Serializable Equity Double Barrier Option. More...

#include <ored/portfolio/equitydoublebarrieroption.hpp>

Inheritance diagram for EquityDoubleBarrierOption:

Collaboration diagram for EquityDoubleBarrierOption:

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

	EquityDoubleBarrierOption (Envelope &env, OptionData option, BarrierData barrier, QuantLib::Date startDate, std::string calendar, EquityUnderlying equityUnderlying, QuantLib::Currency currency, QuantLib::Real quantity, TradeStrike strike)
	Constructor. More...

void	checkBarriers () override
	check validity of barriers More...

QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	vanillaPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate=QuantLib::Date()) override
	create the pricing engines More...

QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	barrierPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate=Date()) override

Public Member Functions inherited from EquityOptionWithBarrier
	EquityOptionWithBarrier (const std::string &tradeType)
	Default constructor. More...

	EquityOptionWithBarrier (const std::string &tradeType, ore::data::Envelope &env, ore::data::OptionData option, BarrierData barrier, QuantLib::Date startDate, std::string calendar, const EquityUnderlying &equity, QuantLib::Currency currency, QuantLib::Real quantity, TradeStrike strike)
	Constructor. More...

QuantLib::Real	quantity () const

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

void	additionalFromXml (ore::data::XMLNode *node) override

void	additionalToXml (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const override

QuantLib::ext::shared_ptr< QuantLib::Index >	getIndex () override

const QuantLib::Real	strike () override

QuantLib::Real	tradeMultiplier () override

Currency	tradeCurrency () override

const QuantLib::Handle< QuantLib::Quote > &	spotQuote () override

std::string	indexFixingName () override

void	fromXML (ore::data::XMLNode *node) override

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

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...

Public Member Functions inherited from BarrierOption
	BarrierOption ()
	Constructor. More...

	BarrierOption (ore::data::OptionData option, BarrierData barrier, QuantLib::Date startDate=QuantLib::Date(), const std::string &calendar=std::string())

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

virtual void	checkBarriers ()=0
	check validity of barriers More...

virtual QuantLib::ext::shared_ptr< QuantLib::Index >	getIndex ()=0

virtual const QuantLib::Real	strike ()=0

virtual QuantLib::Real	tradeMultiplier ()=0

virtual Currency	tradeCurrency ()=0

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	vanillaPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate)=0

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	barrierPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate)=0

virtual const QuantLib::Handle< QuantLib::Quote > &	spotQuote ()=0

virtual void	additionalFromXml (ore::data::XMLNode *node)=0

virtual void	additionalToXml (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const =0

virtual std::string	indexFixingName ()=0

const ore::data::OptionData &	option () const

const BarrierData &	barrier () const

const QuantLib::Date &	startDate () const

const QuantLib::Calendar &	calendar () const

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_

Protected Attributes inherited from BarrierOption
std::string	calendarStr_

Detailed Description

Serializable Equity Double Barrier Option.

Definition at line 38 of file equitydoublebarrieroption.hpp.

Constructor & Destructor Documentation

◆ EquityDoubleBarrierOption() [1/2]

EquityDoubleBarrierOption ( )

Default constructor.

Definition at line 41 of file equitydoublebarrieroption.hpp.

41: ore::data::Trade("EquityDoubleBarrierOption"), EquityOptionWithBarrier("") {}

ore::data::EquityOptionWithBarrier::EquityOptionWithBarrier

EquityOptionWithBarrier(const std::string &tradeType)

Default constructor.

Definition: barrieroption.hpp:152

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ EquityDoubleBarrierOption() [2/2]

EquityDoubleBarrierOption	(	Envelope &	env,
		OptionData	option,
		BarrierData	barrier,
		QuantLib::Date	startDate,
		std::string	calendar,
		EquityUnderlying	equityUnderlying,
		QuantLib::Currency	currency,
		QuantLib::Real	quantity,
		TradeStrike	strike
	)

Constructor.

Definition at line 43 of file equitydoublebarrieroption.hpp.

        : ore::data::Trade("EquityDoubleBarrierOption", env),
          EquityOptionWithBarrier("", env, option, barrier, startDate, calendar, equityUnderlying, currency,
                                  quantity, strike) {}

Member Function Documentation

◆ checkBarriers()

void checkBarriers ( )

overridevirtual

check validity of barriers

Implements BarrierOption.

Definition at line 24 of file equitydoublebarrieroption.cpp.

                                              {
    QL_REQUIRE(barrier().levels().size() == 2, "Invalid number of barrier levels. Must have two.");
    QL_REQUIRE(barrier().style().empty() || barrier().style() == "American", "Only American barrier style supported");
}

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◆ vanillaPricingEngine()

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > vanillaPricingEngine	(	const QuantLib::ext::shared_ptr< EngineFactory > &	ef,
		const QuantLib::Date &	expiryDate,
		const QuantLib::Date &	paymentDate = `QuantLib::Date()`
	)

overridevirtual

create the pricing engines

Implements BarrierOption.

Definition at line 30 of file equitydoublebarrieroption.cpp.

                                                                                                                   {
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder = ef->builder("EquityOption");
    QL_REQUIRE(builder, "No builder found for EquityOption");
 
    QuantLib::ext::shared_ptr<EquityEuropeanOptionEngineBuilder> eqOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityEuropeanOptionEngineBuilder>(builder);
    QL_REQUIRE(eqOptBuilder, "No eqOptBuilder found");
 
    setSensitivityTemplate(*eqOptBuilder);
 
    return eqOptBuilder->engine(equityName(), tradeCurrency(), expiryDate);
}

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◆ barrierPricingEngine()

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > barrierPricingEngine	(	const QuantLib::ext::shared_ptr< EngineFactory > &	ef,
		const QuantLib::Date &	expiryDate,
		const QuantLib::Date &	paymentDate = `Date()`
	)

overridevirtual

Implements BarrierOption.

Definition at line 46 of file equitydoublebarrieroption.cpp.

                                                                                                                   {
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder = ef->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
 
    QuantLib::ext::shared_ptr<EquityDoubleBarrierOptionEngineBuilder> eqBarrierOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityDoubleBarrierOptionEngineBuilder>(builder);
    QL_REQUIRE(eqBarrierOptBuilder, "No eqBarrierOptBuilder found");
 
    setSensitivityTemplate(*eqBarrierOptBuilder);
 
    return eqBarrierOptBuilder->engine(equityName(), tradeCurrency(), expiryDate);
}

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Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityDoubleBarrierOption() [1/2]

◆ EquityDoubleBarrierOption() [2/2]

Member Function Documentation

◆ checkBarriers()

◆ vanillaPricingEngine()

◆ barrierPricingEngine()