EquityEuropeanBarrierOption Class Reference

Serializable EQ European Barrier Option. More...

#include <ored/portfolio/equityeuropeanbarrieroption.hpp>

Inheritance diagram for EquityEuropeanBarrierOption:

Collaboration diagram for EquityEuropeanBarrierOption:

Public Member Functions
	EquityEuropeanBarrierOption ()
	Default constructor. More...
	EquityEuropeanBarrierOption (Envelope &env, OptionData option, BarrierData barrier, EquityUnderlying equityUnderlying, string currency, TradeStrike strike, double quantity)
	Constructor. More...
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
Inspectors
const BarrierData &	barrier () const
Public Member Functions inherited from EquityOption
	EquityOption ()
	Default constructor. More...
	EquityOption (Envelope &env, OptionData option, EquityUnderlying equityUnderlying, string currency, QuantLib::Real quantity, TradeStrike tradeStrike)
	Constructor. More...
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Equity names. More...
const string &	equityName () const
const string &	strikeCurrency () const
Public Member Functions inherited from VanillaOptionTrade
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
void	setNotionalAndCurrencies ()
const OptionData &	option () const
const string &	asset () const
const string &	currency () const
TradeStrike	strike () const
double	quantity () const
const QuantLib::Date	forwardDate () const
const QuantLib::Date	paymentDate () 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
BarrierData	barrier_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from VanillaOptionTrade
	VanillaOptionTrade (AssetClass assetClassUnderlying)
	VanillaOptionTrade (const Envelope &env, AssetClass assetClassUnderlying, OptionData option, string assetName, string currency, double quantity, TradeStrike strike, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="", QuantLib::Date forwardDate=QuantLib::Date())
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 EquityOption
EquityUnderlying	equityUnderlying_
string	strikeCurrency_
Protected Attributes inherited from VanillaOptionTrade
AssetClass	assetClassUnderlying_
OptionData	option_
string	assetName_
string	currency_
Currency	underlyingCurrency_
double	quantity_
TradeStrike	strike_
QuantLib::ext::shared_ptr< QuantLib::Index >	index_
	An index is needed if the option is to be automatically exercised on expiry. More...
std::string	indexName_
	Hold the external index name if needed e.g. in the case of an FX index. More...
QuantLib::Date	expiryDate_
	Store the option expiry date. More...
QuantLib::Date	forwardDate_
	Store the (optional) forward date. More...
QuantLib::Date	paymentDate_
	Store the (optional) payment date. More...
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 European Barrier Option.

Definition at line 39 of file equityeuropeanbarrieroption.hpp.

Constructor & Destructor Documentation

EquityEuropeanBarrierOption() [1/2]

EquityEuropeanBarrierOption

(

)

Default constructor.

Definition at line 42 of file equityeuropeanbarrieroption.hpp.

: EquityOption() {}

EquityEuropeanBarrierOption() [2/2]

EquityEuropeanBarrierOption	(	Envelope &	env,
		OptionData	option,
		BarrierData	barrier,
		EquityUnderlying	equityUnderlying,
		string	currency,
		TradeStrike	strike,
		double	quantity
	)

Constructor.

Definition at line 44 of file equityeuropeanbarrieroption.hpp.

        : EquityOption(env, option, equityUnderlying, currency, quantity, strike), barrier_(barrier) {}

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 38 of file equityeuropeanbarrieroption.cpp.

                                                                                                 {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Other");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    // Only European Single Barrier 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(barrier_.levels().size() == 1, "Invalid number of barrier levels");
    QL_REQUIRE(barrier_.style().empty() || barrier_.style() == "European", "Only european barrier style suppported");
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxEuropeanBarrierOption");
 
    assetName_ = equityName();
 
    Currency ccy = parseCurrencyWithMinors(currency_);
    // Set the strike currency - if we have a minor currency, convert the strike
    if (!strikeCurrency_.empty())
        strike_.setCurrency(strikeCurrency_);
    else if (strike_.currency().empty())
        strike_.setCurrency(currency_);
 
    Real level = barrier_.levels()[0].value();
    Real rebate = barrier_.rebate() / quantity_;
    QL_REQUIRE(rebate >= 0, "Rebate must be non-negative");
    
    Option::Type type = parseOptionType(option_.callPut());
 
    // Exercise
    Date expiryDate = parseDate(option_.exerciseDates().front());
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
 
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
 
    // Payoff - European Option with strike K
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoffVanillaK(new PlainVanillaPayoff(type, strike_.value()));
    // Payoff - European Option with strike B
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoffVanillaB(new PlainVanillaPayoff(type, level));
    // Payoff - Digital Option with barrier B payoff abs(B - K)
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoffDigital(new CashOrNothingPayoff(type, level, fabs(level - strike_.value())));
 
    QuantLib::ext::shared_ptr<Instrument> digital = QuantLib::ext::make_shared<VanillaOption>(payoffDigital, exercise);
    QuantLib::ext::shared_ptr<Instrument> vanillaK = QuantLib::ext::make_shared<VanillaOption>(payoffVanillaK, exercise);
    QuantLib::ext::shared_ptr<Instrument> vanillaB = QuantLib::ext::make_shared<VanillaOption>(payoffVanillaB, exercise);
 
    QuantLib::ext::shared_ptr<StrikedTypePayoff> rebatePayoff;
    if (barrierType == Barrier::Type::UpIn || barrierType == Barrier::Type::DownOut) {
        // Payoff - Up&Out / Down&In Digital Option with barrier B payoff rebate
        rebatePayoff = QuantLib::ext::make_shared<CashOrNothingPayoff>(Option::Put, level, rebate);
    } else if (barrierType == Barrier::Type::UpOut || barrierType == Barrier::Type::DownIn) {
        // Payoff - Up&In / Down&Out Digital Option with barrier B payoff rebate
        rebatePayoff = QuantLib::ext::make_shared<CashOrNothingPayoff>(Option::Call, level, rebate);
    }
    QuantLib::ext::shared_ptr<Instrument> rebateInstrument = QuantLib::ext::make_shared<VanillaOption>(rebatePayoff, exercise);
 
    // set pricing engines
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("EquityOption");
    QL_REQUIRE(builder, "No builder found for EquityOption");
    QuantLib::ext::shared_ptr<EquityEuropeanOptionEngineBuilder> eqOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityEuropeanOptionEngineBuilder>(builder);
 
    builder = engineFactory->builder("EquityDigitalOption");
    QL_REQUIRE(builder, "No builder found for EquityDigitalOption");
    QuantLib::ext::shared_ptr<EquityDigitalOptionEngineBuilder> eqDigitalOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityDigitalOptionEngineBuilder>(builder);
 
    digital->setPricingEngine(eqDigitalOptBuilder->engine(assetName_, ccy));
    vanillaK->setPricingEngine(eqOptBuilder->engine(assetName_, ccy, expiryDate));
    vanillaB->setPricingEngine(eqOptBuilder->engine(assetName_, ccy, expiryDate));
    rebateInstrument->setPricingEngine(eqDigitalOptBuilder->engine(assetName_, ccy));
    setSensitivityTemplate(*eqDigitalOptBuilder);
 
    QuantLib::ext::shared_ptr<CompositeInstrument> qlInstrument = QuantLib::ext::make_shared<CompositeInstrument>();
    qlInstrument->add(rebateInstrument);
    if (type == Option::Call) {
        if (barrierType == Barrier::Type::UpIn || barrierType == Barrier::Type::DownOut) {
            if (level > strike_.value()) {
                qlInstrument->add(vanillaB);
                qlInstrument->add(digital);
            } else {
                qlInstrument->add(vanillaK);
            }
        } else if (barrierType == Barrier::Type::UpOut || barrierType == Barrier::Type::DownIn) {
            if (level > strike_.value()) {
                qlInstrument->add(vanillaK);
                qlInstrument->add(vanillaB, -1);
                qlInstrument->add(digital, -1);
            } else {
                // empty
            }
        } else {
            QL_FAIL("Unknown Barrier Type: " << barrierType);
        }
    } else if (type == Option::Put) {
        if (barrierType == Barrier::Type::UpIn || barrierType == Barrier::Type::DownOut) {
            if (level > strike_.value()) {
                // empty
            } else {
                qlInstrument->add(vanillaK);
                qlInstrument->add(vanillaB, -1);
                qlInstrument->add(digital, -1);
            }
        } else if (barrierType == Barrier::Type::UpOut || barrierType == Barrier::Type::DownIn) {
            if (level > strike_.value()) {
                qlInstrument->add(vanillaK);
            } else {
                qlInstrument->add(vanillaB);
                qlInstrument->add(digital);
            }
        } else {
            QL_FAIL("Unknown Barrier Type: " << barrierType);
        }
    }
 
    // Add additional premium payments
    Position::Type positionType = parsePositionType(option_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    Date lastPremiumDate =
        addPremiums(additionalInstruments, additionalMultipliers, quantity_ * bsInd, option_.premiumData(), -bsInd, ccy,
                    engineFactory, eqOptBuilder->configuration(MarketContext::pricing));
 
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(
        new VanillaInstrument(qlInstrument, quantity_ * bsInd, additionalInstruments, additionalMultipliers));
 
    npvCurrency_ = ccy.code(); 
    notional_ = strike_.value() * quantity_; 
    notionalCurrency_ = strike_.currency(); 
    maturity_ = std::max(lastPremiumDate, expiryDate);
 
    additionalData_["quantity"] = quantity_;
    additionalData_["strike"] = strike_.value();
    additionalData_["strikeCurrency"] = strike_.currency();
}

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barrier()

const BarrierData & barrier

(

)

const

Definition at line 53 of file equityeuropeanbarrieroption.hpp.

{ return barrier_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from EquityOption.

Definition at line 180 of file equityeuropeanbarrieroption.cpp.

                                                       {
    Trade::fromXML(node);
    XMLNode* eqNode = XMLUtils::getChildNode(node, "EquityEuropeanBarrierOptionData");
    QL_REQUIRE(eqNode, "No EquityEuropeanBarrierOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(eqNode, "OptionData"));
    XMLNode* tmp = XMLUtils::getChildNode(eqNode, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(eqNode, "Name");
    equityUnderlying_.fromXML(tmp);
    currency_ = XMLUtils::getChildValue(eqNode, "Currency", true);
    
    strike_.fromXML(eqNode);
    strikeCurrency_ = XMLUtils::getChildValue(eqNode, "StrikeCurrency", false);
    if (!strikeCurrency_.empty())
        WLOG("EquityOption::fromXML: node StrikeCurrency is deprecated, please us StrikeData node");
 
    barrier_.fromXML(XMLUtils::getChildNode(eqNode, "BarrierData"));
    quantity_ = XMLUtils::getChildValueAsDouble(eqNode, "Quantity", true);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from EquityOption.

Definition at line 200 of file equityeuropeanbarrieroption.cpp.

                                                                  {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* eqNode = doc.allocNode("EquityEuropeanBarrierOptionData");
    XMLUtils::appendNode(node, eqNode);
 
    XMLUtils::appendNode(eqNode, option_.toXML(doc));
    XMLUtils::appendNode(eqNode, barrier_.toXML(doc));
    XMLUtils::appendNode(eqNode, equityUnderlying_.toXML(doc));
    XMLUtils::addChild(doc, eqNode, "Currency", currency_);
    XMLUtils::appendNode(eqNode, strike_.toXML(doc));
    if (!strikeCurrency_.empty())
        XMLUtils::addChild(doc, eqNode, "StrikeCurrency", strikeCurrency_);
 
    XMLUtils::addChild(doc, eqNode, "Quantity", quantity_);
 
    return node;
}

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Member Data Documentation

barrier_

BarrierData barrier_

private

Definition at line 62 of file equityeuropeanbarrieroption.hpp.