EquityOption Class Reference

Serializable Equity Option. More...

#include <ored/portfolio/equityoption.hpp>

Inheritance diagram for EquityOption:

Collaboration diagram for EquityOption:

Public Member Functions
	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...
Inspectors
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
EquityUnderlying	equityUnderlying_
string	strikeCurrency_
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 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 Equity Option.

Definition at line 38 of file equityoption.hpp.

Constructor & Destructor Documentation

EquityOption() [1/2]

EquityOption

(

)

Default constructor.

Definition at line 41 of file equityoption.hpp.

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

EquityOption() [2/2]

EquityOption	(	Envelope &	env,
		OptionData	option,
		EquityUnderlying	equityUnderlying,
		string	currency,
		QuantLib::Real	quantity,
		TradeStrike	tradeStrike
	)

Constructor.

Definition at line 43 of file equityoption.hpp.

        : VanillaOptionTrade(env, AssetClass::EQ, option, equityUnderlying.name(), currency, quantity, tradeStrike),
          equityUnderlying_(equityUnderlying) {
        tradeType_ = "EquityOption";
    }

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 37 of file equityoption.cpp.

                                                                                  {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Option");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");
 
    additionalData_["quantity"] = quantity_;
    additionalData_["strike"] = strike_.value();
    additionalData_["strikeCurrency"] = strike_.currency();
 
    // Set the assetName_ as it may have changed after lookup
    assetName_ = equityName();
 
    Currency ccy = parseCurrencyWithMinors(currency_);
    npvCurrency_ = notionalCurrency_ = ccy.code();
 
    // Notional - we really need todays spot to get the correct notional.
    // But rather than having it move around we use strike * quantity
    notional_ = strike_.value() * quantity_;
 
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    expiryDate_ = parseDate(option_.exerciseDates().front());
    // Set the maturity date equal to the expiry date. It may get updated below if option is cash settled with
    // payment after expiry.
    maturity_ = expiryDate_;
 
    // Populate the index_ in case the option is automatic exercise.
    const QuantLib::ext::shared_ptr<Market>& market = engineFactory->market();
    index_ = *market->equityCurve(assetName_, engineFactory->configuration(MarketContext::pricing));
 
    // check the equity currency
    underlyingCurrency_ =
        market->equityCurve(assetName_, engineFactory->configuration(MarketContext::pricing))->currency();
    QL_REQUIRE(!underlyingCurrency_.empty(), "No equity currency in equityCurve for equity " << assetName_ << ".");
        
    // Set the strike currency - if we have a minor currency, convert the strike
    if (!strikeCurrency_.empty())
        strike_.setCurrency(strikeCurrency_);
    else if (strike_.currency().empty()) {
        // If payoff currency and underlying currency are equivalent (and payoff currency could be a minor currency)
        if (ccy == underlyingCurrency_) {
            TLOG("Setting strike currency to payoff currency " << ccy << " for trade " << id() << ".");
            strike_.setCurrency(ccy.code());
        } else {
            // If quanto payoff, then strike currency must be populated to avoid confusion over what the
            // currency of the strike payoff is: can be either underlying currency or payoff currency
            QL_FAIL("Strike currency must be specified for a quanto payoff for trade " << id() << ".");
        }
    }
    // Quanto payoff condition, i.e. currency_ != underlyingCurrency_, will be checked in VanillaOptionTrade::build()
    // Build the trade using the shared functionality in the base class.
    if (strike_.currency() != underlyingCurrency_.code()) {
   
        // We have a composite EQ Trade
 
        Currency strikeCcy = parseCurrencyWithMinors(strikeCurrency_);
        QL_REQUIRE(ccy == strikeCcy, "Equity composite option requires pay ccy ("
                                         << ccy.code() << ") to match strike ccy (" << strikeCcy.code()
                                         << "), quanto composite options are not supported (underlying currency is "
                                         << underlyingCurrency_.code() << ")");
 
        // Exercise
        QuantLib::Exercise::Type exerciseType = parseExerciseType(option_.style());
        QuantLib::ext::shared_ptr<Exercise> exercise;
        switch (exerciseType) {
        case QuantLib::Exercise::Type::European: {
            exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate_);
            break;
        }
        default:
            QL_FAIL("Option Style " << option_.style() << " is not supported for an composite equity option");
        }
        Settlement::Type settlementType = parseSettlementType(option_.settlement());
        // Create the instrument and then populate the name for the engine builder.
        QuantLib::ext::shared_ptr<Instrument> vanilla;
        if (exerciseType == Exercise::European && settlementType == Settlement::Cash) {
            // We have a European cash settled option.
 
            // Get the payment date.
            const boost::optional<OptionPaymentData>& opd = option_.paymentData();
            Date paymentDate = expiryDate_;
            if (opd) {
                if (opd->rulesBased()) {
                    const Calendar& cal = opd->calendar();
                    QL_REQUIRE(cal != Calendar(), "Need a non-empty calendar for rules based payment date.");
                    paymentDate = cal.advance(expiryDate_, opd->lag(), Days, opd->convention());
                } else {
                    const vector<Date>& dates = opd->dates();
                    QL_REQUIRE(dates.size() == 1, "Need exactly one payment date for cash settled European option.");
                    paymentDate = dates[0];
                }
                QL_REQUIRE(paymentDate >= expiryDate_, "Payment date must be greater than or equal to expiry date.");
            }
 
            QL_REQUIRE(paymentDate <= expiryDate_,
                       "Payment date must equal expiry date for a Composite payoff. Trade: " << id() << ".");
        }
        QL_REQUIRE(forwardDate_ ==
                    QuantLib::Date(), "Composite payoff is not currently supported for Forward Options: Trade "
                        << id());
        Option::Type type = parseOptionType(option_.callPut());
        QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type, strike_.value()));
        vanilla = QuantLib::ext::make_shared<QuantLib::VanillaOption>(payoff, exercise);
 
        string tradeTypeBuilder = "EquityEuropeanCompositeOption";
 
        QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeTypeBuilder);
        QL_REQUIRE(builder, "No builder found for " << tradeTypeBuilder);
 
        // TODO cast and set pricing engine
 
        auto compositeBuilder = QuantLib::ext::dynamic_pointer_cast<EquityEuropeanCompositeEngineBuilder>(builder);
        vanilla->setPricingEngine(compositeBuilder->engine(assetName_, underlyingCurrency_, 
            parseCurrency(strike_.currency()), expiryDate_));
        setSensitivityTemplate(*compositeBuilder);
 
        string configuration = Market::defaultConfiguration;
        Position::Type positionType = parsePositionType(option_.longShort());
        Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
        Real mult = quantity_ * bsInd;
 
        std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
        std::vector<Real> additionalMultipliers;
        maturity_ =
            std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, mult, option_.premiumData(),
                                            -bsInd, ccy, engineFactory, configuration));
 
        instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(
            new VanillaInstrument(vanilla, mult, additionalInstruments, additionalMultipliers));
 
    } else {
        VanillaOptionTrade::build(engineFactory);
    }
}

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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 211 of file equityoption.cpp.

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

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equityName()

const string & equityName

(

)

const

Definition at line 59 of file equityoption.hpp.

{ return equityUnderlying_.name(); }

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strikeCurrency()

const string & strikeCurrency

(

)

const

Definition at line 60 of file equityoption.hpp.

{ return strikeCurrency_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Reimplemented in EquityEuropeanBarrierOption.

Definition at line 175 of file equityoption.cpp.

                                        {
    VanillaOptionTrade::fromXML(node);
    XMLNode* eqNode = XMLUtils::getChildNode(node, "EquityOptionData");
    QL_REQUIRE(eqNode, "No EquityOptionData 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 use StrikeData node");
    quantity_ = XMLUtils::getChildValueAsDouble(eqNode, "Quantity", true);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Reimplemented in EquityEuropeanBarrierOption.

Definition at line 193 of file equityoption.cpp.

                                                   {
    XMLNode* node = VanillaOptionTrade::toXML(doc);
    XMLNode* eqNode = doc.allocNode("EquityOptionData");
    XMLUtils::appendNode(node, eqNode);
 
    XMLUtils::appendNode(eqNode, option_.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

equityUnderlying_

EquityUnderlying equityUnderlying_

protected

Definition at line 70 of file equityoption.hpp.

strikeCurrency_

string strikeCurrency_

protected

Definition at line 71 of file equityoption.hpp.