#include <ored/portfolio/doubledigitaloption.hpp>

Inheritance diagram for DoubleDigitalOption:

Collaboration diagram for DoubleDigitalOption:

Public Member Functions
	DoubleDigitalOption ()

	DoubleDigitalOption (const Envelope &env, const string &expiry, const string &settlement, const string &binaryPayout, const string &binaryLevel1, const string &binaryLevel2, const string &type1, const string &type2, const string &position, const QuantLib::ext::shared_ptr< Underlying > &underlying1, const QuantLib::ext::shared_ptr< Underlying > &underlying2, const QuantLib::ext::shared_ptr< Underlying > &underlying3, const QuantLib::ext::shared_ptr< Underlying > &underlying4, const string &payCcy, const QuantLib::ext::shared_ptr< Conventions > &conventions=nullptr, const std::string &binaryLevelUpper1=std::string(), const std::string &binaryLevelUpper2=std::string())

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

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Public Member Functions inherited from ScriptedTrade
	ScriptedTrade (const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::map< std::string, ScriptedTradeScriptData > &script, const std::string &productTag, const std::string &tradeType="ScriptedTrade")

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::string &scriptName, const std::string &tradeType="ScriptedTrade")

void	clear ()

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...

std::string	notionalCurrency () const override

void	fromXML (XMLNode *node) override

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

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const PremiumData &premiumData, const Real premiumMultiplier)

std::map< ore::data::AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override

virtual void	setIsdaTaxonomyFields ()

const std::vector< ScriptedTradeEventData > &	events () const

const std::vector< ScriptedTradeValueTypeData > &	numbers () const

const std::vector< ScriptedTradeValueTypeData > &	indices () const

const std::vector< ScriptedTradeValueTypeData > &	currencies () const

const std::vector< ScriptedTradeValueTypeData > &	daycounters () const

const std::map< std::string, ScriptedTradeScriptData > &	script () const

const std::string &	productTag () const

const std::string &	scriptName () const

const std::string &	simmProductClass () const

const std::string &	scheduleProductClass () const

const ScriptedTradeScriptData &	script (const std::string &purpose, const bool fallBackOnEmptyPurpose=true) const

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...

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 Member Functions
void	initIndices ()

Private Attributes
string	expiry_

string	settlement_

string	binaryPayout_

string	binaryLevel1_

string	binaryLevel2_

string	type1_

string	type2_

string	position_

string	payCcy_

string	binaryLevelUpper1_

string	binaryLevelUpper2_

QuantLib::ext::shared_ptr< Underlying >	underlying1_

QuantLib::ext::shared_ptr< Underlying >	underlying2_

QuantLib::ext::shared_ptr< Underlying >	underlying3_

QuantLib::ext::shared_ptr< Underlying >	underlying4_

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 ScriptedTrade
std::vector< ScriptedTradeEventData >	events_

std::vector< ScriptedTradeValueTypeData >	numbers_

std::vector< ScriptedTradeValueTypeData >	indices_

std::vector< ScriptedTradeValueTypeData >	currencies_

std::vector< ScriptedTradeValueTypeData >	daycounters_

std::map< std::string, ScriptedTradeScriptData >	script_

std::string	productTag_

std::string	scriptName_

std::string	simmProductClass_

std::string	scheduleProductClass_

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 35 of file doubledigitaloption.hpp.

Constructor & Destructor Documentation

◆ DoubleDigitalOption() [1/2]

DoubleDigitalOption ( )

Definition at line 37 of file doubledigitaloption.hpp.

37: ScriptedTrade("DoubleDigitalOption") {}

ore::data::ScriptedTrade::ScriptedTrade

ScriptedTrade(const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

Definition: scriptedtrade.hpp:205

◆ DoubleDigitalOption() [2/2]

DoubleDigitalOption	(	const Envelope &	env,
		const string &	expiry,
		const string &	settlement,
		const string &	binaryPayout,
		const string &	binaryLevel1,
		const string &	binaryLevel2,
		const string &	type1,
		const string &	type2,
		const string &	position,
		const QuantLib::ext::shared_ptr< Underlying > &	underlying1,
		const QuantLib::ext::shared_ptr< Underlying > &	underlying2,
		const QuantLib::ext::shared_ptr< Underlying > &	underlying3,
		const QuantLib::ext::shared_ptr< Underlying > &	underlying4,
		const string &	payCcy,
		const QuantLib::ext::shared_ptr< Conventions > &	conventions = `nullptr`,
		const std::string &	binaryLevelUpper1 = `std::string()`,
		const std::string &	binaryLevelUpper2 = `std::string()`
	)

Definition at line 38 of file doubledigitaloption.hpp.

        : ScriptedTrade("DoubleDigitalOption", env), expiry_(expiry), settlement_(settlement),
          binaryPayout_(binaryPayout), binaryLevel1_(binaryLevel1), binaryLevel2_(binaryLevel2), type1_(type1),
          type2_(type2), position_(position), payCcy_(payCcy), binaryLevelUpper1_(binaryLevelUpper1),
          binaryLevelUpper2_(binaryLevelUpper2), underlying1_(underlying1),
          underlying2_(underlying2), underlying3_(underlying3), underlying4_(underlying4) {
        initIndices();
    }

Here is the call graph for this function:

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 40 of file doubledigitaloption.cpp.

                                                                                   {
 
    // set script parameters
 
    clear();
    initIndices();
 
    events_.emplace_back("Expiry", expiry_);
    events_.emplace_back("Settlement", settlement_);
 
    
    std::string lowerBound1, upperBound1, lowerBound2, upperBound2;
    std::tie(lowerBound1, upperBound1) = getLowerAndUpperBound(type1_, binaryLevel1_, binaryLevelUpper1_);
    std::tie(lowerBound2, upperBound2) = getLowerAndUpperBound(type2_, binaryLevel2_, binaryLevelUpper2_);
 
    numbers_.emplace_back("Number", "BinaryPayout", binaryPayout_);
    numbers_.emplace_back("Number", "LowerBound1", lowerBound1);
    numbers_.emplace_back("Number", "UpperBound1", upperBound1);
    numbers_.emplace_back("Number", "LowerBound2", lowerBound2);
    numbers_.emplace_back("Number", "UpperBound2", upperBound2);
 
    Position::Type position = parsePositionType(position_);
    numbers_.emplace_back("Number", "LongShort", position == Position::Long ? "1" : "-1");
 
    currencies_.emplace_back("Currency", "PayCcy", payCcy_);
 
    // check underlying types
    QL_REQUIRE(underlying1_->type() == "Equity" || underlying1_->type() == "Commodity" ||
                   underlying1_->type() == "FX" || underlying1_->type() == "InterestRate",
               "underlying type " << underlying1_->type() << " not supported");
    QL_REQUIRE(underlying2_->type() == "Equity" || underlying2_->type() == "Commodity" ||
                   underlying2_->type() == "FX" || underlying2_->type() == "InterestRate",
               "underlying type " << underlying2_->type() << " not supported");
    if (underlying3_) {
        QL_REQUIRE(underlying3_->type() == "Equity" || underlying3_->type() == "Commodity" ||
                       underlying3_->type() == "FX" || underlying3_->type() == "InterestRate",
                   "underlying type " << underlying3_->type() << " not supported");
 
        QL_REQUIRE(underlying1_->type() == underlying3_->type(),
                   "Underlying1 and Underlying3 must belong to the same asset class. Got "
                       << underlying1_->type() << " and " << underlying3_->type());
    }
    if (underlying4_) {
        QL_REQUIRE(underlying4_->type() == "Equity" || underlying4_->type() == "Commodity" ||
                       underlying4_->type() == "FX" || underlying4_->type() == "InterestRate",
                   "underlying type " << underlying4_->type() << " not supported");
        
        QL_REQUIRE(underlying2_->type() == underlying4_->type(),
                   "Underlying2 and Underlying4 must belong to the same asset class. Got "
                       << underlying2_->type() << " and " << underlying4_->type());
    }
 
    // set product tag accordingly
    if (underlying1_->type() == "InterestRate" && underlying2_->type() == "InterestRate")
        productTag_ = "MultiUnderlyingIrOption";
    else if (underlying1_->type() == "InterestRate" || underlying2_->type() == "InterestRate")
        productTag_ = "IrHybrid({AssetClass})";
    else
        productTag_ = "MultiAssetOption({AssetClass})";
 
    LOG("ProductTag=" << productTag_);
 
    // set script
 
    string underlying1Str, underlying2Str;
    underlying1Str = underlying3_ ? "(Underlying1(Expiry) - Underlying3(Expiry))" : "Underlying1(Expiry)";
    underlying2Str = underlying4_ ? "(Underlying2(Expiry) - Underlying4(Expiry))" : "Underlying2(Expiry)";
 
    // clang-format off
    script_ = {
        {"", ScriptedTradeScriptData("NUMBER ExerciseProbability;\n"
                                     "IF " + underlying1Str + " >= LowerBound1 AND " + underlying1Str + " <= UpperBound1 AND\n"
                                     "   " + underlying2Str + " >= LowerBound2 AND " + underlying2Str + " <= UpperBound2 THEN\n"
                                     "     Option = LongShort * LOGPAY( BinaryPayout, Expiry, Settlement, PayCcy);\n"
                                     "     ExerciseProbability = 1;\n"
                                     "END;\n",
                                     "Option",
                                     {{"ExerciseProbability", "ExerciseProbability"},
                                      {"currentNotional", "BinaryPayout"},
                                      {"notionalCurrency", "PayCcy"}},
                                     {})}};
    // clang-format on
 
    // build trade
 
    ScriptedTrade::build(factory);
}

Here is the call graph for this function:

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 137 of file doubledigitaloption.cpp.

                                               {
    Trade::fromXML(node);
    XMLNode* tradeDataNode = XMLUtils::getChildNode(node, "DoubleDigitalOptionData");
    QL_REQUIRE(tradeDataNode, "DoubleDigitalOptionData node not found");
    expiry_ = XMLUtils::getChildValue(tradeDataNode, "Expiry", true);
    settlement_ = XMLUtils::getChildValue(tradeDataNode, "Settlement", true);
    binaryPayout_ = XMLUtils::getChildValue(tradeDataNode, "BinaryPayout", true);
    binaryLevel1_ = XMLUtils::getChildValue(tradeDataNode, "BinaryLevel1", true);
    binaryLevel2_ = XMLUtils::getChildValue(tradeDataNode, "BinaryLevel2", true);
    type1_ = XMLUtils::getChildValue(tradeDataNode, "Type1", true);
    type2_ = XMLUtils::getChildValue(tradeDataNode, "Type2", true);
    position_ = XMLUtils::getChildValue(tradeDataNode, "Position", true);
 
    binaryLevelUpper1_ =
        XMLUtils::getChildValue(tradeDataNode, "BinaryLevelUpper1", type1_ == "Collar");
    binaryLevelUpper2_ =
        XMLUtils::getChildValue(tradeDataNode, "BinaryLevelUpper2", type2_ == "Collar");
 
    QL_REQUIRE((type1_ != "Collar" && binaryLevelUpper1_.empty()) ||
                   (type1_ == "Collar" && !binaryLevelUpper1_.empty()),
               "A non empty upper bound 'BinaryLevelUpper1' is required if and only if a type1 is set to 'Collar', "
               "please check trade xml.");
 
    QL_REQUIRE((type2_ != "Collar" && binaryLevelUpper2_.empty()) ||
                   (type2_ == "Collar" && !binaryLevelUpper2_.empty()),
               "A non empty upper bound 'BinaryLevelUpper2' is required if and only if a type2 is set to 'Collar', "
               "please check trade xml.");
  
    XMLNode* tmp = XMLUtils::getChildNode(tradeDataNode, "Underlying1");
    if (!tmp)
        tmp = XMLUtils::getChildNode(tradeDataNode, "Name1");
    UnderlyingBuilder underlyingBuilder1("Underlying1", "Name1");
    underlyingBuilder1.fromXML(tmp);
    underlying1_ = underlyingBuilder1.underlying();
 
    tmp = XMLUtils::getChildNode(tradeDataNode, "Underlying2");
    if (!tmp)
        tmp = XMLUtils::getChildNode(tradeDataNode, "Name2");
    UnderlyingBuilder underlyingBuilder2("Underlying2", "Name2");
    underlyingBuilder2.fromXML(tmp);
    underlying2_ = underlyingBuilder2.underlying();
 
    tmp = XMLUtils::getChildNode(tradeDataNode, "Underlying3");
    if (!tmp)
        tmp = XMLUtils::getChildNode(tradeDataNode, "Name3");
    if (tmp) {
        UnderlyingBuilder underlyingBuilder3("Underlying3", "Name3");
        underlyingBuilder3.fromXML(tmp);
        underlying3_ = underlyingBuilder3.underlying();
    }
 
    tmp = XMLUtils::getChildNode(tradeDataNode, "Underlying4");
    if (!tmp)
        tmp = XMLUtils::getChildNode(tradeDataNode, "Name4");
    if (tmp) {
        UnderlyingBuilder underlyingBuilder4("Underlying4", "Name4");
        underlyingBuilder4.fromXML(tmp);
        underlying4_ = underlyingBuilder4.underlying();
    }
 
    payCcy_ = XMLUtils::getChildValue(tradeDataNode, "PayCcy", true);
 
    initIndices();
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 202 of file doubledigitaloption.cpp.

                                                          {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* tradeNode = doc.allocNode("DoubleDigitalOptionData");
    XMLUtils::appendNode(node, tradeNode);
    XMLUtils::addChild(doc, tradeNode, "Expiry", expiry_);
    XMLUtils::addChild(doc, tradeNode, "Settlement", settlement_);
    XMLUtils::addChild(doc, tradeNode, "BinaryPayout", binaryPayout_);
    XMLUtils::addChild(doc, tradeNode, "BinaryLevel1", binaryLevel1_);
    XMLUtils::addChild(doc, tradeNode, "BinaryLevel2", binaryLevel2_);
    if (!binaryLevelUpper1_.empty()) {
        XMLUtils::addChild(doc, tradeNode, "BinaryLevelUpper1", binaryLevelUpper1_);
    }
    if (!binaryLevelUpper2_.empty()) {
        XMLUtils::addChild(doc, tradeNode, "BinaryLevelUpper2", binaryLevelUpper2_);
    }
    XMLUtils::addChild(doc, tradeNode, "Type1", type1_);
    XMLUtils::addChild(doc, tradeNode, "Type2", type2_);
    XMLUtils::addChild(doc, tradeNode, "Position", position_);
    XMLUtils::appendNode(tradeNode, underlying1_->toXML(doc));
    XMLUtils::appendNode(tradeNode, underlying2_->toXML(doc));
    if (underlying3_)
        XMLUtils::appendNode(tradeNode, underlying3_->toXML(doc));
    if (underlying4_)
        XMLUtils::appendNode(tradeNode, underlying4_->toXML(doc));
    XMLUtils::addChild(doc, tradeNode, "PayCcy", payCcy_);
    return node;
}

Here is the call graph for this function:

◆ initIndices()

void initIndices ( )

private

Definition at line 128 of file doubledigitaloption.cpp.

                                      {
    indices_.emplace_back("Index", "Underlying1", scriptedIndexName(underlying1_));
    indices_.emplace_back("Index", "Underlying2", scriptedIndexName(underlying2_));
    if (underlying3_)
        indices_.emplace_back("Index", "Underlying3", scriptedIndexName(underlying3_));
    if (underlying4_)
        indices_.emplace_back("Index", "Underlying4", scriptedIndexName(underlying4_));
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

◆ expiry_

string expiry_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ settlement_

string settlement_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ binaryPayout_

string binaryPayout_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ binaryLevel1_

string binaryLevel1_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ binaryLevel2_

string binaryLevel2_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ type1_

string type1_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ type2_

string type2_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ position_

string position_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ payCcy_

string payCcy_

private

Definition at line 61 of file doubledigitaloption.hpp.

◆ binaryLevelUpper1_

string binaryLevelUpper1_

private

Definition at line 62 of file doubledigitaloption.hpp.

◆ binaryLevelUpper2_

string binaryLevelUpper2_

private

Definition at line 62 of file doubledigitaloption.hpp.

◆ underlying1_

QuantLib::ext::shared_ptr<Underlying> underlying1_

private

Definition at line 63 of file doubledigitaloption.hpp.

◆ underlying2_

QuantLib::ext::shared_ptr<Underlying> underlying2_

private

Definition at line 63 of file doubledigitaloption.hpp.

◆ underlying3_

QuantLib::ext::shared_ptr<Underlying> underlying3_

private

Definition at line 63 of file doubledigitaloption.hpp.

◆ underlying4_

QuantLib::ext::shared_ptr<Underlying> underlying4_

private

Definition at line 63 of file doubledigitaloption.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DoubleDigitalOption() [1/2]

◆ DoubleDigitalOption() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ initIndices()

Member Data Documentation

◆ expiry_

◆ settlement_

◆ binaryPayout_

◆ binaryLevel1_

◆ binaryLevel2_

◆ type1_

◆ type2_

◆ position_

◆ payCcy_

◆ binaryLevelUpper1_

◆ binaryLevelUpper2_

◆ underlying1_

◆ underlying2_

◆ underlying3_

◆ underlying4_