EquityOutperformanceOption Class Reference

Serializable EQ Outperformance Option. More...

#include <ored/portfolio/equityoutperformanceoption.hpp>

Inheritance diagram for EquityOutperformanceOption:

Collaboration diagram for EquityOutperformanceOption:

Public Member Functions
	EquityOutperformanceOption ()
	Default constructor. More...
	EquityOutperformanceOption (Envelope &env, OptionData option, const string &currency, Real notional, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying1, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying2, Real initialPrice1, Real initialPrice2, Real strike, const string &initialPriceCurrency1="", const string &initialPriceCurrency2="", Real knockInPrice=Null< Real >(), Real knockOutPrice=Null< Real >(), string fxIndex1="", string fxIndex2="")
	Constructor. More...
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
Inspectors
const OptionData &	option () const
const string &	currency () const
const std::string &	name1 () const
const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying1 () const
const std::string &	name2 () const
const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying2 () const
const Real &	initialPrice1 () const
const Real &	initialPrice2 () const
const string &	initialPriceCurrency1 () const
const string &	initialPriceCurrency2 () const
const Real &	strikeReturn () const
const Real &	knockInPrice () const
const Real &	knockOutPrice () const
const string &	fxIndex1 () const
const string &	fxIndex2 () 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
OptionData	option_
string	currency_
Real	amount_
QuantLib::ext::shared_ptr< ore::data::Underlying >	underlying1_
QuantLib::ext::shared_ptr< ore::data::Underlying >	underlying2_
Real	initialPrice1_
Real	initialPrice2_
Real	strikeReturn_
Real	knockInPrice_
Real	knockOutPrice_
string	initialPriceCurrency1_ = ""
string	initialPriceCurrency2_ = ""
string	fxIndex1_ = ""
string	fxIndex2_ = ""
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

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 EQ Outperformance Option.

Definition at line 39 of file equityoutperformanceoption.hpp.

Constructor & Destructor Documentation

EquityOutperformanceOption() [1/2]

EquityOutperformanceOption

(

)

Default constructor.

Definition at line 42 of file equityoutperformanceoption.hpp.

: Trade("EquityOutperformanceOption") {}

EquityOutperformanceOption() [2/2]

EquityOutperformanceOption	(	Envelope &	env,
		OptionData	option,
		const string &	currency,
		Real	notional,
		const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying1,
		const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying2,
		Real	initialPrice1,
		Real	initialPrice2,
		Real	strike,
		const string &	initialPriceCurrency1 = "",
		const string &	initialPriceCurrency2 = "",
		Real	knockInPrice = Null<Real>(),
		Real	knockOutPrice = Null<Real>(),
		string	fxIndex1 = "",
		string	fxIndex2 = ""
	)

Constructor.

Definition at line 45 of file equityoutperformanceoption.cpp.

    : Trade("EquityOutperformanceOption", env), option_(option), currency_(currency), amount_(notional), 
        underlying1_(underlying1), underlying2_(underlying2), initialPrice1_(initialPrice1), initialPrice2_(initialPrice2), 
        strikeReturn_(strike), knockInPrice_(knockInPrice), knockOutPrice_(knockOutPrice), initialPriceCurrency1_(initialPriceCurrency1),
        initialPriceCurrency2_(initialPriceCurrency2), fxIndex1_(fxIndex1), fxIndex2_(fxIndex2) {
    }

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 56 of file equityoutperformanceoption.cpp.

                                                                                                {
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    // Only European exercise supported for now
    QL_REQUIRE(option_.style() == "European", "Option Style unknown: " << option_.style());
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of excercise dates");
    Currency ccy = parseCurrency(currency_);
 
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex1 = nullptr;
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex2 = nullptr;
   
    Real initialPrice1 = initialPrice1_;
    if (initialPriceCurrency1_ != "") {
        Currency ccy1 = parseCurrencyWithMinors(initialPriceCurrency1_);
        initialPrice1 = convertMinorToMajorCurrency(initialPriceCurrency1_, initialPrice1_);
        
        auto eqCurve1 = *engineFactory->market()->equityCurve(name1());
        Currency eqCurrency1 = eqCurve1->currency();
        
        // if the initialPrice differs from the equity price
        if (ccy1 != eqCurrency1) {
            QL_REQUIRE(!fxIndex1_.empty(), "FX settlement index must be specified: " << ccy1 << " " << eqCurrency1 << " " << fxIndex1_);
            fxIndex1 = buildFxIndex(fxIndex1_, eqCurrency1.code(), ccy1.code(), engineFactory->market(),
                                    engineFactory->configuration(MarketContext::pricing));
        }
    }
 
    Real initialPrice2 = initialPrice2_;
    if (initialPriceCurrency2_ != "") {
        Currency ccy2 = parseCurrencyWithMinors(initialPriceCurrency2_);
        initialPrice2 = convertMinorToMajorCurrency(initialPriceCurrency2_, initialPrice2_);
 
        auto eqCurve2 = *engineFactory->market()->equityCurve(name2());
        Currency eqCurrency2 = eqCurve2->currency();
        
        // if the initialPrice differs from the equity price
        if (ccy2 != eqCurrency2) {
            QL_REQUIRE(!fxIndex2_.empty(), "FX settlement index must be specified");
            fxIndex2 = buildFxIndex(fxIndex2_, eqCurrency2.code(), ccy2.code(), engineFactory->market(),
                                    engineFactory->configuration(MarketContext::pricing));
        }
    }
 
    Date valuationDate = parseDate(option_.exerciseDates().front());
    QuantLib::ext::shared_ptr<Exercise> exercise;
    exercise = QuantLib::ext::make_shared<EuropeanExercise>(valuationDate);
 
    Option::Type optionType = parseOptionType(option_.callPut());
    QuantLib::ext::shared_ptr<Instrument> inst = QuantLib::ext::make_shared<QuantExt::OutperformanceOption>(exercise, optionType, strikeReturn_, initialPrice1, initialPrice2, amount_, knockInPrice_, knockOutPrice_, fxIndex1, fxIndex2);
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<EquityOutperformanceOptionEngineBuilder> eqOptBuilder = QuantLib::ext::dynamic_pointer_cast<EquityOutperformanceOptionEngineBuilder>(builder);
 
    inst->setPricingEngine(eqOptBuilder->engine(name1(), name2(), ccy));
    setSensitivityTemplate(*eqOptBuilder);
    
    // Add additional premium payments
    Position::Type positionType = parsePositionType(option_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
    Real mult = bsInd;
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    Date lastPremiumDate = addPremiums(additionalInstruments, additionalMultipliers, mult, option_.premiumData(),
                                       -bsInd, ccy, engineFactory, eqOptBuilder->configuration(MarketContext::pricing));
 
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(new VanillaInstrument(inst, mult, additionalInstruments, additionalMultipliers));
    npvCurrency_ = currency_;
    maturity_ = std::max(lastPremiumDate, std::max(maturity_, valuationDate));
    notional_ = amount_;
    notionalCurrency_= currency_;
}

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option()

const OptionData & option

(

)

const

Definition at line 54 of file equityoutperformanceoption.hpp.

{ return option_; }

currency()

const string & currency

(

)

const

Definition at line 55 of file equityoutperformanceoption.hpp.

{ return currency_; }

name1()

const std::string & name1

(

)

const

Definition at line 56 of file equityoutperformanceoption.hpp.

{ return underlying1_->name(); }

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underlying1()

const QuantLib::ext::shared_ptr< ore::data::Underlying > & underlying1

(

)

const

Definition at line 57 of file equityoutperformanceoption.hpp.

{ return underlying1_; }

name2()

const std::string & name2

(

)

const

Definition at line 58 of file equityoutperformanceoption.hpp.

{ return underlying2_->name(); }

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underlying2()

const QuantLib::ext::shared_ptr< ore::data::Underlying > & underlying2

(

)

const

Definition at line 59 of file equityoutperformanceoption.hpp.

{ return underlying2_; }

initialPrice1()

const Real & initialPrice1

(

)

const

Definition at line 61 of file equityoutperformanceoption.hpp.

{ return initialPrice1_; }

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initialPrice2()

const Real & initialPrice2

(

)

const

Definition at line 62 of file equityoutperformanceoption.hpp.

{ return initialPrice2_; }

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initialPriceCurrency1()

const string & initialPriceCurrency1

(

)

const

Definition at line 64 of file equityoutperformanceoption.hpp.

{ return initialPriceCurrency1_; }

initialPriceCurrency2()

const string & initialPriceCurrency2

(

)

const

Definition at line 65 of file equityoutperformanceoption.hpp.

{ return initialPriceCurrency2_; }

strikeReturn()

const Real & strikeReturn

(

)

const

Definition at line 67 of file equityoutperformanceoption.hpp.

{ return strikeReturn_; }

knockInPrice()

const Real & knockInPrice

(

)

const

Definition at line 69 of file equityoutperformanceoption.hpp.

{ return knockInPrice_; }

knockOutPrice()

const Real & knockOutPrice

(

)

const

Definition at line 70 of file equityoutperformanceoption.hpp.

{ return knockOutPrice_; }

fxIndex1()

const string & fxIndex1

(

)

const

Definition at line 72 of file equityoutperformanceoption.hpp.

{ return fxIndex1_; }

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fxIndex2()

const string & fxIndex2

(

)

const

Definition at line 73 of file equityoutperformanceoption.hpp.

{ return fxIndex2_; }

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 131 of file equityoutperformanceoption.cpp.

                                                      {
    Trade::fromXML(node);
    XMLNode* eqNode = XMLUtils::getChildNode(node, "EquityOutperformanceOptionData");
    QL_REQUIRE(eqNode, "No EquityOutperformanceOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(eqNode, "OptionData"));
    knockInPrice_ = Null<Real>();
    if (XMLUtils::getChildNode(eqNode, "KnockInPrice")) {
       knockInPrice_ = XMLUtils::getChildValueAsDouble(eqNode, "KnockInPrice", true);
    }
    knockOutPrice_ = Null<Real>();
    if (XMLUtils::getChildNode(eqNode, "KnockOutPrice")) {
       knockOutPrice_ = XMLUtils::getChildValueAsDouble(eqNode, "KnockOutPrice", true);
    }
 
    currency_ = XMLUtils::getChildValue(eqNode, "Currency", true);
    amount_ = XMLUtils::getChildValueAsDouble(eqNode, "Notional", true);
 
    XMLNode* tmp1 = XMLUtils::getChildNode(eqNode, "Underlying1");
    if (!tmp1)
        tmp1 = XMLUtils::getChildNode(eqNode, "Name1");
    UnderlyingBuilder underlyingBuilder1("Underlying1", "Name1");
    underlyingBuilder1.fromXML(tmp1);
    underlying1_ = underlyingBuilder1.underlying();
 
    XMLNode* fxt1 = XMLUtils::getChildNode(eqNode, "InitialPriceFXTerms1");
    if (fxt1)
        fxIndex1_ = XMLUtils::getChildValue(fxt1, "FXIndex", true);
 
    XMLNode* tmp2 = XMLUtils::getChildNode(eqNode, "Underlying2");
    if (!tmp2)
        tmp2 = XMLUtils::getChildNode(eqNode, "Name2");
    UnderlyingBuilder underlyingBuilder2("Underlying2", "Name2");
    underlyingBuilder2.fromXML(tmp2);
    underlying2_ = underlyingBuilder2.underlying();
 
    XMLNode* fxt2 = XMLUtils::getChildNode(eqNode, "InitialPriceFXTerms2");
    if (fxt2)
        fxIndex2_ = XMLUtils::getChildValue(fxt2, "FXIndex", true);
 
    initialPrice1_ = XMLUtils::getChildValueAsDouble(eqNode, "InitialPrice1", true);
    initialPrice2_ = XMLUtils::getChildValueAsDouble(eqNode, "InitialPrice2", true);
    
    tmp1 = XMLUtils::getChildNode(eqNode, "InitialPriceCurrency1");
    if (tmp1)
        initialPriceCurrency1_ = XMLUtils::getChildValue(eqNode, "InitialPriceCurrency1", true);
    tmp2 = XMLUtils::getChildNode(eqNode, "InitialPriceCurrency2");
    if (tmp2)
        initialPriceCurrency2_ = XMLUtils::getChildValue(eqNode, "InitialPriceCurrency2", true);
    strikeReturn_ = XMLUtils::getChildValueAsDouble(eqNode, "StrikeReturn", true);
 
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 183 of file equityoutperformanceoption.cpp.

                                                                 {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* eqNode = doc.allocNode("EquityOutperformanceOptionData");
    XMLUtils::appendNode(node, eqNode);
    XMLUtils::appendNode(eqNode, option_.toXML(doc));
    
    XMLUtils::addChild(doc, eqNode, "Currency", currency_);
    XMLUtils::addChild(doc, eqNode, "Notional", amount_);
    
    XMLUtils::appendNode(eqNode, underlying1_->toXML(doc));
    XMLUtils::appendNode(eqNode, underlying2_->toXML(doc));
    
    XMLUtils::addChild(doc, eqNode, "InitialPrice1", initialPrice1_);
    XMLUtils::addChild(doc, eqNode, "InitialPrice2", initialPrice2_);
    if (initialPriceCurrency1_ != "")
        XMLUtils::addChild(doc, eqNode, "InitialPriceCurrency1", initialPriceCurrency1_);
    if (initialPriceCurrency2_ != "")
        XMLUtils::addChild(doc, eqNode, "InitialPriceCurrency2", initialPriceCurrency2_);
    XMLUtils::addChild(doc, eqNode, "StrikeReturn", strikeReturn_);
    if (knockInPrice_ !=  Null<Real>())
        XMLUtils::addChild(doc, eqNode, "KnockInPrice", knockInPrice_);
    if (knockOutPrice_ !=  Null<Real>())
        XMLUtils::addChild(doc, eqNode, "KnockOutPrice", knockOutPrice_);
 
    if (fxIndex1_ != "") {
        XMLNode* fxNode = doc.allocNode("InitialPriceFXTerms1");
        XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex1_);
        XMLUtils::appendNode(eqNode, fxNode);
    }
 
    if (fxIndex2_ != "") {
        XMLNode* fxNode = doc.allocNode("InitialPriceFXTerms2");
        XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex2_);
        XMLUtils::appendNode(eqNode, fxNode);
    }
    
    return node;
}

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Member Data Documentation

option_

OptionData option_

private

Definition at line 82 of file equityoutperformanceoption.hpp.

currency_

string currency_

private

Definition at line 83 of file equityoutperformanceoption.hpp.

amount_

Real amount_

private

Definition at line 84 of file equityoutperformanceoption.hpp.

underlying1_

QuantLib::ext::shared_ptr<ore::data::Underlying> underlying1_

private

Definition at line 85 of file equityoutperformanceoption.hpp.

underlying2_

QuantLib::ext::shared_ptr<ore::data::Underlying> underlying2_

private

Definition at line 86 of file equityoutperformanceoption.hpp.

initialPrice1_

Real initialPrice1_

private

Definition at line 87 of file equityoutperformanceoption.hpp.

initialPrice2_

Real initialPrice2_

private

Definition at line 88 of file equityoutperformanceoption.hpp.

strikeReturn_

Real strikeReturn_

private

Definition at line 89 of file equityoutperformanceoption.hpp.

knockInPrice_

Real knockInPrice_

private

Definition at line 90 of file equityoutperformanceoption.hpp.

knockOutPrice_

Real knockOutPrice_

private

Definition at line 91 of file equityoutperformanceoption.hpp.

initialPriceCurrency1_

string initialPriceCurrency1_ = ""

private

Definition at line 92 of file equityoutperformanceoption.hpp.

initialPriceCurrency2_

string initialPriceCurrency2_ = ""

private

Definition at line 93 of file equityoutperformanceoption.hpp.

fxIndex1_

string fxIndex1_ = ""

private

Definition at line 94 of file equityoutperformanceoption.hpp.

fxIndex2_

string fxIndex2_ = ""

private

Definition at line 95 of file equityoutperformanceoption.hpp.