EquitySwap Class Reference

Serializable Equity Swap contract. More...

#include <ored/portfolio/equityswap.hpp>

Inheritance diagram for EquitySwap:

Collaboration diagram for EquitySwap:

Public Member Functions
	EquitySwap ()
	Default constructor. More...
	EquitySwap (const Envelope &env, const vector< LegData > &legData)
	Constructor with vector of LegData. More...
	EquitySwap (const Envelope &env, const LegData &leg0, const LegData &leg1)
	Constructor with two legs. More...
void	checkEquitySwap (const vector< LegData > &legData)
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Trade interface. More...
void	setIsdaTaxonomyFields () override
QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...
std::string	notionalCurrency () const override
Public Member Functions inherited from Swap
	Swap (const string swapType="Swap")
	Default constructor. More...
	Swap (const Envelope &env, const string swapType="Swap")
	Swap (const Envelope &env, const vector< LegData > &legData, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with vector of LegData. More...
	Swap (const Envelope &env, const LegData &leg0, const LegData &leg1, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with two legs. More...
virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
virtual void	setIsdaTaxonomyFields ()
QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...
std::string	notionalCurrency () const override
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying index names. More...
const string &	settlement () const
	Settlement Type can be set to "Cash" for NDF. Default value is "Physical". More...
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
const vector< LegData > &	legData () const
const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built More...
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
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...
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
Size	equityLegIndex_
Size	irLegIndex_

Additional Inherited Members
Protected Member Functions inherited from Swap
virtual QuantLib::ext::shared_ptr< LegData >	createLegData () const
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 Swap
vector< LegData >	legData_
string	settlement_
bool	isXCCY_ = false
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 Swap contract.

Definition at line 37 of file equityswap.hpp.

Constructor & Destructor Documentation

EquitySwap() [1/3]

EquitySwap

(

)

Default constructor.

Definition at line 40 of file equityswap.hpp.

: Swap("EquitySwap") {}

EquitySwap() [2/3]

EquitySwap	(	const Envelope &	env,
		const vector< LegData > &	legData
	)

Constructor with vector of LegData.

Definition at line 28 of file equityswap.cpp.

: Swap(env, legData, "EquitySwap") {}

EquitySwap() [3/3]

EquitySwap	(	const Envelope &	env,
		const LegData &	leg0,
		const LegData &	leg1
	)

Constructor with two legs.

Definition at line 30 of file equityswap.cpp.

    : Swap(env, leg0, leg1, "EquitySwap") {}

Member Function Documentation

checkEquitySwap()

void checkEquitySwap

(

const vector< LegData > &

legData

)

Definition at line 33 of file equityswap.cpp.

                                                               {
    // An Equity Swap must have 2 legs - 1 an Equity Leg and the other an IR Leg either Fixed or Floating
    equityLegIndex_ = Null<Size>();
    irLegIndex_ = Null<Size>();
    for (Size i = 0; i < legData.size(); ++i) {
        if (legData[i].legType() == "Equity") {
            equityLegIndex_ = i;
        } else {
            irLegIndex_ = i;
        }
    }
    QL_REQUIRE((legData.size() == 2) && equityLegIndex_ != Null<Size>() && irLegIndex_ != Null<Size>(),
               "An Equity Swap must have 2 legs, an Equity Leg and an IR Leg - Trade: " + id());
}

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build()

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

overridevirtual

Trade interface.

Reimplemented from Swap.

Definition at line 48 of file equityswap.cpp.

                                                                                {
 
    DLOG("EquitySwap::build() called for " << id());
 
    checkEquitySwap(legData_);
 
    QL_REQUIRE(equityLegIndex_ < legData_.size(), "equityLegIndex (" << equityLegIndex_
                                                                     << ") out of range, legData has size "
                                                                     << legData_.size() << ", this is unexpected");
    QL_REQUIRE(irLegIndex_ < legData_.size(), "equityLegIndex (" << irLegIndex_ << ") out of range, legData has size "
                                                                 << legData_.size() << ", this is unexpected");
 
    // 1 add indexing data from the equity leg, if this is desired
 
    auto eqLegData = QuantLib::ext::dynamic_pointer_cast<EquityLegData>(legData_[equityLegIndex_].concreteLegData());
    QL_REQUIRE(eqLegData, "could not cast to EquityLegData for equity leg in equity swap, this is unexpected");
 
    if (legData_[irLegIndex_].indexingFromAssetLeg() && eqLegData->notionalReset()) {
        DLOG("adding indexing information from equity leg to funding leg");
 
        // build valuation schedule
        std::vector<string> valuationDates;
        auto legBuilder = engineFactory->legBuilder(legData_[equityLegIndex_].legType());
        RequiredFixings dummy;
        Leg tmpEqLeg = legBuilder->buildLeg(legData_[equityLegIndex_], engineFactory, dummy,
                                            engineFactory->configuration(MarketContext::pricing));
        for (Size i = 0; i < tmpEqLeg.size(); ++i) {
            auto eqCpn = QuantLib::ext::dynamic_pointer_cast<QuantExt::EquityCoupon>(tmpEqLeg[i]);
            QL_REQUIRE(eqCpn, "EquitySwap::build(): expected EquityCoupon on equity leg, this is unexpected");
            valuationDates.push_back(ore::data::to_string(eqCpn->fixingStartDate()));
            if (i == tmpEqLeg.size() - 1)
                valuationDates.push_back(ore::data::to_string(eqCpn->fixingEndDate()));
        }
        ScheduleData valuationSchedule(ScheduleDates("", "", "", valuationDates, ""));
 
        // add equity indexing
        QL_REQUIRE(eqLegData->quantity() != Null<Real>(),
                   "indexing can only be added to funding leg, if quantity is given on equity leg");
        Indexing eqIndexing("EQ-" + eqLegData->eqName(), "", false, false, false, eqLegData->quantity(),
                            eqLegData->initialPrice(), Null<Real>(), valuationSchedule, 0, "", "U", false);
        legData_[irLegIndex_].indexing().push_back(eqIndexing);
 
        // add fx indexing, if applicable
        if (!eqLegData->fxIndex().empty()) {
            Real initialFxFixing = Null<Real>();
            // if the eq leg has an initial price and this is in the eq leg currency, we do not want an FX conversion
            // for this price
            if (!eqLegData->initialPriceCurrency().empty() &&
                eqLegData->initialPriceCurrency() == legData_[equityLegIndex_].currency() &&
                eqLegData->initialPrice() != Null<Real>())
                initialFxFixing = 1.0;
            Indexing fxIndexing(eqLegData->fxIndex(), "", false, false, false, 1.0, initialFxFixing, Null<Real>(),
                                valuationSchedule, 0, "", "U", false);
            legData_[irLegIndex_].indexing().push_back(fxIndexing);
        }
 
        // set notional node to 1.0
        legData_[irLegIndex_].notionals() = std::vector<Real>(1, 1.0);
        legData_[irLegIndex_].notionalDates() = std::vector<std::string>();
 
        // reset flag that told us to pull the indexing information from the equity leg
        legData_[irLegIndex_].indexingFromAssetLeg() = false;
    }
 
    // just underlying security; notionals and currencies are covered by the Swap class already
    additionalData_["underlyingSecurityId"] = eqLegData->eqName();
 
    // 2 now build the swap using the updated leg data
 
    Swap::build(engineFactory);
}

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setIsdaTaxonomyFields()

void setIsdaTaxonomyFields ( )

overridevirtual

Reimplemented from Swap.

Definition at line 120 of file equityswap.cpp.

                                       {
    Swap::setIsdaTaxonomyFields();
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Swap");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");
}

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notional()

QuantLib::Real notional ( ) const

overridevirtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

Definition at line 131 of file equityswap.cpp.

                                        {
    Date asof = Settings::instance().evaluationDate();
    for (auto const& c : legs_[equityLegIndex_]) {
        if (auto cpn = QuantLib::ext::dynamic_pointer_cast<QuantExt::EquityCoupon>(c)) {
            if (c->date() > asof)
                return cpn->nominal();
        }
    }
    ALOG("Error retrieving current notional for equity swap " << id() << " as of " << io::iso_date(asof));
    return Null<Real>();
}

notionalCurrency()

std::string notionalCurrency ( ) const

overridevirtual

Reimplemented from Trade.

Definition at line 143 of file equityswap.cpp.

                                             {
    // try to get the notional ccy from the additional results of the instrument
    if (legCurrencies_.size() > equityLegIndex_)
        return legCurrencies_[equityLegIndex_];
    else
        return Swap::notionalCurrency();
}

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Member Data Documentation

equityLegIndex_

Size equityLegIndex_

private

Definition at line 57 of file equityswap.hpp.

irLegIndex_

Size irLegIndex_

private

Definition at line 57 of file equityswap.hpp.