EquityLegBuilder Class Reference

#include <ored/portfolio/legbuilders.hpp>

Inheritance diagram for EquityLegBuilder:

Collaboration diagram for EquityLegBuilder:

Public Member Functions
	EquityLegBuilder ()
Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const override
Public Member Functions inherited from LegBuilder
	LegBuilder (const string &legType)
virtual	~LegBuilder ()
virtual Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const =0
const string &	legType () const

Detailed Description

Definition at line 133 of file legbuilders.hpp.

Constructor & Destructor Documentation

EquityLegBuilder()

EquityLegBuilder

(

)

Definition at line 135 of file legbuilders.hpp.

: LegBuilder("Equity") {}

Member Function Documentation

buildLeg()

Leg buildLeg ( const LegData &  data, const QuantLib::ext::shared_ptr< EngineFactory > &  engineFactory, RequiredFixings &  requiredFixings, const string &  configuration, const QuantLib::Date &  openEndDateReplacement = Null<Date>(), const bool  useXbsCurves = false  ) const

overridevirtual

Implements LegBuilder.

Definition at line 275 of file legbuilders.cpp.

                                                                                                          {
    auto eqData = QuantLib::ext::dynamic_pointer_cast<EquityLegData>(data.concreteLegData());
    QL_REQUIRE(eqData, "Wrong LegType, expected Equity");
    string eqName = eqData->eqName();
    auto eqCurve = *engineFactory->market()->equityCurve(eqName, configuration);
 
    // A little hacky but ensures for a dividend swap the swap value doesn't move equity price
    if (eqData->returnType() == EquityReturnType::Dividend) {
        Real spotVal = eqCurve->equitySpot()->value();
        Handle<Quote> divSpot = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(spotVal));
        eqCurve = eqCurve->clone(divSpot, eqCurve->equityForecastCurve(), eqCurve->equityDividendCurve());
    }
 
    Currency dataCurrency = parseCurrencyWithMinors(data.currency());
    Currency eqCurrency;
    // Set the equity currency if provided
    if (!eqData->eqCurrency().empty())
        eqCurrency = parseCurrencyWithMinors(eqData->eqCurrency());
 
    if (eqCurve->currency().empty()) {
        WLOG("No equity currency set in EquityIndex for equity " << eqCurve->name());
    } else {
        // check if it equity currency not set, use from market else check if it matches what is in market
        if (!eqCurrency.empty())
            QL_REQUIRE(eqCurve->currency() == eqCurrency,
                       "Equity Currency provided does not match currency of Equity Curve");
        else
            eqCurrency = eqCurve->currency();
    }
 
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex = nullptr;
    // if equity currency differs from the leg currency we need an FxIndex
    if (!eqCurrency.empty() && dataCurrency != eqCurrency) {
        QL_REQUIRE(eqData->fxIndex() != "",
                   "No FxIndex - if equity currency differs from leg currency an FxIndex must be provided");
 
        // An extra check, this ensures that the equity currency provided to use in the FX Index, matches that in
        // equity curves in the market, this is required as future cashflows will be in the equity curve currency
        if (!eqCurve->currency().empty() && !eqCurrency.empty()) {
            QL_REQUIRE(eqCurve->currency() == eqCurrency,
                       "Equity Currency provided does not match currency of Equity Curve");
        }
 
        fxIndex = buildFxIndex(eqData->fxIndex(), data.currency(), eqCurrency.code(), engineFactory->market(),
                               configuration, useXbsCurves);
    }
 
    Leg result = makeEquityLeg(data, eqCurve, fxIndex, openEndDateReplacement);
    addToRequiredFixings(result, QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings));
    return result;
}

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