ForwardRateAgreement Class Reference

Serializable ForwardRateAgreement. More...

#include <ored/portfolio/forwardrateagreement.hpp>

Inheritance diagram for ForwardRateAgreement:

Collaboration diagram for ForwardRateAgreement:

Public Member Functions
	ForwardRateAgreement ()
	ForwardRateAgreement (Envelope &env, string longShort, string currency, string startDate, string endDate, string index, double strike, double amount)
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
const string &	index () const
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...
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
string	longShort_
string	currency_
string	startDate_
string	endDate_
string	index_
double	strike_
double	amount_

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 ForwardRateAgreement.

Definition at line 36 of file forwardrateagreement.hpp.

Constructor & Destructor Documentation

ForwardRateAgreement() [1/2]

ForwardRateAgreement

(

)

Definition at line 38 of file forwardrateagreement.hpp.

: ore::data::Swap("ForwardRateAgreement") {}

ForwardRateAgreement() [2/2]

ForwardRateAgreement	(	Envelope &	env,
		string	longShort,
		string	currency,
		string	startDate,
		string	endDate,
		string	index,
		double	strike,
		double	amount
	)

Definition at line 39 of file forwardrateagreement.hpp.

        : ore::data::Swap(env, "ForwardRateAgreement"), longShort_(longShort), currency_(currency), startDate_(startDate),
          endDate_(endDate), index_(index), strike_(strike), amount_(amount) {}

Member Function Documentation

build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Reimplemented from Swap.

Definition at line 31 of file forwardrateagreement.cpp.

                                                                                          {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string("FRA");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    Date startDate = parseDate(startDate_);
    Date endDate = parseDate(endDate_);
    Position::Type positionType = parsePositionType(longShort_);
    auto index = market->iborIndex(index_);
    
    QuantLib::ext::shared_ptr<FloatingRateCoupon> cpn;
    if (auto overnightIndex = QuantLib::ext::dynamic_pointer_cast<QuantLib::OvernightIndex>(*index)) {
        cpn = QuantLib::ext::make_shared<QuantExt::OvernightIndexedCoupon>(endDate, amount_, startDate, endDate, overnightIndex,
                                                                   1.0, -strike_);
        cpn->setPricer(QuantLib::ext::make_shared<QuantExt::OvernightIndexedCouponPricer>());
    } else {
        bool useIndexedCoupon = true;
        cpn = QuantLib::ext::make_shared<QuantExt::IborFraCoupon>(startDate, endDate, amount_, *index, strike_);
        cpn->setPricer(QuantLib::ext::make_shared<BlackIborCouponPricer>(
            Handle<OptionletVolatilityStructure>(), BlackIborCouponPricer::TimingAdjustment::Black76,
            Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(1.0))), useIndexedCoupon));
    }
    legs_.push_back({cpn});
 
    Currency npvCcy = parseCurrency(currency_);
    legCurrencies_.push_back(npvCcy.code());
    legPayers_ = vector<bool>(1, positionType == Position::Type::Short);
    isXCCY_ = false;
    notional_ = amount_;
    npvCurrency_ = npvCcy.code();
    notionalCurrency_ = npvCcy.code();
 
    QuantLib::ext::shared_ptr<QuantLib::Swap> swap(new QuantLib::Swap(legs_, legPayers_));
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("Swap");
    QuantLib::ext::shared_ptr<SwapEngineBuilderBase> swapBuilder = QuantLib::ext::dynamic_pointer_cast<SwapEngineBuilderBase>(builder);
    QL_REQUIRE(swapBuilder, "No Builder found for Swap " << id());
    swap->setPricingEngine(swapBuilder->engine(npvCcy, std::string(), std::string()));
    setSensitivityTemplate(*swapBuilder);
    instrument_.reset(new VanillaInstrument(swap));
    maturity_ = endDate;
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Swap.

Definition at line 78 of file forwardrateagreement.cpp.

                                                {
    Trade::fromXML(node);
    XMLNode* fNode = XMLUtils::getChildNode(node, "ForwardRateAgreementData");
    startDate_ = XMLUtils::getChildValue(fNode, "StartDate", true);
    endDate_ = XMLUtils::getChildValue(fNode, "EndDate", true);
    currency_ = XMLUtils::getChildValue(fNode, "Currency", true);
    index_ = XMLUtils::getChildValue(fNode, "Index", true);
    longShort_ = XMLUtils::getChildValue(fNode, "LongShort", true);
    strike_ = XMLUtils::getChildValueAsDouble(fNode, "Strike", true);
    amount_ = XMLUtils::getChildValueAsDouble(fNode, "Notional", true);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Swap.

Definition at line 90 of file forwardrateagreement.cpp.

                                                           {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fNode = doc.allocNode("ForwardRateAgreementData");
    XMLUtils::appendNode(node, fNode);
    XMLUtils::addChild(doc, fNode, "StartDate", startDate_);
    XMLUtils::addChild(doc, fNode, "EndDate", endDate_);
    XMLUtils::addChild(doc, fNode, "Currency", currency_);
    XMLUtils::addChild(doc, fNode, "Index", index_);
    XMLUtils::addChild(doc, fNode, "LongShort", longShort_);
    XMLUtils::addChild(doc, fNode, "Strike", strike_);
    XMLUtils::addChild(doc, fNode, "Notional", amount_);
    return node;
}

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index()

const string & index

(

)

const

Definition at line 48 of file forwardrateagreement.hpp.

{ return index_; }

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Member Data Documentation

longShort_

string longShort_

private

Definition at line 51 of file forwardrateagreement.hpp.

currency_

string currency_

private

Definition at line 52 of file forwardrateagreement.hpp.

startDate_

string startDate_

private

Definition at line 53 of file forwardrateagreement.hpp.

endDate_

string endDate_

private

Definition at line 54 of file forwardrateagreement.hpp.

index_

string index_

private

Definition at line 55 of file forwardrateagreement.hpp.

strike_

double strike_

private

Definition at line 56 of file forwardrateagreement.hpp.

amount_

double amount_

private

Definition at line 57 of file forwardrateagreement.hpp.