Serializable Equity Option Position. More...

#include <ored/portfolio/equityoptionposition.hpp>

Inheritance diagram for EquityOptionPosition:

Collaboration diagram for EquityOptionPosition:

Public Member Functions
	EquityOptionPosition ()

	EquityOptionPosition (const Envelope &env, const EquityOptionPositionData &data)

void	build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &) override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

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

const EquityOptionPositionData &	data () const

const std::vector< QuantLib::ext::shared_ptr< QuantLib::VanillaOption > > &	options () const

const std::vector< Real > &	positions () const

const std::vector< std::string > &	currencies () const

const std::vector< QuantLib::ext::shared_ptr< QuantExt::GenericIndex > >	historicalPriceIndices ()

const std::vector< Real > &	weights () const

bool	isSingleCurrency () const

void	setNpvCurrencyConversion (const std::string &ccy, const Handle< Quote > &conversion)

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
EquityOptionPositionData	data_

std::vector< QuantLib::ext::shared_ptr< QuantLib::VanillaOption > >	options_

std::vector< QuantLib::ext::shared_ptr< QuantExt::GenericIndex > >	indices_

std::vector< Real >	positions_

std::vector< std::string >	currencies_

std::vector< Real >	weights_

std::vector< Handle< Quote > >	fxConversion_

bool	isSingleCurrency_

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 Option Position.

Definition at line 77 of file equityoptionposition.hpp.

Constructor & Destructor Documentation

◆ EquityOptionPosition() [1/2]

EquityOptionPosition ( )

Definition at line 79 of file equityoptionposition.hpp.

79: Trade("EquityOptionPosition") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ EquityOptionPosition() [2/2]

EquityOptionPosition	(	const Envelope &	env,
		const EquityOptionPositionData &	data
	)

Definition at line 80 of file equityoptionposition.hpp.

81 : Trade("EquityOptionPosition", env), data_(data) {}

ore::data::EquityOptionPosition::data_

EquityOptionPositionData data_

Definition: equityoptionposition.hpp:110

ore::data::EquityOptionPosition::data

const EquityOptionPositionData & data() const

Definition: equityoptionposition.hpp:91

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< ore::data::EngineFactory > & engineFactory )

override

Definition at line 67 of file equityoptionposition.cpp.

                                                                                                 {
 
    // ISDA taxonomy: not a derivative, but define the asset class at least
    // so that we can determine a TRS asset class that has an EQ position underlying
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    DLOG("EquityOptionPosition::build() called for " << id());
    QL_REQUIRE(!data_.underlyings().empty(), "EquityOptionPosition::build(): no underlyings given");
    options_.clear();
    indices_.clear();
    weights_.clear();
    positions_.clear();
    currencies_.clear();
    fxConversion_.clear();
 
    setSensitivityTemplate(std::string()); // default, will usually be overwritten below
 
    for (auto const& u : data_.underlyings()) {
 
        // get equity, populate weight, currency
 
        auto eq = *engineFactory->market()->equityCurve(u.underlying().name(),
                                                        engineFactory->configuration(MarketContext::pricing));
        weights_.push_back(u.underlying().weight());
        QL_REQUIRE(!eq->currency().empty(),
                   "did not get currency for equity name '" << u.underlying().name() << "', is this set up?");
        currencies_.push_back(eq->currency().code());
        QuantLib::Position::Type pos = parsePositionType(u.optionData().longShort());
        Real posInd = (pos == QuantLib::Position::Long ? 1.0 : -1.0);
        positions_.push_back(posInd);
 
        // build vanilla option and attach engine
 
        Option::Type optionType = parseOptionType(u.optionData().callPut());
        QuantLib::Exercise::Type exerciseType = parseExerciseType(u.optionData().style());
        QL_REQUIRE(u.optionData().exerciseDates().size() == 1, "Invalid number of exercise dates");
        Date optionExpiry = parseDate(u.optionData().exerciseDates().front());
        QuantLib::ext::shared_ptr<Exercise> exercise;
        switch (exerciseType) {
        case QuantLib::Exercise::Type::European: {
            exercise = QuantLib::ext::make_shared<EuropeanExercise>(optionExpiry);
            break;
        }
        case QuantLib::Exercise::Type::American: {
            exercise = QuantLib::ext::make_shared<AmericanExercise>(optionExpiry, u.optionData().payoffAtExpiry());
            break;
        }
        default:
            QL_FAIL("Option Style " << u.optionData().style() << " is not supported");
        }
        options_.push_back(QuantLib::ext::make_shared<VanillaOption>(
            QuantLib::ext::make_shared<PlainVanillaPayoff>(optionType, u.strike()), exercise));
        if (!options_.back()->isExpired()) {
            std::string tradeTypeBuilder =
                (exerciseType == QuantLib::Exercise::Type::European ? "EquityOption" : "EquityOptionAmerican");
            QuantLib::ext::shared_ptr<VanillaOptionEngineBuilder> builder =
                QuantLib::ext::dynamic_pointer_cast<VanillaOptionEngineBuilder>(engineFactory->builder(tradeTypeBuilder));
            QL_REQUIRE(builder, "EquityOptionPosition::build(): no engine builder for '" << tradeTypeBuilder << "'");
            options_.back()->setPricingEngine(builder->engine(u.underlying().name(), eq->currency(), optionExpiry));
            setSensitivityTemplate(*builder);
        }
 
        // populate index for historical prices
 
        // ensure the strike appears as 2400.2 (i.e. with decimal places as necessary)
        std::ostringstream strikeStr;
        strikeStr << u.strike();
 
        string underlyingName = u.underlying().name();
        if (engineFactory->referenceData() && engineFactory->referenceData()->hasData("Equity", underlyingName)) {
            const auto& underlyingRef = engineFactory->referenceData()->getData("Equity", underlyingName);
            if (auto equityRef = QuantLib::ext::dynamic_pointer_cast<EquityReferenceDatum>(underlyingRef))
                underlyingName = equityRef->equityData().equityId;
        }
        indices_.push_back(QuantLib::ext::make_shared<QuantExt::GenericIndex>(
            "GENERIC-MD/EQUITY_OPTION/PRICE/" + underlyingName + "/" + eq->currency().code() + "/" +
            ore::data::to_string(optionExpiry) + "/" + strikeStr.str() + "/" +
            (optionType == Option::Call ? "C" : "P"), optionExpiry));
    }
 
    // get fx quotes
 
    isSingleCurrency_ = true;
    npvCurrency_ = currencies_.front();
    for (auto const& c : currencies_) {
        // we use fxSpot() as opposed to fxRate() here to ensure consistency between NPV() and the fixing of an
        // equivalent index representing the same basket
        fxConversion_.push_back(
            engineFactory->market()->fxSpot(c + npvCurrency_, engineFactory->configuration(MarketContext::pricing)));
        if (npvCurrency_ != c)
            isSingleCurrency_ = false;
    }
 
    // set instrument
    auto qlInstr =
        QuantLib::ext::make_shared<EquityOptionPositionInstrumentWrapper>(data_.quantity(), options_, weights_, positions_, fxConversion_);
    qlInstr->setPricingEngine(QuantLib::ext::make_shared<EquityOptionPositionInstrumentWrapperEngine>());
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(qlInstr);
 
    // no sensible way to set these members
    maturity_ = Date::maxDate();
    notional_ = Null<Real>();
    notionalCurrency_ = "";
 
    // leave legs empty
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 183 of file equityoptionposition.cpp.

                                                {
    Trade::fromXML(node);
    data_.fromXML(XMLUtils::getChildNode(node, "EquityOptionPositionData"));
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 188 of file equityoptionposition.cpp.

                                                           {
    XMLNode* node = Trade::toXML(doc);
    XMLUtils::appendNode(node, data_.toXML(doc));
    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

Reimplemented from Trade.

Definition at line 195 of file equityoptionposition.cpp.

                                                                                                                     {
    std::map<AssetClass, std::set<std::string>> result;
    for (auto const& u : data_.underlyings()) {
        result[AssetClass::EQ].insert(u.underlying().name());
    }
    return result;
}

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◆ data()

const EquityOptionPositionData & data ( ) const

Definition at line 91 of file equityoptionposition.hpp.

91{ return data_; }

◆ options()

const std::vector< QuantLib::ext::shared_ptr< QuantLib::VanillaOption > > & options ( ) const

Definition at line 93 of file equityoptionposition.hpp.

93{ return options_; }

◆ positions()

const std::vector< Real > & positions ( ) const

Definition at line 99 of file equityoptionposition.hpp.

99{ return positions_; }

◆ currencies()

const std::vector< std::string > & currencies ( ) const

Definition at line 100 of file equityoptionposition.hpp.

100{ return currencies_; }

◆ historicalPriceIndices()

const std::vector< QuantLib::ext::shared_ptr< QuantExt::GenericIndex > > historicalPriceIndices ( )

Definition at line 101 of file equityoptionposition.hpp.

101{ return indices_; }

◆ weights()

const std::vector< Real > & weights ( ) const

Definition at line 102 of file equityoptionposition.hpp.

102{ return weights_; }

◆ isSingleCurrency()

bool isSingleCurrency ( ) const

Definition at line 103 of file equityoptionposition.hpp.

103{ return isSingleCurrency_; }

◆ setNpvCurrencyConversion()

void setNpvCurrencyConversion	(	const std::string &	ccy,
		const Handle< Quote > &	conversion
	)

we allow to set the npv currency to a different currency than the default npv currency = first asset's currency; in this case a conversion rate from the default to the new currency has to be provided

Definition at line 177 of file equityoptionposition.cpp.

                                                                                                         {
    npvCurrency_ = ccy;
    QuantLib::ext::static_pointer_cast<EquityOptionPositionInstrumentWrapper>(instrument_->qlInstrument())
        ->setNpvCurrencyConversion(conversion);
}

Member Data Documentation

◆ data_

EquityOptionPositionData data_

private

Definition at line 110 of file equityoptionposition.hpp.

◆ options_

std::vector<QuantLib::ext::shared_ptr<QuantLib::VanillaOption> > options_

private

Definition at line 112 of file equityoptionposition.hpp.

◆ indices_

std::vector<QuantLib::ext::shared_ptr<QuantExt::GenericIndex> > indices_

private

Definition at line 113 of file equityoptionposition.hpp.

◆ positions_

std::vector<Real> positions_

private

Definition at line 114 of file equityoptionposition.hpp.

◆ currencies_

std::vector<std::string> currencies_

private

Definition at line 115 of file equityoptionposition.hpp.

◆ weights_

std::vector<Real> weights_

private

Definition at line 116 of file equityoptionposition.hpp.

◆ fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 117 of file equityoptionposition.hpp.

◆ isSingleCurrency_

bool isSingleCurrency_

private

Definition at line 118 of file equityoptionposition.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityOptionPosition() [1/2]

◆ EquityOptionPosition() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

◆ data()

◆ options()

◆ positions()

◆ currencies()

◆ historicalPriceIndices()

◆ weights()

◆ isSingleCurrency()

◆ setNpvCurrencyConversion()

Member Data Documentation

◆ data_

◆ options_

◆ indices_

◆ positions_

◆ currencies_

◆ weights_

◆ fxConversion_

◆ isSingleCurrency_