CrossCurrencySwap Class Reference

Serializable Cross Currency Swap contract. More...

#include <ored/portfolio/crosscurrencyswap.hpp>

Inheritance diagram for CrossCurrencySwap:

Collaboration diagram for CrossCurrencySwap:

Public Member Functions
	CrossCurrencySwap ()
	Default constructor. More...
	CrossCurrencySwap (const Envelope &env, const vector< LegData > &legData)
	Constructor with vector of LegData. More...
	CrossCurrencySwap (const Envelope &env, const LegData &leg0, const LegData &leg1)
	Constructor with two legs. More...
void	checkCrossCurrencySwap ()
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Trade interface. More...
Public Member Functions inherited from Swap
	Swap (const string swapType="Swap")
	Default constructor. More...
	Swap (const Envelope &env, const string swapType="Swap")
	Swap (const Envelope &env, const vector< LegData > &legData, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with vector of LegData. More...
	Swap (const Envelope &env, const LegData &leg0, const LegData &leg1, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with two legs. More...
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
virtual void	setIsdaTaxonomyFields ()
QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...
std::string	notionalCurrency () const override
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying index names. More...
const string &	settlement () const
	Settlement Type can be set to "Cash" for NDF. Default value is "Physical". More...
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
const vector< LegData > &	legData () 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
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...

Additional Inherited Members
Protected Member Functions inherited from Swap
virtual QuantLib::ext::shared_ptr< LegData >	createLegData () const
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 Swap
vector< LegData >	legData_
string	settlement_
bool	isXCCY_ = false
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 Cross Currency Swap contract.

Definition at line 37 of file crosscurrencyswap.hpp.

Constructor & Destructor Documentation

CrossCurrencySwap() [1/3]

CrossCurrencySwap

(

)

Default constructor.

Definition at line 40 of file crosscurrencyswap.hpp.

: Swap("CrossCurrencySwap") {}

CrossCurrencySwap() [2/3]

CrossCurrencySwap	(	const Envelope &	env,
		const vector< LegData > &	legData
	)

Constructor with vector of LegData.

Definition at line 27 of file crosscurrencyswap.cpp.

: Swap(env, legData, "CrossCurrencySwap") {}

CrossCurrencySwap() [3/3]

CrossCurrencySwap	(	const Envelope &	env,
		const LegData &	leg0,
		const LegData &	leg1
	)

Constructor with two legs.

Definition at line 29 of file crosscurrencyswap.cpp.

    : Swap(env, leg0, leg1, "CrossCurrencySwap") {}

Member Function Documentation

checkCrossCurrencySwap()

void checkCrossCurrencySwap

(

)

Definition at line 32 of file crosscurrencyswap.cpp.

                                               {
    // This function will attempt to set legIndexCcy to the other ccy from the first Indexing index.
    auto getIndexingCurrency = [this](const LegData& legData, const Currency& legCcy, Currency& legIndexCcy) {
        vector<Indexing> indexings = legData.indexing();
        if (!indexings.empty() && indexings.front().hasData()) {
            Indexing indexing = indexings.front();
            if (!boost::starts_with(indexing.index(), "FX-")) {
                StructuredTradeWarningMessage(
                    tradeType(), id(), "Trade validation (checkCrossCurrencySwap)",
                    "Could not set fixed leg currency to Indexing currency for trade validation. Index (" +
                        indexing.index() + ") should start with 'FX-'")
                    .log();
                return;
            }
 
            auto index = parseFxIndex(indexing.index());
            Currency srcCurrency = index->sourceCurrency();
            Currency tgtCurrency = index->targetCurrency();
 
            if (legCcy != srcCurrency && legCcy != tgtCurrency) {
                StructuredTradeWarningMessage(tradeType(), id(), "Trade validation (checkCrossCurrencySwap)",
                                                   "Could not set fixed leg currency to Indexing currency for trade "
                                                   "validation. Expected the leg currency (" +
                                                       legCcy.code() +
                                                       ") be equal to either of the currencies in the index (" +
                                                  indexing.index() + ")")
                    .log();
                return;
            }
 
            legIndexCcy = legCcy == srcCurrency ? tgtCurrency : srcCurrency;
        }
    };
 
    // Cross Currency Swap legs must be either Fixed, Floating or Cashflow and exactly two of Fixed and/or Floating
    vector<Size> legDataIdx;
    for (Size i = 0; i < legData_.size(); i++) {
        if (legData_[i].legType() == "Fixed" || legData_[i].legType() == "Floating")
            legDataIdx.push_back(i);
        else if (legData_[i].legType() == "Cashflow")
            continue;
        else
            QL_FAIL("CrossCurrencySwap leg #" << i + 1 << " must be Fixed, Floating or Cashflow");
    }
    QL_REQUIRE(legDataIdx.size() == 2,
               "A Cross Currency Swap must have 2 legs that are either Fixed or Floating: " + id());
 
    const LegData& legData0 = legData_[legDataIdx[0]];
    const LegData& legData1 = legData_[legDataIdx[1]];
 
    // Check leg currencies
    const Currency legCcy0 = parseCurrencyWithMinors(legData0.currency());
    const Currency legCcy1 = parseCurrencyWithMinors(legData1.currency());
 
    // Require leg currencies to be different. If they are the same, we do a further check of the underlying currencies
    // (Indexings for Fixed leg; Floating leg index for Floating leg) and compare these.
    if (legCcy0 == legCcy1) {
 
        // Get relevant index currency for the first leg - defaults to the leg ccy
        Currency legIndexCcy0 = legCcy0;
        if (legData0.legType() == "Fixed") {
            getIndexingCurrency(legData0, legCcy0, legIndexCcy0);
        } else if (legData0.legType() == "Floating") {
            auto floatingLeg = QuantLib::ext::dynamic_pointer_cast<FloatingLegData>(legData0.concreteLegData());
            if (floatingLeg)
                legIndexCcy0 = parseIborIndex(floatingLeg->index())->currency();
        }
 
        // Get relevant index currency for the second leg - defaults to the leg ccy
        Currency legIndexCcy1 = legCcy1;
        if (legData1.legType() == "Fixed") {
            getIndexingCurrency(legData1, legCcy1, legIndexCcy1);
        } else if (legData1.legType() == "Floating") {
            auto floatingLeg = QuantLib::ext::dynamic_pointer_cast<FloatingLegData>(legData1.concreteLegData());
            if (floatingLeg)
                legIndexCcy1 = parseIborIndex(floatingLeg->index()) ->currency();
        }
 
        QL_REQUIRE(legIndexCcy0 != legIndexCcy1, "Cross currency swap legs must have different currencies.");
    }
}

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build()

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

overridevirtual

Trade interface.

Reimplemented from Swap.

Definition at line 114 of file crosscurrencyswap.cpp.

                                                                                       {
 
    DLOG("CrossCurrencySwap::build() called for " << id());
 
    Swap::build(engineFactory);
 
    checkCrossCurrencySwap();
}