Serializable EQ One-Touch/No-Touch Option. More...

#include <ored/portfolio/equitytouchoption.hpp>

Inheritance diagram for EquityTouchOption:

Collaboration diagram for EquityTouchOption:

Public Member Functions
	EquityTouchOption ()
	Default constructor. More...

	EquityTouchOption (Envelope &env, OptionData option, BarrierData barrier, const EquityUnderlying &equityUnderlying, string payoffCurrency, double payoffAmount, string startDate="", string calendar="", string eqIndex="")
	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 BarrierData &	barrier () const

double	payoffAmount () const

const string &	type () const

const string &	payoffCurrency () const

const string &	startDate () const

const string &	calendar () const

const string &	eqIndex () const

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...

Serialisation
OptionData	option_

BarrierData	barrier_

string	startDate_

string	calendar_

string	eqIndex_

Real	payoffAmount_

string	type_

string	payoffCurrency_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

bool	checkBarrier (Real spot, Barrier::Type type, Real level)

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_

Detailed Description

Serializable EQ One-Touch/No-Touch Option.

Definition at line 36 of file equitytouchoption.hpp.

Constructor & Destructor Documentation

◆ EquityTouchOption() [1/2]

EquityTouchOption ( )

Default constructor.

Definition at line 39 of file equitytouchoption.hpp.

40 : ore::data::Trade("EquityTouchOption"), EquitySingleAssetDerivative("") {}

ore::data::EquitySingleAssetDerivative::EquitySingleAssetDerivative

EquitySingleAssetDerivative(const std::string &tradeType)

Definition: equityderivative.hpp:41

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ EquityTouchOption() [2/2]

EquityTouchOption	(	Envelope &	env,
		OptionData	option,
		BarrierData	barrier,
		const EquityUnderlying &	equityUnderlying,
		string	payoffCurrency,
		double	payoffAmount,
		string	startDate = `""`,
		string	calendar = `""`,
		string	eqIndex = `""`
	)

Constructor.

Definition at line 39 of file equitytouchoption.cpp.

    : ore::data::Trade("EquityTouchOption", env),
      EquitySingleAssetDerivative("", env, equityUnderlying), option_(option), barrier_(barrier),
      startDate_(startDate), calendar_(calendar), eqIndex_(eqIndex), payoffAmount_(payoffAmount),
      payoffCurrency_(payoffCurrency) {
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
    switch (barrierType) {
    case Barrier::DownIn:
    case Barrier::UpIn:
        type_ = "One-Touch";
        break;
    case Barrier::DownOut:
    case Barrier::UpOut:
        type_ = "No-Touch";
        break;
    default:
        QL_FAIL("unknown barrier type");
    }
}

Here is the call graph for this function:

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 61 of file equitytouchoption.cpp.

                                                                                       {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Equity");
    additionalData_["isdaBaseProduct"] = string("Other");
    additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");
 
    Date today = Settings::instance().evaluationDate();
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    // Parse trade data
    string assetName = equityName();
    Currency ccy = parseCurrency(payoffCurrency_);
    Real level = barrier_.levels()[0].value();
    Date expiryDate = parseDate(option_.exerciseDates().front());
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
    Option::Type type;
    if (barrierType == Barrier::DownIn || barrierType == Barrier::DownOut)
        type = Option::Type::Put;
    else
        type = Option::Type::Call;
    bool payoffAtExpiry = option_.payoffAtExpiry();
    Real rebate = barrier_.rebate();
    Position::Type positionType = parsePositionType(option_.longShort());
    Date start = ore::data::parseDate(startDate_);
 
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for EquityOption");
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    QL_REQUIRE(barrier_.levels().size() == 1, "Double barriers not supported for EquityTouchOptions");
    QL_REQUIRE(barrier_.style().empty() || barrier_.style() == "American", "Only american barrier style suppported");
    QL_REQUIRE(rebate == 0, "Rebates not supported for EquityTouchOptions");
    QL_REQUIRE(payoffAtExpiry == true || barrierType == Barrier::Type::DownIn || barrierType == Barrier::Type::UpIn,
               "Payoff at hit not supported for EquityNoTouchOptions");
 
    // create payoff and exercise, as well as leg of underlying instrument
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(type, level, 1.0));
    Leg leg;
 
    leg.push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(1.0, expiryDate)));
 
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<AmericanExercise>(expiryDate, payoffAtExpiry);
 
    QuantLib::ext::shared_ptr<Instrument> barrier = QuantLib::ext::make_shared<VanillaOption>(payoff, exercise);
    QuantLib::ext::shared_ptr<Instrument> underlying = QuantLib::ext::make_shared<Swap>(Leg(), leg);
 
    QL_REQUIRE(eqIndex_ != "", "No eqIndex provided");
    QL_REQUIRE(calendar_ != "", "No calendar provided");
 
    QuantLib::ext::shared_ptr<QuantExt::EquityIndex2> eqIndex = parseEquityIndex(eqIndex_);
 
    // check if the barrier has been triggered already
    bool triggered = false;
    Calendar cal = eqIndex->fixingCalendar();
    if (startDate_ != "" && start < today) {
 
        Date d = start;
 
        while (d < today && !triggered) {
 
            Real fixing = eqIndex->pastFixing(d);
 
            if (fixing == 0.0 || fixing == Null<Real>()) {
                ALOG("Got invalid Equity fixing for index " << eqIndex_ << " on " << d
                                                            << "Skipping this date, assuming no trigger");
            } else {
                triggered = checkBarrier(fixing, barrierType, level);
            }
 
            d = cal.advance(d, 1, Days);
        }
    }
 
    // set pricing engines
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<EquityTouchOptionEngineBuilder> eqTouchOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<EquityTouchOptionEngineBuilder>(builder);
    barrier->setPricingEngine(eqTouchOptBuilder->engine(assetName, ccy, type_));
    setSensitivityTemplate(*eqTouchOptBuilder);
    if (type_ == "One-Touch") {
        // if a one-touch option is triggered it becomes a simple forward cashflow
        // which we price as a swap
        builder = engineFactory->builder("Swap");
        QL_REQUIRE(builder, "No builder found for Swap");
        QuantLib::ext::shared_ptr<SwapEngineBuilderBase> swapBuilder =
            QuantLib::ext::dynamic_pointer_cast<SwapEngineBuilderBase>(builder);
        underlying->setPricingEngine(swapBuilder->engine(ccy, std::string(), std::string()));
    }
 
    bool isLong = (positionType == Position::Long) ? true : false;
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    Date lastPremiumDate = addPremiums(
        additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_, option_.premiumData(),
        isLong ? -1.0 : 1.0, ccy, engineFactory, builder->configuration(MarketContext::pricing));
 
    Handle<Quote> spot = market->equitySpot(assetName);
    instrument_ = QuantLib::ext::make_shared<SingleBarrierOptionWrapper>(
        barrier, isLong, expiryDate, false, underlying, barrierType, spot, level, rebate, ccy, start, eqIndex, cal, payoffAmount_,
        payoffAmount_, additionalInstruments, additionalMultipliers);
    npvCurrency_ = payoffCurrency_;
    notional_ = payoffAmount_;
    notionalCurrency_ = payoffCurrency_;
    maturity_ = std::max(lastPremiumDate, expiryDate);
 
    if (start != Date()) {
        for (Date d = start; d <= expiryDate; d = cal.advance(d, 1 * Days))
            requiredFixings_.addFixingDate(d, eqIndex_, expiryDate);
    }
 
    additionalData_["payoffAmount"] = payoffAmount_;
    additionalData_["payoffCurrency"] = payoffCurrency_;
}

Here is the call graph for this function:

◆ option()

const OptionData & option ( ) const

Definition at line 51 of file equitytouchoption.hpp.

51{ return option_; }

◆ barrier()

const BarrierData & barrier ( ) const

Definition at line 52 of file equitytouchoption.hpp.

52{ return barrier_; }

Here is the caller graph for this function:

◆ payoffAmount()

double payoffAmount ( ) const

Definition at line 53 of file equitytouchoption.hpp.

53{ return payoffAmount_; }

◆ type()

const string & type ( ) const

Definition at line 54 of file equitytouchoption.hpp.

54{ return type_; }

Here is the caller graph for this function:

◆ payoffCurrency()

const string & payoffCurrency ( ) const

Definition at line 55 of file equitytouchoption.hpp.

55{ return payoffCurrency_; }

◆ startDate()

const string & startDate ( ) const

Definition at line 56 of file equitytouchoption.hpp.

56{ return startDate_; }

◆ calendar()

const string & calendar ( ) const

Definition at line 57 of file equitytouchoption.hpp.

57{ return calendar_; }

◆ eqIndex()

const string & eqIndex ( ) const

Definition at line 58 of file equitytouchoption.hpp.

58{ return eqIndex_; }

Here is the caller graph for this function:

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 191 of file equitytouchoption.cpp.

                                             {
    Trade::fromXML(node);
    XMLNode* eqNode = XMLUtils::getChildNode(node, "EquityTouchOptionData");
    QL_REQUIRE(eqNode, "No EquityOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(eqNode, "OptionData"));
    barrier_.fromXML(XMLUtils::getChildNode(eqNode, "BarrierData"));
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
    switch (barrierType) {
    case Barrier::DownIn:
    case Barrier::UpIn:
        type_ = "One-Touch";
        break;
    case Barrier::DownOut:
    case Barrier::UpOut:
        type_ = "No-Touch";
        break;
    default:
        QL_FAIL("unknown barrier type");
    }
 
    XMLNode* tmp = XMLUtils::getChildNode(eqNode, "Underlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(eqNode, "Name");
    equityUnderlying_.fromXML(tmp);
    payoffAmount_ = XMLUtils::getChildValueAsDouble(eqNode, "PayoffAmount", true);
    payoffCurrency_ = XMLUtils::getChildValue(eqNode, "PayoffCurrency", true);
    startDate_ = XMLUtils::getChildValue(eqNode, "StartDate", false);
    calendar_ = XMLUtils::getChildValue(eqNode, "Calendar", false);
    eqIndex_ = XMLUtils::getChildValue(eqNode, "EQIndex", false);
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 222 of file equitytouchoption.cpp.

                                                        {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* eqNode = doc.allocNode("EquityTouchOptionData");
    XMLUtils::appendNode(node, eqNode);
    XMLUtils::appendNode(eqNode, option_.toXML(doc));
    XMLUtils::appendNode(eqNode, barrier_.toXML(doc));
    XMLUtils::appendNode(eqNode, equityUnderlying_.toXML(doc));
    XMLUtils::addChild(doc, eqNode, "PayoffCurrency", payoffCurrency_);
    XMLUtils::addChild(doc, eqNode, "PayoffAmount", payoffAmount_);
    if (startDate_ != "")
        XMLUtils::addChild(doc, eqNode, "StartDate", startDate_);
    if (eqIndex_ != "")
        XMLUtils::addChild(doc, eqNode, "EQIndex", eqIndex_);
    if (calendar_ != "")
        XMLUtils::addChild(doc, eqNode, "Calendar", calendar_);
 
    return node;
}

Here is the call graph for this function:

◆ checkBarrier()

bool checkBarrier	(	Real	spot,
		Barrier::Type	type,
		Real	level
	)

private

Definition at line 178 of file equitytouchoption.cpp.

                                                                              {
    switch (type) {
    case Barrier::DownIn:
    case Barrier::DownOut:
        return spot <= barrier;
    case Barrier::UpIn:
    case Barrier::UpOut:
        return spot >= barrier;
    default:
        QL_FAIL("unknown barrier type " << type);
    }
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 69 of file equitytouchoption.hpp.

◆ barrier_

BarrierData barrier_

private

Definition at line 70 of file equitytouchoption.hpp.

◆ startDate_

string startDate_

private

Definition at line 71 of file equitytouchoption.hpp.

◆ calendar_

string calendar_

private

Definition at line 72 of file equitytouchoption.hpp.

◆ eqIndex_

string eqIndex_

private

Definition at line 73 of file equitytouchoption.hpp.

◆ payoffAmount_

Real payoffAmount_

private

Definition at line 74 of file equitytouchoption.hpp.

◆ type_

string type_

private

Definition at line 75 of file equitytouchoption.hpp.

◆ payoffCurrency_

string payoffCurrency_

private

Definition at line 76 of file equitytouchoption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityTouchOption() [1/2]

◆ EquityTouchOption() [2/2]

Member Function Documentation

◆ build()

◆ option()

◆ barrier()

◆ payoffAmount()

◆ type()

◆ payoffCurrency()

◆ startDate()

◆ calendar()

◆ eqIndex()

◆ fromXML()

◆ toXML()

◆ checkBarrier()

Member Data Documentation

◆ option_

◆ barrier_

◆ startDate_

◆ calendar_

◆ eqIndex_

◆ payoffAmount_

◆ type_

◆ payoffCurrency_