Serializable EQ Digital Option. More...

#include <ored/portfolio/equitydigitaloption.hpp>

Inheritance diagram for EquityDigitalOption:

Collaboration diagram for EquityDigitalOption:

Public Member Functions
	EquityDigitalOption ()
	Default constructor. More...

	EquityDigitalOption (Envelope &env, OptionData option, double strike, const string &payoffCurrency, double payoffAmount, const EquityUnderlying &equityUnderlying, double quantity)
	Constructor. More...

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...

Inspectors
const OptionData &	option () const

double	strike () const

const string &	payoffCurrency () const

double	payoffAmount () const

double	quantity () const

Public Member Functions inherited from EquitySingleAssetDerivative
const string &	equityName () 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

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

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...

Serialisation
OptionData	option_

Real	strike_

string	payoffCurrency_

Real	payoffAmount_

Real	quantity_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from EquitySingleAssetDerivative
	EquitySingleAssetDerivative (const std::string &tradeType)

	EquitySingleAssetDerivative (const std::string &tradeType, ore::data::Envelope &env, const EquityUnderlying &equityUnderlying)

Protected Member Functions inherited from EquityDerivative
	EquityDerivative (const std::string &tradeType)

	EquityDerivative (const std::string &tradeType, ore::data::Envelope &env)

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 EquitySingleAssetDerivative
EquityUnderlying	equityUnderlying_

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 EQ Digital Option.

Definition at line 35 of file equitydigitaloption.hpp.

Constructor & Destructor Documentation

◆ EquityDigitalOption() [1/2]

EquityDigitalOption ( )

Default constructor.

Definition at line 38 of file equitydigitaloption.hpp.

39 : ore::data::Trade("EquityDigitalOption"), EquitySingleAssetDerivative("") {}

ore::data::EquitySingleAssetDerivative::EquitySingleAssetDerivative

EquitySingleAssetDerivative(const std::string &tradeType)

Definition: equityderivative.hpp:41

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ EquityDigitalOption() [2/2]

EquityDigitalOption	(	Envelope &	env,
		OptionData	option,
		double	strike,
		const string &	payoffCurrency,
		double	payoffAmount,
		const EquityUnderlying &	equityUnderlying,
		double	quantity
	)

Constructor.

Definition at line 41 of file equitydigitaloption.hpp.

        : ore::data::Trade("EquityDigitalOption", env),
          EquitySingleAssetDerivative("", env, equityUnderlying), option_(option),
          strike_(strike), payoffCurrency_(payoffCurrency), payoffAmount_(payoffAmount), quantity_(quantity) {}

Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Implements Trade.

Definition at line 34 of file equitydigitaloption.cpp.

                                                                                         {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Option");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");
 
    // Only European Vanilla supported for now
    QL_REQUIRE(option_.style() == "European", "Option Style unknown: " << option_.style());
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    QL_REQUIRE(option_.payoffAtExpiry() == true, "PayoffAtExpiry must be True for EquityDigitalOption");
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for EquityDigitalOption");
    QL_REQUIRE(strike_ > 0.0 && strike_ != Null<Real>(), "Invalid strike " << strike_);
    QL_REQUIRE(payoffAmount_ > 0.0 && payoffAmount_ != Null<Real>(), "Invalid payoff amount " << payoffAmount_);
    QL_REQUIRE(payoffCurrency_ != "", "PayoffCurrency is missing");
 
    // Currency 
    Currency ccy = parseCurrency(payoffCurrency_);
 
    // Asset Name
    string assetName = equityName();
 
    // Payoff Type
    Option::Type type = parseOptionType(option_.callPut());
 
    // Set up the CashOrNothing
    Real strike = strike_;
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(type, strike, payoffAmount_));
 
    // Exercise
    Date expiryDate = parseDate(option_.exerciseDates().front());
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
 
    // QL does not have an EquityDigitalOption, so we add a vanilla one here and wrap
    // it in a composite.
    QuantLib::ext::shared_ptr<Instrument> vanilla = QuantLib::ext::make_shared<VanillaOption>(payoff, exercise);
 
    // set pricing engines
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<EquityDigitalOptionEngineBuilder> eqOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityDigitalOptionEngineBuilder>(builder);
    vanilla->setPricingEngine(eqOptBuilder->engine(assetName, ccy));
    setSensitivityTemplate(*eqOptBuilder);
 
    Position::Type positionType = parsePositionType(option_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
    Real mult = bsInd;
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    Date lastPremiumDate =
        addPremiums(additionalInstruments, additionalMultipliers, mult * quantity_, option_.premiumData(), -bsInd, ccy,
                    engineFactory, eqOptBuilder->configuration(MarketContext::pricing));
 
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(
        new VanillaInstrument(vanilla, mult*quantity_, additionalInstruments, additionalMultipliers));
 
    notional_ = payoffAmount_;
    notionalCurrency_ = payoffCurrency_; 
    npvCurrency_ = payoffCurrency_;
    maturity_ = std::max(lastPremiumDate, expiryDate);
 
    additionalData_["payoffAmount"] = payoffAmount_;
    additionalData_["payoffCurrency"] = payoffCurrency_;
}

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◆ option()

const OptionData & option ( ) const

Definition at line 52 of file equitydigitaloption.hpp.

52{ return option_; }

◆ strike()

double strike ( ) const

Definition at line 53 of file equitydigitaloption.hpp.

53{ return strike_; }

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◆ payoffCurrency()

const string & payoffCurrency ( ) const

Definition at line 54 of file equitydigitaloption.hpp.

54{ return payoffCurrency_; }

◆ payoffAmount()

double payoffAmount ( ) const

Definition at line 55 of file equitydigitaloption.hpp.

55{ return payoffAmount_; }

◆ quantity()

double quantity ( ) const

Definition at line 56 of file equitydigitaloption.hpp.

56{ return quantity_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 103 of file equitydigitaloption.cpp.

                                               {
    Trade::fromXML(node);
    XMLNode* eqNode = XMLUtils::getChildNode(node, "EquityDigitalOptionData");
    QL_REQUIRE(eqNode, "No EquityDigitalOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(eqNode, "OptionData"));
    strike_ = XMLUtils::getChildValueAsDouble(eqNode, "Strike", true);
    payoffCurrency_ = XMLUtils::getChildValue(eqNode, "PayoffCurrency", true);
    payoffAmount_ = XMLUtils::getChildValueAsDouble(eqNode, "PayoffAmount", true);
    XMLNode* tmp = XMLUtils::getChildNode(eqNode, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(eqNode, "Name");
    equityUnderlying_.fromXML(tmp);
    quantity_ = XMLUtils::getChildValueAsDouble(eqNode, "Quantity", true);
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 118 of file equitydigitaloption.cpp.

                                                          {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* eqNode = doc.allocNode("EquityDigitalOptionData");
    XMLUtils::appendNode(node, eqNode);
 
    XMLUtils::appendNode(eqNode, option_.toXML(doc));
    XMLUtils::addChild(doc, eqNode, "Strike", strike_);
    XMLUtils::addChild(doc, eqNode, "PayoffCurrency", payoffCurrency_);
    XMLUtils::addChild(doc, eqNode, "PayoffAmount", payoffAmount_);
    XMLUtils::appendNode(eqNode, equityUnderlying_.toXML(doc));
    XMLUtils::addChild(doc, eqNode, "Quantity", quantity_);
 
    return node;
}

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Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 65 of file equitydigitaloption.hpp.

◆ strike_

Real strike_

private

Definition at line 66 of file equitydigitaloption.hpp.

◆ payoffCurrency_

string payoffCurrency_

private

Definition at line 67 of file equitydigitaloption.hpp.

◆ payoffAmount_

Real payoffAmount_

private

Definition at line 68 of file equitydigitaloption.hpp.

◆ quantity_

Real quantity_

private

Definition at line 69 of file equitydigitaloption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityDigitalOption() [1/2]

◆ EquityDigitalOption() [2/2]

Member Function Documentation

◆ build()

◆ option()

◆ strike()

◆ payoffCurrency()

◆ payoffAmount()

◆ quantity()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ option_

◆ strike_

◆ payoffCurrency_

◆ payoffAmount_

◆ quantity_