#include <ored/portfolio/barrieroption.hpp>

Inheritance diagram for EquityOptionWithBarrier:

Collaboration diagram for EquityOptionWithBarrier:

Public Member Functions
	EquityOptionWithBarrier (const std::string &tradeType)
	Default constructor. More...

	EquityOptionWithBarrier (const std::string &tradeType, ore::data::Envelope &env, ore::data::OptionData option, BarrierData barrier, QuantLib::Date startDate, std::string calendar, const EquityUnderlying &equity, QuantLib::Currency currency, QuantLib::Real quantity, TradeStrike strike)
	Constructor. More...

Inspectors
QuantLib::Real	quantity () const

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

Public Member Functions inherited from EquitySingleAssetDerivative
const string &	equityName () 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...

Public Member Functions inherited from BarrierOption
	BarrierOption ()
	Constructor. More...

	BarrierOption (ore::data::OptionData option, BarrierData barrier, QuantLib::Date startDate=QuantLib::Date(), const std::string &calendar=std::string())

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

virtual void	checkBarriers ()=0
	check validity of barriers More...

virtual QuantLib::ext::shared_ptr< QuantLib::Index >	getIndex ()=0

virtual const QuantLib::Real	strike ()=0

virtual QuantLib::Real	tradeMultiplier ()=0

virtual Currency	tradeCurrency ()=0

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	vanillaPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate)=0

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	barrierPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate)=0

virtual const QuantLib::Handle< QuantLib::Quote > &	spotQuote ()=0

virtual void	additionalFromXml (ore::data::XMLNode *node)=0

virtual void	additionalToXml (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const =0

virtual std::string	indexFixingName ()=0

const ore::data::OptionData &	option () const

const BarrierData &	barrier () const

const QuantLib::Date &	startDate () const

const QuantLib::Calendar &	calendar () const

Serialisation
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	eqIndex_

QuantLib::Currency	currency_

std::string	currencyStr_

QuantLib::Real	quantity_

TradeStrike	tradeStrike_

void	additionalFromXml (ore::data::XMLNode *node) override

void	additionalToXml (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const override

QuantLib::ext::shared_ptr< QuantLib::Index >	getIndex () override

const QuantLib::Real	strike () override

QuantLib::Real	tradeMultiplier () override

Currency	tradeCurrency () override

const QuantLib::Handle< QuantLib::Quote > &	spotQuote () override

std::string	indexFixingName () override

void	fromXML (ore::data::XMLNode *node) override

ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from EquitySingleAssetDerivative
	EquitySingleAssetDerivative (const std::string &tradeType)

	EquitySingleAssetDerivative (const std::string &tradeType, ore::data::Envelope &env, const EquityUnderlying &equityUnderlying)

Protected Member Functions inherited from EquityDerivative
	EquityDerivative (const std::string &tradeType)

	EquityDerivative (const std::string &tradeType, ore::data::Envelope &env)

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 EquitySingleAssetDerivative
EquityUnderlying	equityUnderlying_

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_

Protected Attributes inherited from BarrierOption
std::string	calendarStr_

Detailed Description

Definition at line 149 of file barrieroption.hpp.

Constructor & Destructor Documentation

◆ EquityOptionWithBarrier() [1/2]

EquityOptionWithBarrier ( const std::string & tradeType )

Default constructor.

Definition at line 152 of file barrieroption.hpp.

153 : ore::data::Trade(tradeType), EquitySingleAssetDerivative(tradeType), quantity_(0.0) {}

ore::data::EquityOptionWithBarrier::quantity_

QuantLib::Real quantity_

Definition: barrieroption.hpp:189

ore::data::EquitySingleAssetDerivative::EquitySingleAssetDerivative

EquitySingleAssetDerivative(const std::string &tradeType)

Definition: equityderivative.hpp:41

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ EquityOptionWithBarrier() [2/2]

EquityOptionWithBarrier	(	const std::string &	tradeType,
		ore::data::Envelope &	env,
		ore::data::OptionData	option,
		BarrierData	barrier,
		QuantLib::Date	startDate,
		std::string	calendar,
		const EquityUnderlying &	equity,
		QuantLib::Currency	currency,
		QuantLib::Real	quantity,
		TradeStrike	strike
	)

Constructor.

Definition at line 156 of file barrieroption.hpp.

        : ore::data::Trade(tradeType, env), EquitySingleAssetDerivative(tradeType, env, equity),
          BarrierOption(option, barrier, startDate, calendar), currency_(currency), quantity_(quantity),
           tradeStrike_(strike) {}

Member Function Documentation

◆ quantity()

QuantLib::Real quantity ( ) const

Definition at line 165 of file barrieroption.hpp.

165{ return quantity_; }

◆ build()

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

override

Definition at line 256 of file barrieroption.cpp.

                                                                                         {
 
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Option");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");  
    additionalData_["isdaTransaction"] = string("");  
 
    additionalData_["quantity"] = quantity_;
    additionalData_["strike"] = tradeStrike_.value();
    additionalData_["strikeCurrency"] = tradeStrike_.currency();
 
    QuantLib::Date expiryDate = parseDate(option().exerciseDates().front());
    maturity_ = std::max(option().premiumData().latestPremiumDate(), expiryDate);
 
    if (tradeStrike_.currency().empty())
        tradeStrike_.setCurrency(currencyStr_);
 
    npvCurrency_ = currency_.code();
 
    // Notional - we really need todays spot to get the correct notional.
    // But rather than having it move around we use strike * quantity
    notional_ = tradeStrike_.value() * quantity_;
    notionalCurrency_ = parseCurrencyWithMinors(tradeStrike_.currency()).code();
 
    eqIndex_ = ef->market()->equityCurve(equityName()).currentLink();
 
    BarrierOption::build(ef);
}

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◆ additionalFromXml()

void additionalFromXml ( ore::data::XMLNode * node )

overridevirtual

Implements BarrierOption.

Definition at line 285 of file barrieroption.cpp.

                                                             {
    XMLNode* tmp = XMLUtils::getChildNode(node, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(node, "Name");
    equityUnderlying_.fromXML(tmp);
    currencyStr_ = XMLUtils::getChildValue(node, "Currency", true);
    currency_ = parseCurrencyWithMinors(currencyStr_);
    tradeStrike_.fromXML(node);
    quantity_ = XMLUtils::getChildValueAsDouble(node, "Quantity", true);
}

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◆ additionalToXml()

void additionalToXml	(	ore::data::XMLDocument &	doc,
		ore::data::XMLNode *	node
	)		const

overridevirtual

Implements BarrierOption.

Definition at line 296 of file barrieroption.cpp.

                                                                                   {
    XMLUtils::appendNode(node, equityUnderlying_.toXML(doc));
    XMLUtils::appendNode(node, tradeStrike_.toXML(doc));
    XMLUtils::addChild(doc, node, "Currency", currencyStr_);
    XMLUtils::addChild(doc, node, "Quantity", quantity_);
}

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◆ getIndex()

QuantLib::ext::shared_ptr< QuantLib::Index > getIndex ( )

overridevirtual

Implements BarrierOption.

Definition at line 175 of file barrieroption.hpp.

175{ return QuantLib::ext::dynamic_pointer_cast<Index>(eqIndex_); }

◆ strike()

const QuantLib::Real strike ( )

overridevirtual

Implements BarrierOption.

Definition at line 176 of file barrieroption.hpp.

176{ return tradeStrike_.value(); }

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◆ tradeMultiplier()

QuantLib::Real tradeMultiplier ( )

overridevirtual

Implements BarrierOption.

Definition at line 177 of file barrieroption.hpp.

177{ return quantity_; }

◆ tradeCurrency()

Currency tradeCurrency ( )

overridevirtual

Implements BarrierOption.

Definition at line 178 of file barrieroption.hpp.

178{ return currency_; }

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◆ spotQuote()

const QuantLib::Handle< QuantLib::Quote > & spotQuote ( )

overridevirtual

Implements BarrierOption.

Definition at line 179 of file barrieroption.hpp.

179{ return eqIndex_->equitySpot(); }

◆ indexFixingName()

std::string indexFixingName ( )

overridevirtual

Implements BarrierOption.

Definition at line 180 of file barrieroption.hpp.

180{ return "EQ-" + eqIndex_->name(); };

◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Reimplemented from BarrierOption.

Definition at line 182 of file barrieroption.hpp.

182{ BarrierOption::fromXML(node); }

ore::data::BarrierOption::fromXML

void fromXML(ore::data::XMLNode *node) override

Definition: barrieroption.cpp:176

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◆ toXML()

ore::data::XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Reimplemented from BarrierOption.

Definition at line 183 of file barrieroption.hpp.

183{ return BarrierOption::toXML(doc); }

ore::data::BarrierOption::toXML

ore::data::XMLNode * toXML(ore::data::XMLDocument &doc) const override

Definition: barrieroption.cpp:189

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Member Data Documentation

◆ eqIndex_

QuantLib::ext::shared_ptr<QuantExt::EquityIndex2> eqIndex_

private

Definition at line 186 of file barrieroption.hpp.

◆ currency_

QuantLib::Currency currency_

private

Definition at line 187 of file barrieroption.hpp.

◆ currencyStr_

std::string currencyStr_

private

Definition at line 188 of file barrieroption.hpp.

◆ quantity_

QuantLib::Real quantity_

private

Definition at line 189 of file barrieroption.hpp.

◆ tradeStrike_

TradeStrike tradeStrike_

private

Definition at line 190 of file barrieroption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityOptionWithBarrier() [1/2]

◆ EquityOptionWithBarrier() [2/2]

Member Function Documentation

◆ quantity()

◆ build()

◆ additionalFromXml()

◆ additionalToXml()

◆ getIndex()

◆ strike()

◆ tradeMultiplier()

◆ tradeCurrency()

◆ spotQuote()

◆ indexFixingName()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ eqIndex_

◆ currency_

◆ currencyStr_

◆ quantity_

◆ tradeStrike_