Serializable EQ Futures Option. More...

#include <ored/portfolio/equityfuturesoption.hpp>

Inheritance diagram for EquityFutureOption:

Collaboration diagram for EquityFutureOption:

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

	EquityFutureOption (Envelope &env, OptionData option, const string &currency, Real quantity, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, TradeStrike strike, QuantLib::Date forwardDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="")
	Constructor. More...

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

Inspectors
const std::string &	name () const

const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying () 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
QuantLib::ext::shared_ptr< ore::data::Underlying >	underlying_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Equity names. More...

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 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 Futures Option.

Definition at line 38 of file equityfuturesoption.hpp.

Constructor & Destructor Documentation

◆ EquityFutureOption() [1/2]

EquityFutureOption ( )

Default constructor.

Definition at line 42 of file equityfuturesoption.hpp.

42: VanillaOptionTrade(AssetClass::EQ) { tradeType_ = "EquityFutureOption"; }

ore::data::Trade::tradeType_

string tradeType_

Definition: trade.hpp:196

ore::data::VanillaOptionTrade::VanillaOptionTrade

VanillaOptionTrade(AssetClass assetClassUnderlying)

Definition: vanillaoption.hpp:57

ore::data::AssetClass::EQ

@ EQ

◆ EquityFutureOption() [2/2]

EquityFutureOption	(	Envelope &	env,
		OptionData	option,
		const string &	currency,
		Real	quantity,
		const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying,
		TradeStrike	strike,
		QuantLib::Date	forwardDate,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	index = `nullptr`,
		const std::string &	indexName = `""`
	)

Constructor.

Definition at line 33 of file equityfuturesoption.cpp.

    : VanillaOptionTrade(env, AssetClass::EQ, option, underlying->name(), currency, quantity, strike, index, indexName,
                         forwardDate),
      underlying_(underlying) {
    tradeType_ = "EquityFutureOption";
}

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 43 of file equityfuturesoption.cpp.

                                                                                        {
    QL_REQUIRE(quantity_ > 0, "Equity futures option requires a positive quantity");
    assetName_ = name();
    // FIXME: use index once implemented
    // const QuantLib::ext::shared_ptr<Market>& market = engineFactory->market();
    // Handle<PriceTermStructure> priceCurve =
    //    market->equityPriceCurve(underlying_->name(), engineFactory->configuration(MarketContext::pricing));
    // index_ = QuantLib::ext::make_shared<EquityFuturesIndex>(underlying_->name(), forwardDate, NullCalendar(), priceCurve);
 
    // FIXME: we set the automatic exercise to false until the Equity Futures Index is implemented
 
    QuantLib::Exercise::Type exerciseType = parseExerciseType(option_.style());
    QL_REQUIRE(exerciseType == Exercise::European, "only european option currently supported");
    option_.setAutomaticExercise(false);
    VanillaOptionTrade::build(engineFactory);
}

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◆ name()

const std::string & name ( ) const

Definition at line 53 of file equityfuturesoption.hpp.

53{ return underlying_->name(); }

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◆ underlying()

const QuantLib::ext::shared_ptr< ore::data::Underlying > & underlying ( ) const

Definition at line 54 of file equityfuturesoption.hpp.

54{ return underlying_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 60 of file equityfuturesoption.cpp.

                                              {
    Trade::fromXML(node);
    XMLNode* eqNode = XMLUtils::getChildNode(node, "EquityFutureOptionData");
    QL_REQUIRE(eqNode, "No EquityFutureOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(eqNode, "OptionData"));
    currency_ = XMLUtils::getChildValue(eqNode, "Currency", true);
    quantity_ = XMLUtils::getChildValueAsDouble(eqNode, "Quantity", true);
 
    XMLNode* tmp = XMLUtils::getChildNode(eqNode, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(eqNode, "Name");
    UnderlyingBuilder underlyingBuilder("Underlying", "Name");
    underlyingBuilder.fromXML(tmp);
    underlying_ = underlyingBuilder.underlying();
 
    strike_.fromXML(eqNode);
 
    forwardDate_ = parseDate(XMLUtils::getChildValue(eqNode, "FutureExpiryDate", true));
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 80 of file equityfuturesoption.cpp.

                                                         {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* eqNode = doc.allocNode("EquityFutureOptionData");
    XMLUtils::appendNode(node, eqNode);
    XMLUtils::appendNode(eqNode, option_.toXML(doc));
 
    XMLUtils::addChild(doc, eqNode, "Currency", currency_);
    XMLUtils::addChild(doc, eqNode, "Quantity", quantity_);
 
    XMLUtils::appendNode(eqNode, underlying_->toXML(doc));
 
    XMLUtils::appendNode(eqNode, strike_.toXML(doc));
    XMLUtils::addChild(doc, eqNode, "FutureExpiryDate", to_string(forwardDate_));
 
    return node;
}

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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 98 of file equityfuturesoption.cpp.

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

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Member Data Documentation

◆ underlying_

QuantLib::ext::shared_ptr<ore::data::Underlying> underlying_

private

Definition at line 68 of file equityfuturesoption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityFutureOption() [1/2]

◆ EquityFutureOption() [2/2]

Member Function Documentation

◆ build()

◆ name()

◆ underlying()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

Member Data Documentation

◆ underlying_