EquityForward Class Reference

Serializable Equity Forward contract. More...

#include <ored/portfolio/equityforward.hpp>

Inheritance diagram for EquityForward:

Collaboration diagram for EquityForward:

Public Member Functions
	EquityForward ()
	EquityForward (Envelope &env, string longShort, EquityUnderlying equityUnderlying, string currency, QuantLib::Real quantity, string maturityDate, QuantLib::Real strike, string strikeCurrency="")
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Equity names. More...
string	longShort ()
const string &	eqName () const
string	currency ()
double	quantity ()
string	maturityDate ()
double	strike ()
string	strikeCurrency ()
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
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...

Private Attributes
string	longShort_
EquityUnderlying	equityUnderlying_
string	currency_
QuantLib::Real	quantity_
string	maturityDate_
QuantLib::Real	strike_
string	strikeCurrency_

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 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 Equity Forward contract.

Definition at line 38 of file equityforward.hpp.

Constructor & Destructor Documentation

EquityForward() [1/2]

EquityForward

(

)

Definition at line 40 of file equityforward.hpp.

: Trade("EquityForward"), quantity_(0.0), strike_(0.0) {}

EquityForward() [2/2]

EquityForward	(	Envelope &	env,
		string	longShort,
		EquityUnderlying	equityUnderlying,
		string	currency,
		QuantLib::Real	quantity,
		string	maturityDate,
		QuantLib::Real	strike,
		string	strikeCurrency = ""
	)

Definition at line 41 of file equityforward.hpp.

        : Trade("EquityForward", env), longShort_(longShort), equityUnderlying_(equityUnderlying), currency_(currency),
          quantity_(quantity), maturityDate_(maturityDate), strike_(strike), strikeCurrency_(strikeCurrency) {}

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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 39 of file equityforward.cpp.

                                                                                   {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Forward");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");
 
    additionalData_["strikeCurrency"] = strikeCurrency_;
    additionalData_["quantity"] = quantity_;
 
    Currency ccy = parseCurrencyWithMinors(currency_);
 
    // convert strike to the major currency if needed
    Real strike;
    if (!strikeCurrency_.empty()) {
        strike = convertMinorToMajorCurrency(strikeCurrency_, strike_);
        // ensure strike currency matches equity currency
    } else {        
        WLOG("No Strike Currency provide for trade " << id() << ", assuming trade currency " << ccy);
        strike = convertMinorToMajorCurrency(currency_, strike_);
    }
    additionalData_["strike"] = strike;
 
    QuantLib::Position::Type longShort = parsePositionType(longShort_);
    Date maturity = parseDate(maturityDate_);
 
    string name = eqName();
    additionalData_["underlyingSecurityId"] = name;
 
    QuantLib::ext::shared_ptr<Instrument> inst =
        QuantLib::ext::make_shared<QuantExt::EquityForward>(name, ccy, longShort, quantity_, maturity, strike);
 
    // set up other Trade details
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(new VanillaInstrument(inst));
    npvCurrency_ = ccy.code();
    maturity_ = maturity;
    // Notional - we really need todays spot to get the correct notional.
    // But rather than having it move around we use strike * quantity
    notional_ = strike * quantity_;
    notionalCurrency_ = ccy.code();
 
    // We check the ccys here at the end of the build to ensure that the rest of the build above
    // (which does not require the market) runs first
 
    // get the equity currency from the market
    Currency equityCcy = engineFactory->market()->equityCurve(eqName())->currency();
 
    // ensure forward currency matches the equity currency
    QL_REQUIRE(!equityCcy.empty(), "No equity currency in equityCurve for equity " << eqName());
    QL_REQUIRE(ccy == equityCcy, "EquityForward currency " << ccy << " does not match equity currency " << equityCcy << " for trade " << id());
    
    if (!strikeCurrency_.empty()) {
        Currency strikeCcy = parseCurrencyWithMinors(strikeCurrency_);
        QL_REQUIRE(strikeCcy == equityCcy, "Strike currency " << ccy << " does not match equity currency " << equityCcy << " for trade " << id());
    }
 
    // Pricing engine
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<EquityForwardEngineBuilder> eqFwdBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityForwardEngineBuilder>(builder);
    inst->setPricingEngine(eqFwdBuilder->engine(name, ccy));
    setSensitivityTemplate(*eqFwdBuilder);
}

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underlyingIndices()

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

overridevirtual

Add underlying Equity names.

Reimplemented from Trade.

Definition at line 139 of file equityforward.cpp.

                                                                                                              {
    return {{AssetClass::EQ, std::set<std::string>({eqName()})}};
}

longShort()

string longShort

(

)

Definition at line 52 of file equityforward.hpp.

{ return longShort_; }

eqName()

const string & eqName

(

)

const

Definition at line 53 of file equityforward.hpp.

{ return equityUnderlying_.name(); }

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currency()

string currency

(

)

Definition at line 54 of file equityforward.hpp.

{ return currency_; }

quantity()

double quantity

(

)

Definition at line 55 of file equityforward.hpp.

{ return quantity_; }

maturityDate()

string maturityDate

(

)

Definition at line 56 of file equityforward.hpp.

{ return maturityDate_; }

strike()

double strike

(

)

Definition at line 57 of file equityforward.hpp.

{ return strike_; }

strikeCurrency()

string strikeCurrency

(

)

Definition at line 58 of file equityforward.hpp.

{ return strikeCurrency_; }

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 106 of file equityforward.cpp.

                                         {
    Trade::fromXML(node);
    XMLNode* eNode = XMLUtils::getChildNode(node, "EquityForwardData");
 
    longShort_ = XMLUtils::getChildValue(eNode, "LongShort", true);
    maturityDate_ = XMLUtils::getChildValue(eNode, "Maturity", true);
    XMLNode* tmp = XMLUtils::getChildNode(eNode, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(eNode, "Name");
    equityUnderlying_.fromXML(tmp);
    currency_ = XMLUtils::getChildValue(eNode, "Currency", true);
    strike_ = XMLUtils::getChildValueAsDouble(eNode, "Strike", true);
    strikeCurrency_ = XMLUtils::getChildValue(eNode, "StrikeCurrency", false);
    quantity_ = XMLUtils::getChildValueAsDouble(eNode, "Quantity", true);
}

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 122 of file equityforward.cpp.

                                                    {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* eNode = doc.allocNode("EquityForwardData");
    XMLUtils::appendNode(node, eNode);
 
    XMLUtils::addChild(doc, eNode, "LongShort", longShort_);
    XMLUtils::addChild(doc, eNode, "Maturity", maturityDate_);
    XMLUtils::appendNode(eNode, equityUnderlying_.toXML(doc));
    XMLUtils::addChild(doc, eNode, "Currency", currency_);
    XMLUtils::addChild(doc, eNode, "Strike", strike_);
    if (!strikeCurrency_.empty())
        XMLUtils::addChild(doc, eNode, "StrikeCurrency", strikeCurrency_);
    XMLUtils::addChild(doc, eNode, "Quantity", quantity_);
    return node;
}

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Member Data Documentation

longShort_

string longShort_

private

Definition at line 64 of file equityforward.hpp.

equityUnderlying_

EquityUnderlying equityUnderlying_

private

Definition at line 65 of file equityforward.hpp.

currency_

string currency_

private

Definition at line 66 of file equityforward.hpp.

quantity_

QuantLib::Real quantity_

private

Definition at line 67 of file equityforward.hpp.

maturityDate_

string maturityDate_

private

Definition at line 68 of file equityforward.hpp.

strike_

QuantLib::Real strike_

private

Definition at line 69 of file equityforward.hpp.

strikeCurrency_

string strikeCurrency_

private

Definition at line 70 of file equityforward.hpp.