType::IndependentPayments);
    }
    for (auto const& l : contingentPayments_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        legs_.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        legPayers_.push_back(l.isPayer());
        legTypes.push_back(QuantExt::CreditLinkedSwap::LegType::ContingentPayments);
    }
    for (auto const& l : defaultPayments_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        legs_.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        legPayers_.push_back(l.isPayer());
        legTypes.push_back(QuantExt::CreditLinkedSwap::LegType::DefaultPayments);
    }
    for (auto const& l : recoveryPayments_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        legs_.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        legPayers_.push_back(l.isPayer());
        legTypes.push_back(QuantExt::CreditLinkedSwap::LegType::RecoveryPayments);
    }
 
    // build ql instrument
 
    auto qlInstr =
        QuantLib::ext::make_shared<QuantExt::CreditLinkedSwap>(legs_, legPayers_, legTypes, settlesAccrual_, fixedRecoveryRate_,
                                                       defaultPaymentTime_, parseCurrency(npvCurrency_));
 
    // wrap instrument
 
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(qlInstr);
 
    // set trade members
 
    notionalCurrency_ = npvCurrency_;
    legCurrencies_ = std::vector<std::string>(legs_.size(), npvCurrency_);
    maturity_ = qlInstr->maturity();
 
    // set pricing engine
 
    qlInstr->setPricingEngine(builder->engine(npvCurrency_, creditCurveId_));
    setSensitivityTemplate(*builder);
 
    // log
 
    DLOG("Finished building credit linked swap " << id());
    DLOG("Currency                : " << npvCurrency_);
    DLOG("IndependentPayments legs: " << independentPayments_.size());
    DLOG("ContingentPayments  legs: " << contingentPayments_.size());
    DLOG("DefaultPayments     legs: " << defaultPayments_.size());
    DLOG("RecoveryPayments    legs: " << recoveryPayments_.size());
}

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◆ 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 201 of file creditlinkedswap.cpp.

                                              {
    Real notional = 0.0;
    for (auto const& l : legs_)
        notional = std::max(notional, currentNotional(l));
    return notional;
}

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Member Data Documentation

◆ creditCurveId_

std::string creditCurveId_

private

Definition at line 56 of file creditlinkedswap.hpp.

◆ settlesAccrual_

bool settlesAccrual_

private

Definition at line 57 of file creditlinkedswap.hpp.

◆ fixedRecoveryRate_

double fixedRecoveryRate_

private

Definition at line 58 of file creditlinkedswap.hpp.

◆ defaultPaymentTime_

QuantExt::CreditDefaultSwap::ProtectionPaymentTime defaultPaymentTime_

private

Definition at line 59 of file creditlinkedswap.hpp.

◆ independentPayments_

std::vector<LegData> independentPayments_

private

Definition at line 60 of file creditlinkedswap.hpp.

◆ contingentPayments_

std::vector<LegData> contingentPayments_

private

Definition at line 61 of file creditlinkedswap.hpp.

◆ defaultPayments_

std::vector<LegData> defaultPayments_

private

Definition at line 62 of file creditlinkedswap.hpp.

◆ recoveryPayments_

std::vector<LegData> recoveryPayments_

private

Definition at line 63 of file creditlinkedswap.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CreditLinkedSwap() [1/2]

◆ CreditLinkedSwap() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ build()

◆ notional()

Member Data Documentation

◆ creditCurveId_

◆ settlesAccrual_

◆ fixedRecoveryRate_

◆ defaultPaymentTime_

◆ independentPayments_

◆ contingentPayments_

◆ defaultPayments_

◆ recoveryPayments_