#include <ored/utilities/currencyhedgedequityindexdecomposition.hpp>

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Public Member Functions
	CurrencyHedgedEquityIndexDecomposition (const std::string indexName, const QuantLib::ext::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum > &indexRefData, const QuantLib::ext::shared_ptr< ore::data::EquityIndexReferenceDatum > underlyingRefData, const std::string &indexCurrency, const std::string &underlyingIndexCurrency, const std::string &fxIndexName, const std::map< std::string, std::pair< double, std::string > > &currencyWeightsAndFxIndexNames)

const std::string &	indexName () const

const std::string &	underlyingIndexName () const

const std::string &	indexCurrency () const

const std::string &	underlyingIndexCurrency () const

const std::string &	fxIndexName () const

bool	isValid () const

QuantLib::Date	referenceDate (const QuantLib::Date &asof) const

QuantLib::Date	rebalancingDate (const QuantLib::Date &asof) const

const std::map< std::string, std::pair< double, std::string > > &	currencyWeightsAndFxIndexNames () const

std::map< std::string, double >	fxSpotRiskFromForwards (const double quantity, const QuantLib::Date &asof, const QuantLib::ext::shared_ptr< ore::data::Market > &todaysMarket, const double shiftsize) const

double	unhedgedSpotExposure (double hedgedExposure, const double quantity, const QuantLib::Date &asof, const QuantLib::ext::shared_ptr< ore::data::Market > &todaysMarket) const

QuantLib::ext::shared_ptr< ore::data::EquityIndexReferenceDatum >	underlyingRefData () const

QuantLib::ext::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum >	indexRefData () const

void	addAdditionalFixingsForEquityIndexDecomposition (const QuantLib::Date &asof, std::map< std::string, RequiredFixings::FixingDates > &fixings) const

Static Public Member Functions
static QuantLib::Date	referenceDate (const QuantLib::ext::shared_ptr< CurrencyHedgedEquityIndexReferenceDatum > &refData, const QuantLib::Date &asof)

static QuantLib::Date	rebalancingDate (const QuantLib::ext::shared_ptr< CurrencyHedgedEquityIndexReferenceDatum > &refData, const QuantLib::Date &asof)

Private Attributes
std::string	name_

QuantLib::ext::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum >	indexRefData_

QuantLib::ext::shared_ptr< ore::data::EquityIndexReferenceDatum >	underlyingRefData_

std::string	indexCurrency_

std::string	underlyingIndexCurrency_

std::string	fxIndexName_

std::map< std::string, std::pair< double, std::string > >	currencyWeightsAndFxIndexNames_

Detailed Description

Definition at line 21 of file currencyhedgedequityindexdecomposition.hpp.

Constructor & Destructor Documentation

◆ CurrencyHedgedEquityIndexDecomposition()

CurrencyHedgedEquityIndexDecomposition	(	const std::string	indexName,
		const QuantLib::ext::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum > &	indexRefData,
		const QuantLib::ext::shared_ptr< ore::data::EquityIndexReferenceDatum >	underlyingRefData,
		const std::string &	indexCurrency,
		const std::string &	underlyingIndexCurrency,
		const std::string &	fxIndexName,
		const std::map< std::string, std::pair< double, std::string > > &	currencyWeightsAndFxIndexNames
	)

Definition at line 23 of file currencyhedgedequityindexdecomposition.hpp.

        : name_(indexName), indexRefData_(indexRefData), underlyingRefData_(underlyingRefData),
          indexCurrency_(indexCurrency), underlyingIndexCurrency_(underlyingIndexCurrency), fxIndexName_(fxIndexName),
          currencyWeightsAndFxIndexNames_(currencyWeightsAndFxIndexNames) {
        QL_REQUIRE(indexRefData_, "CurrencyHedgedDecomposition requires a valid indexRefData");
        QL_REQUIRE(underlyingRefData_, "CurrencyHedgedDecomposition requires a valid underlyingRefData");
        QL_REQUIRE(!indexCurrency_.empty(), "CurrencyHedgedDecomposition requires the currency of the index");
        QL_REQUIRE(!underlyingIndexCurrency_.empty(), "CurrencyHedgedDecomposition requires the currency of the underlying index");
        QL_REQUIRE(!fxIndexName_.empty(),
                   "CurrencyHedgedDecomposition requires the FXIndex name to convert underlyingIndexCurrency to IndexCurrency");
    }

Member Function Documentation

◆ indexName()

const std::string & indexName ( ) const

Definition at line 40 of file currencyhedgedequityindexdecomposition.hpp.

40{ return name_; }

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◆ underlyingIndexName()

const std::string & underlyingIndexName ( ) const

Definition at line 42 of file currencyhedgedequityindexdecomposition.hpp.

42{ return underlyingRefData_->id(); }

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◆ indexCurrency()

const std::string & indexCurrency ( ) const

Definition at line 44 of file currencyhedgedequityindexdecomposition.hpp.

44{ return indexCurrency_; }

◆ underlyingIndexCurrency()

const std::string & underlyingIndexCurrency ( ) const

Definition at line 46 of file currencyhedgedequityindexdecomposition.hpp.

46{ return underlyingIndexCurrency_; }

◆ fxIndexName()

const std::string & fxIndexName ( ) const

Definition at line 48 of file currencyhedgedequityindexdecomposition.hpp.

48{ return fxIndexName_; }

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◆ isValid()

bool isValid ( ) const

Definition at line 50 of file currencyhedgedequityindexdecomposition.hpp.

50{ return indexRefData_ && underlyingRefData_ && !currencyWeightsAndFxIndexNames_.empty(); }

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◆ referenceDate() [1/2]

QuantLib::Date referenceDate ( const QuantLib::Date & asof ) const

Definition at line 149 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                                 {
    return CurrencyHedgedEquityIndexDecomposition::referenceDate(this->indexRefData(), asof);
}

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◆ rebalancingDate() [1/2]

QuantLib::Date rebalancingDate ( const QuantLib::Date & asof ) const

Definition at line 153 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                                   {
    return CurrencyHedgedEquityIndexDecomposition::rebalancingDate(this->indexRefData(), asof);
}

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◆ referenceDate() [2/2]

QuantLib::Date referenceDate	(	const QuantLib::ext::shared_ptr< CurrencyHedgedEquityIndexReferenceDatum > &	refData,
		const QuantLib::Date &	asof
	)

static

Definition at line 119 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                {
    QuantLib::Date hedgingDate = CurrencyHedgedEquityIndexDecomposition::rebalancingDate(refData, asof);
    if (hedgingDate == QuantLib::Date()) {
        return QuantLib::Date();
    } else {
        return refData->hedgeCalendar().advance(hedgingDate, -refData->referenceDateOffset() * QuantLib::Days,
                                                QuantLib::Preceding);
    }
}

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◆ rebalancingDate() [2/2]

QuantLib::Date rebalancingDate	(	const QuantLib::ext::shared_ptr< CurrencyHedgedEquityIndexReferenceDatum > &	refData,
		const QuantLib::Date &	asof
	)

static

Definition at line 131 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                  {
    if (refData->rebalancingStrategy() ==
        ore::data::CurrencyHedgedEquityIndexReferenceDatum::RebalancingDate::EndOfMonth) {
        QuantLib::Date lastBusinessDayOfCurrentMonth = QuantLib::Date::endOfMonth(asof);
        lastBusinessDayOfCurrentMonth =
            refData->hedgeCalendar().adjust(lastBusinessDayOfCurrentMonth, QuantLib::Preceding);
        if (asof == lastBusinessDayOfCurrentMonth) {
            return asof;
        } else {
            return refData->hedgeCalendar().advance(QuantLib::Date(1, asof.month(), asof.year()), -1 * QuantLib::Days,
                                                    QuantLib::Preceding);
        }
    }
    return QuantLib::Date();
}

◆ currencyWeightsAndFxIndexNames()

const std::map< std::string, std::pair< double, std::string > > & currencyWeightsAndFxIndexNames ( ) const

Definition at line 62 of file currencyhedgedequityindexdecomposition.hpp.

                                                                                                {
        return currencyWeightsAndFxIndexNames_;
    }

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◆ fxSpotRiskFromForwards()

std::map< std::string, double > fxSpotRiskFromForwards	(	const double	quantity,
		const QuantLib::Date &	asof,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	todaysMarket,
		const double	shiftsize
	)		const

Definition at line 157 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                                                                             {
 
    std::map<std::string, double> fxRisks;
    auto indexCurve = todaysMarket->equityCurve(indexName());
    auto underlyingCurve = todaysMarket->equityCurve(underlyingIndexName());
    QuantLib::Date refDate = referenceDate(asof);
    double adjustmentFactor = 1.0;
    // If adjustement is daily, the fxForward notional will be adjusted by the relative return of the underlying index
    if (indexRefData_->hedgeAdjustmentRule() == CurrencyHedgedEquityIndexReferenceDatum::HedgeAdjustment::Daily) {
        adjustmentFactor = underlyingCurve->fixing(asof) / underlyingCurve->fixing(rebalancingDate(asof));
    }
    // Compute notionals and fxSpotRisks
    for (const auto& [ccy, weightAndIndex] : currencyWeightsAndFxIndexNames()) {
        double weight = weightAndIndex.first;
        auto fxIndexFamily = parseFxIndex(fxIndexName())->familyName();
        auto fxIndex = todaysMarket->fxIndex("FX-" + fxIndexFamily + "-" + underlyingIndexCurrency_ + "-" + indexCurrency_);
        double forwardNotional =
            quantity * adjustmentFactor * weight * indexCurve->fixing(refDate) / fxIndex->fixing(refDate);
        fxRisks[ccy] = shiftsize * forwardNotional * fxIndex->fixing(asof);
    }
    return fxRisks;
}

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◆ unhedgedSpotExposure()

double unhedgedSpotExposure	(	double	hedgedExposure,
		const double	quantity,
		const QuantLib::Date &	asof,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	todaysMarket
	)		const

Definition at line 182 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                                                      {
    auto indexCurve = todaysMarket->equityCurve(indexName());
    auto underlyingCurve = todaysMarket->equityCurve(underlyingIndexName());
    QuantLib::Date rebalanceDt = rebalancingDate(asof);
    auto fxIndexFamily = parseFxIndex(fxIndexName())->familyName();
    auto fxIndex = todaysMarket->fxIndex("FX-" + fxIndexFamily + "-" + underlyingIndexCurrency_ + "-" + indexCurrency_);
    double hedgedUnitPrice = (hedgedExposure / quantity);
    // In case we have a option and the unit delta isnt one
    double scaling =  hedgedUnitPrice / indexCurve->fixing(asof); 
    // Change in the fx since the last rebalacing
    double fxReturn = fxIndex->fixing(asof) / fxIndex->fixing(rebalanceDt);
    // Return of the underlying since last rebalacning
    double underlyingIndexReturn = underlyingCurve->equitySpot()->value() / underlyingCurve->fixing(rebalanceDt);
    // Unhedged price of the index 
    double unhedgedUnitPrice= indexCurve->fixing(rebalanceDt) * underlyingIndexReturn * fxReturn;
    // Unhedged exposure
    return scaling * quantity * unhedgedUnitPrice;
}

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◆ underlyingRefData()

QuantLib::ext::shared_ptr< ore::data::EquityIndexReferenceDatum > underlyingRefData ( ) const

Definition at line 73 of file currencyhedgedequityindexdecomposition.hpp.

73{ return underlyingRefData_; }

◆ indexRefData()

QuantLib::ext::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum > indexRefData ( ) const

Definition at line 75 of file currencyhedgedequityindexdecomposition.hpp.

75{ return indexRefData_; }

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◆ addAdditionalFixingsForEquityIndexDecomposition()

void addAdditionalFixingsForEquityIndexDecomposition	(	const QuantLib::Date &	asof,
		std::map< std::string, RequiredFixings::FixingDates > &	fixings
	)		const

Definition at line 203 of file currencyhedgedequityindexdecomposition.cpp.

                                                                                            {
    if (isValid()) {
        QuantLib::Date rebalancingDt = rebalancingDate(asof);
        QuantLib::Date referenceDt = referenceDate(asof);
        fixings[IndexNameTranslator::instance().oreName(indexName())].addDate(rebalancingDt, false);
        fixings[IndexNameTranslator::instance().oreName(indexName())].addDate(referenceDt, false);
 
        IndexNameTranslator::instance().add(underlyingIndexName(), "EQ-" + underlyingIndexName());
        fixings[IndexNameTranslator::instance().oreName(underlyingIndexName())].addDate(rebalancingDt, false);
        fixings[IndexNameTranslator::instance().oreName(underlyingIndexName())].addDate(referenceDt, false);
 
        fixings[fxIndexName()].addDate(referenceDt, false);
        fixings[fxIndexName()].addDate(rebalancingDt, false);
 
        for (const auto& [currency, name] : currencyWeightsAndFxIndexNames()) {
            fixings[name.second].addDate(referenceDt, false);
            fixings[name.second].addDate(rebalancingDt, false);
        }
    }
}

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Member Data Documentation

◆ name_

std::string name_

private

Definition at line 82 of file currencyhedgedequityindexdecomposition.hpp.

◆ indexRefData_

QuantLib::ext::shared_ptr<ore::data::CurrencyHedgedEquityIndexReferenceDatum> indexRefData_

private

Definition at line 83 of file currencyhedgedequityindexdecomposition.hpp.

◆ underlyingRefData_

QuantLib::ext::shared_ptr<ore::data::EquityIndexReferenceDatum> underlyingRefData_

private

Definition at line 84 of file currencyhedgedequityindexdecomposition.hpp.

◆ indexCurrency_

std::string indexCurrency_

private

Definition at line 85 of file currencyhedgedequityindexdecomposition.hpp.

◆ underlyingIndexCurrency_

std::string underlyingIndexCurrency_

private

Definition at line 86 of file currencyhedgedequityindexdecomposition.hpp.

◆ fxIndexName_

std::string fxIndexName_

private

Definition at line 87 of file currencyhedgedequityindexdecomposition.hpp.

◆ currencyWeightsAndFxIndexNames_

std::map<std::string, std::pair<double, std::string> > currencyWeightsAndFxIndexNames_

private

Definition at line 88 of file currencyhedgedequityindexdecomposition.hpp.

Public Member Functions

Static Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ CurrencyHedgedEquityIndexDecomposition()

Member Function Documentation

◆ indexName()

◆ underlyingIndexName()

◆ indexCurrency()

◆ underlyingIndexCurrency()

◆ fxIndexName()

◆ isValid()

◆ referenceDate() [1/2]

◆ rebalancingDate() [1/2]

◆ referenceDate() [2/2]

◆ rebalancingDate() [2/2]

◆ currencyWeightsAndFxIndexNames()

◆ fxSpotRiskFromForwards()

◆ unhedgedSpotExposure()

◆ underlyingRefData()

◆ indexRefData()

◆ addAdditionalFixingsForEquityIndexDecomposition()

Member Data Documentation

◆ name_

◆ indexRefData_

◆ underlyingRefData_

◆ indexCurrency_

◆ underlyingIndexCurrency_

◆ fxIndexName_

◆ currencyWeightsAndFxIndexNames_