#include <ored/portfolio/forwardbond.hpp>

Inheritance diagram for ForwardBond:

Collaboration diagram for ForwardBond:

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

	ForwardBond (Envelope env, const BondData &bondData, string fwdMaturityDate, string fwdSettlementDate, string settlement, string amount, string lockRate, string lockRateDayCounter, string settlementDirty, string compensationPayment, string compensationPaymentDate, string longInForward, string dv01=string())
	Constructor taking an envelope and bond data. More...

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

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Bond names. More...

const BondData &	bondData () const
	inspectors More...

const string &	fwdMaturityDate () const

const string &	fwdSettlementDate () const

const string &	settlement () const

const string &	amount () const

const string &	lockRate () const

const string &	lockRateDayCounter () const

const string &	settlementDirty () const

const string &	compensationPayment () const

const string &	compensationPaymentDate () const

const string &	longInForward () const

const string &	dv01 () 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...

Protected Attributes
BondData	originalBondData_

BondData	bondData_

string	currency_

string	fwdMaturityDate_

string	fwdSettlementDate_

string	settlement_

string	amount_

string	lockRate_

string	lockRateDayCounter_

string	settlementDirty_

string	compensationPayment_

string	compensationPaymentDate_

string	longInForward_

string	dv01_

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_

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)

Detailed Description

Definition at line 31 of file forwardbond.hpp.

Constructor & Destructor Documentation

◆ ForwardBond() [1/2]

ForwardBond ( )

Default constructor.

Definition at line 34 of file forwardbond.hpp.

34: Trade("ForwardBond") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ ForwardBond() [2/2]

ForwardBond	(	Envelope	env,
		const BondData &	bondData,
		string	fwdMaturityDate,
		string	fwdSettlementDate,
		string	settlement,
		string	amount,
		string	lockRate,
		string	lockRateDayCounter,
		string	settlementDirty,
		string	compensationPayment,
		string	compensationPaymentDate,
		string	longInForward,
		string	dv01 = `string()`
	)

Constructor taking an envelope and bond data.

Definition at line 37 of file forwardbond.hpp.

        : Trade("ForwardBond", env), originalBondData_(bondData), bondData_(bondData),
          fwdMaturityDate_(fwdMaturityDate), fwdSettlementDate_(fwdSettlementDate), settlement_(settlement),
          amount_(amount), lockRate_(lockRate), lockRateDayCounter_(lockRateDayCounter),
          settlementDirty_(settlementDirty), compensationPayment_(compensationPayment),
          compensationPaymentDate_(compensationPaymentDate), longInForward_(longInForward), dv01_(dv01) {}

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Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

Definition at line 48 of file forwardbond.cpp.

                                                                                 {
    DLOG("ForwardBond::build() called for trade " << id());
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string("Forward");
    additionalData_["isdaSubProduct"] = string("Debt");
    additionalData_["isdaTransaction"] = string("");
 
    additionalData_["currency"] = currency_;
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder_fwd = engineFactory->builder("ForwardBond");
    QuantLib::ext::shared_ptr<EngineBuilder> builder_bd = engineFactory->builder("Bond");
 
    bondData_ = originalBondData_;
    bondData_.populateFromBondReferenceData(engineFactory->referenceData());
 
    npvCurrency_ = currency_ = bondData_.coupons().front().currency();
    notionalCurrency_ = currency_;
 
    QL_REQUIRE(!bondData_.referenceCurveId().empty(), "reference curve id required");
    QL_REQUIRE(!bondData_.settlementDays().empty(), "settlement days required");
 
    Date issueDate = parseDate(bondData_.issueDate());
    Calendar calendar = parseCalendar(bondData_.calendar());
    Natural settlementDays = boost::lexical_cast<Natural>(bondData_.settlementDays());
 
    Date fwdMaturityDate = parseDate(fwdMaturityDate_);
    Date fwdSettlementDate = fwdSettlementDate_.empty() ? fwdMaturityDate : parseDate(fwdSettlementDate_);
    bool isPhysicallySettled;
    if (settlement_ == "Physical" || settlement_.empty())
        isPhysicallySettled = true;
    else if (settlement_ == "Cash")
        isPhysicallySettled = false;
    else {
        QL_FAIL("ForwardBond: invalid settlement '" << settlement_ << "', expected Cash or Physical");
    }
    Real amount = amount_.empty() ? Null<Real>() : parseReal(amount_);
    Real lockRate = lockRate_.empty() ? Null<Real>() : parseReal(lockRate_);
    Real dv01 = dv01_.empty() ? Null<Real>() : parseReal(dv01_);
    DayCounter lockRateDayCounter = lockRateDayCounter_.empty() ? Actual360() : parseDayCounter(lockRateDayCounter_);
    bool settlementDirty = settlementDirty_.empty() ? true : parseBool(settlementDirty_);
    Real compensationPayment = parseReal(compensationPayment_);
    Date compensationPaymentDate = parseDate(compensationPaymentDate_);
    bool longInForward = parseBool(longInForward_);
 
    QL_REQUIRE((amount == Null<Real>() && lockRate != Null<Real>()) ||
                   (amount != Null<Real>() && lockRate == Null<Real>()),
               "ForwardBond: exactly one of Amount of LockRate must be given");
    QL_REQUIRE(dv01 >= 0.0, "negative DV01 given");
    QL_REQUIRE(compensationPaymentDate <= fwdMaturityDate, "Premium cannot be paid after forward contract maturity");
 
    if (lockRate != Null<Real>())
        isPhysicallySettled = false;
 
    QL_REQUIRE(!bondData_.coupons().empty(), "ForwardBond: No LegData given. If you want to represent a zero bond, "
                                             "set it up as a coupon bond with zero fixed rate");
 
    bool firstLegIsPayer = bondData_.coupons()[0].isPayer();
    QL_REQUIRE(firstLegIsPayer == false, "ForwardBond: The underlying bond must be entered with a receiver leg. Use "
                                         "LongInBond to specify pay direction of forward payoff");
    QL_REQUIRE(compensationPayment > 0.0 || close_enough(compensationPayment, 0.0),
               "ForwardBond: Negative compensation payments ("
                   << compensationPayment
                   << ") are not allowed. Notice that we will ensure that a positive compensation amount will be paid "
                      "by the party being long in the forward contract.");
 
    QuantLib::ext::shared_ptr<Payoff> payoff;
    if (amount != Null<Real>()) {
        payoff = longInForward ? QuantLib::ext::make_shared<QuantExt::ForwardBondTypePayoff>(Position::Long, amount)
                               : QuantLib::ext::make_shared<QuantExt::ForwardBondTypePayoff>(Position::Short, amount);
    }
    compensationPayment = longInForward ? compensationPayment : -compensationPayment;
 
    std::vector<Leg> separateLegs;
    for (Size i = 0; i < bondData_.coupons().size(); ++i) {
        Leg leg;
        auto configuration = builder_bd->configuration(MarketContext::pricing);
        auto legBuilder = engineFactory->legBuilder(bondData_.coupons()[i].legType());
        leg = legBuilder->buildLeg(bondData_.coupons()[i], engineFactory, requiredFixings_, configuration);
        separateLegs.push_back(leg);
    }
    Leg leg = joinLegs(separateLegs);
    auto bond = QuantLib::ext::make_shared<QuantLib::Bond>(settlementDays, calendar, issueDate, leg);
 
    // cashflows will be generated as additional results in the pricing engine
    legs_ = {};
    legCurrencies_ = {npvCurrency_};
    legPayers_ = {firstLegIsPayer};
    Currency currency = parseCurrency(currency_);
    maturity_ = bond->cashflows().back()->date();
    notional_ = currentNotional(bond->cashflows()) * bondData_.bondNotional();
 
    // first ctor is for vanilla fwd bonds, second for tlocks with a lock rate specifying the payoff
    QuantLib::ext::shared_ptr<QuantLib::Instrument> fwdBond =
        payoff ? QuantLib::ext::make_shared<QuantExt::ForwardBond>(bond, payoff, fwdMaturityDate, fwdSettlementDate,
                                                           isPhysicallySettled, settlementDirty, compensationPayment,
                                                           compensationPaymentDate, bondData_.bondNotional())
               : QuantLib::ext::make_shared<QuantExt::ForwardBond>(bond, lockRate, lockRateDayCounter, longInForward,
                                                           fwdMaturityDate, fwdSettlementDate, isPhysicallySettled,
                                                           settlementDirty, compensationPayment,
                                                           compensationPaymentDate, bondData_.bondNotional(), dv01);
 
    QuantLib::ext::shared_ptr<fwdBondEngineBuilder> fwdBondBuilder =
        QuantLib::ext::dynamic_pointer_cast<fwdBondEngineBuilder>(builder_fwd);
    QL_REQUIRE(fwdBondBuilder, "ForwardBond::build(): could not cast builder: " << id());
 
    fwdBond->setPricingEngine(fwdBondBuilder->engine(id(), currency, bondData_.creditCurveId(),
                                                     bondData_.hasCreditRisk(), bondData_.securityId(),
                                                     bondData_.referenceCurveId(), bondData_.incomeCurveId()));
    setSensitivityTemplate(*fwdBondBuilder);
    instrument_.reset(new VanillaInstrument(fwdBond, 1.0));
 
    additionalData_["currentNotional"] = currentNotional(bond->cashflows()) * bondData_.bondNotional();
    additionalData_["originalNotional"] = originalNotional(bond->cashflows()) * bondData_.bondNotional();
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 167 of file forwardbond.cpp.

                                       {
    Trade::fromXML(node);
    XMLNode* fwdBondNode = XMLUtils::getChildNode(node, "ForwardBondData");
    QL_REQUIRE(fwdBondNode, "No ForwardBondData Node");
    originalBondData_.fromXML(XMLUtils::getChildNode(fwdBondNode, "BondData"));
    bondData_ = originalBondData_;
 
    XMLNode* fwdSettlementNode = XMLUtils::getChildNode(fwdBondNode, "SettlementData");
    QL_REQUIRE(fwdSettlementNode, "No fwdSettlementNode Node");
 
    fwdMaturityDate_ = XMLUtils::getChildValue(fwdSettlementNode, "ForwardMaturityDate", true);
    fwdSettlementDate_ = XMLUtils::getChildValue(fwdSettlementNode, "ForwardSettlementDate", false);
    settlement_ = XMLUtils::getChildValue(fwdSettlementNode, "Settlement", false);
    amount_ = XMLUtils::getChildValue(fwdSettlementNode, "Amount", false);
    lockRate_ = XMLUtils::getChildValue(fwdSettlementNode, "LockRate", false);
    lockRateDayCounter_ = XMLUtils::getChildValue(fwdSettlementNode, "LockRateDayCounter", false);
    settlementDirty_ = XMLUtils::getChildValue(fwdSettlementNode, "SettlementDirty", false);
    dv01_ = XMLUtils::getChildValue(fwdSettlementNode, "dv01", false);
 
    XMLNode* fwdPremiumNode = XMLUtils::getChildNode(fwdBondNode, "PremiumData");
    if (fwdPremiumNode) {
        compensationPayment_ = XMLUtils::getChildValue(fwdPremiumNode, "Amount", true);
        compensationPaymentDate_ = XMLUtils::getChildValue(fwdPremiumNode, "Date", true);
    } else {
        compensationPayment_ = "0.0";
        compensationPaymentDate_ = fwdMaturityDate_;
    }
 
    longInForward_ = XMLUtils::getChildValue(fwdBondNode, "LongInForward", true);
}

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 198 of file forwardbond.cpp.

                                                  {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fwdBondNode = doc.allocNode("ForwardBondData");
    XMLUtils::appendNode(node, fwdBondNode);
    XMLUtils::appendNode(fwdBondNode, originalBondData_.toXML(doc));
 
    XMLNode* fwdSettlementNode = doc.allocNode("SettlementData");
    XMLUtils::appendNode(fwdBondNode, fwdSettlementNode);
    XMLUtils::addChild(doc, fwdSettlementNode, "ForwardMaturityDate", fwdMaturityDate_);
    if (!fwdSettlementDate_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "ForwardSettlementDate", fwdSettlementDate_);
    if (!settlement_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "Settlement", settlement_);
    if (!amount_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "Amount", amount_);
    if (!lockRate_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "LockRate", lockRate_);
    if (!dv01_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "dv01", dv01_);
    if (!lockRateDayCounter_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "LockRateDayCounter", lockRateDayCounter_);
    if (!settlementDirty_.empty())
        XMLUtils::addChild(doc, fwdSettlementNode, "SettlementDirty", settlementDirty_);
 
    XMLNode* fwdPremiumNode = doc.allocNode("PremiumData");
    XMLUtils::appendNode(fwdBondNode, fwdPremiumNode);
    XMLUtils::addChild(doc, fwdPremiumNode, "Amount", compensationPayment_);
    XMLUtils::addChild(doc, fwdPremiumNode, "Date", compensationPaymentDate_);
 
    XMLUtils::addChild(doc, fwdBondNode, "LongInForward", longInForward_);
 
    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

Add underlying Bond names.

Reimplemented from Trade.

Definition at line 233 of file forwardbond.cpp.

                                                                                                            {
    std::map<AssetClass, std::set<std::string>> result;
    result[AssetClass::BOND] = {bondData_.securityId()};
    return result;
}

◆ bondData()

const BondData & bondData ( ) const

inspectors

Definition at line 56 of file forwardbond.hpp.

56{ return bondData_; }

◆ fwdMaturityDate()

const string & fwdMaturityDate ( ) const

Definition at line 58 of file forwardbond.hpp.

58{ return fwdMaturityDate_; }

◆ fwdSettlementDate()

const string & fwdSettlementDate ( ) const

Definition at line 59 of file forwardbond.hpp.

59{ return fwdSettlementDate_; }

◆ settlement()

const string & settlement ( ) const

Definition at line 60 of file forwardbond.hpp.

60{ return settlement_; }

◆ amount()

const string & amount ( ) const

Definition at line 61 of file forwardbond.hpp.

61{ return amount_; }

◆ lockRate()

const string & lockRate ( ) const

Definition at line 62 of file forwardbond.hpp.

62{ return lockRate_; }

◆ lockRateDayCounter()

const string & lockRateDayCounter ( ) const

Definition at line 63 of file forwardbond.hpp.

63{ return lockRateDayCounter_; }

◆ settlementDirty()

const string & settlementDirty ( ) const

Definition at line 64 of file forwardbond.hpp.

64{ return settlementDirty_; }

◆ compensationPayment()

const string & compensationPayment ( ) const

Definition at line 65 of file forwardbond.hpp.

65{ return compensationPayment_; }

◆ compensationPaymentDate()

const string & compensationPaymentDate ( ) const

Definition at line 66 of file forwardbond.hpp.

66{ return compensationPaymentDate_; }

◆ longInForward()

const string & longInForward ( ) const

Definition at line 67 of file forwardbond.hpp.

67{ return longInForward_; }

◆ dv01()

const string & dv01 ( ) const

Definition at line 68 of file forwardbond.hpp.

68{ return dv01_; }

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Member Data Documentation

◆ originalBondData_

BondData originalBondData_

protected

Definition at line 71 of file forwardbond.hpp.

◆ bondData_

BondData bondData_

protected

Definition at line 71 of file forwardbond.hpp.

◆ currency_

string currency_

protected

Definition at line 72 of file forwardbond.hpp.

◆ fwdMaturityDate_

string fwdMaturityDate_

protected

Definition at line 74 of file forwardbond.hpp.

◆ fwdSettlementDate_

string fwdSettlementDate_

protected

Definition at line 75 of file forwardbond.hpp.

◆ settlement_

string settlement_

protected

Definition at line 76 of file forwardbond.hpp.

◆ amount_

string amount_

protected

Definition at line 77 of file forwardbond.hpp.

◆ lockRate_

string lockRate_

protected

Definition at line 78 of file forwardbond.hpp.

◆ lockRateDayCounter_

string lockRateDayCounter_

protected

Definition at line 79 of file forwardbond.hpp.

◆ settlementDirty_

string settlementDirty_

protected

Definition at line 80 of file forwardbond.hpp.

◆ compensationPayment_

string compensationPayment_

protected

Definition at line 81 of file forwardbond.hpp.

◆ compensationPaymentDate_

string compensationPaymentDate_

protected

Definition at line 82 of file forwardbond.hpp.

◆ longInForward_

string longInForward_

protected

Definition at line 83 of file forwardbond.hpp.

◆ dv01_

string dv01_

protected

Definition at line 84 of file forwardbond.hpp.

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ForwardBond() [1/2]

◆ ForwardBond() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ underlyingIndices()

◆ bondData()

◆ fwdMaturityDate()

◆ fwdSettlementDate()

◆ settlement()

◆ amount()

◆ lockRate()

◆ lockRateDayCounter()

◆ settlementDirty()

◆ compensationPayment()

◆ compensationPaymentDate()

◆ longInForward()

◆ dv01()

Member Data Documentation

◆ originalBondData_

◆ bondData_

◆ currency_

◆ fwdMaturityDate_

◆ fwdSettlementDate_

◆ settlement_

◆ amount_

◆ lockRate_

◆ lockRateDayCounter_

◆ settlementDirty_

◆ compensationPayment_

◆ compensationPaymentDate_

◆ longInForward_

◆ dv01_