Serializable Fx Average Forward. More...

#include <ored/portfolio/fxaverageforward.hpp>

Inheritance diagram for FxAverageForward:

Collaboration diagram for FxAverageForward:

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

	FxAverageForward (const Envelope &env, const ScheduleData &observationDates, const string &paymentDate, bool fixedPayer, const std::string &referenceCurrency, double referenceNotional, const std::string settlementCurrency, double settlementNotional, const std::string &fxIndex, const string &settlement="Cash")
	Constructor. More...

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...

Inspectors
const ScheduleData &	observationDates () const

const string &	paymentDate () const

bool	fixedPayer () const

const string &	referenceCurrency () const

double	referenceNotional () const

const string &	settlementCurrency () const

double	settlementNotional () const

const std::string &	fxIndex () const

const string &	settlement () 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...

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
ScheduleData	observationDates_

string	paymentDate_

bool	fixedPayer_

string	referenceCurrency_

double	referenceNotional_

string	settlementCurrency_

double	settlementNotional_

std::string	fxIndex_
	Needed for past fixings. More...

std::string	settlement_

bool	inverted_ = false

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built More...

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 Fx Average Forward.

Payoff: (fixedPayer ? 1 : -1) * (referenceNotional * averageFX - settlementNotional)

Definition at line 33 of file fxaverageforward.hpp.

Constructor & Destructor Documentation

◆ FxAverageForward() [1/2]

FxAverageForward ( )

Default constructor.

Definition at line 36 of file fxaverageforward.hpp.

36: Trade("FxAverageForward") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ FxAverageForward() [2/2]

FxAverageForward	(	const Envelope &	env,
		const ScheduleData &	observationDates,
		const string &	paymentDate,
		bool	fixedPayer,
		const std::string &	referenceCurrency,
		double	referenceNotional,
		const std::string	settlementCurrency,
		double	settlementNotional,
		const std::string &	fxIndex,
		const string &	settlement = `"Cash"`
	)

Constructor.

Definition at line 38 of file fxaverageforward.hpp.

       : Trade("FxAverageForward", env),
     observationDates_(observationDates), paymentDate_(paymentDate), fixedPayer_(fixedPayer),
     referenceCurrency_(referenceCurrency), referenceNotional_(referenceNotional),
     settlementCurrency_(settlementCurrency), settlementNotional_(settlementNotional),
     fxIndex_(fxIndex), settlement_(settlement) {}

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 33 of file fxaverageforward.cpp.

                                                                                      {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string(settlement_ == "Cash" ? "NDF" : "Forward");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");  
 
    LOG("FxAverageForward::build() called");
    QL_REQUIRE(!settlementCurrency_.empty(), "settlement currency must not be blank");
    QL_REQUIRE(!referenceCurrency_.empty(), "reference currency must not be blank");
    QL_REQUIRE(!fxIndex_.empty(), "fx index must not be blank");
    Currency refCcy = parseCurrency(referenceCurrency_);
    Currency payCcy = parseCurrency(settlementCurrency_);
    Date payDate = parseDate(paymentDate_);
    Schedule observationSchedule = makeSchedule(observationDates_);
    QL_REQUIRE(payDate >= observationSchedule.dates().back(),
           "payment date >= last observation date required");
    
    QL_REQUIRE(!fxIndex_.empty(), "FX settlement index must be specified for averaging forwards");
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex = buildFxIndex(fxIndex_, payCcy.code(), refCcy.code(), engineFactory->market(),
                                engineFactory->configuration(MarketContext::pricing));
    for (const auto& date : observationSchedule.dates()) {
    if (date <= Settings::instance().evaluationDate())
        requiredFixings_.addFixingDate(date, fxIndex_, payDate);
    }
 
 
    // Set up Legs
    inverted_ = parseFxIndex(fxIndex_)->targetCurrency() != payCcy;
    legs_ = {{QuantLib::ext::make_shared<SimpleCashFlow>(settlementNotional_, payDate)},
             {QuantLib::ext::make_shared<QuantExt::AverageFXLinkedCashFlow>(payDate, observationSchedule.dates(),
                                                                    referenceNotional_, fxIndex, inverted_)}};
    legCurrencies_ = {settlementCurrency_, settlementCurrency_};
    legPayers_ = {fixedPayer_, !fixedPayer_};
 
    // Set up instrument and engine
    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(payCcy, std::string(), std::string()));
    setSensitivityTemplate(*swapBuilder);
    instrument_.reset(new VanillaInstrument(swap));
    
    npvCurrency_ = settlementCurrency_;
    notional_ = settlementNotional_;
    notionalCurrency_ = settlementCurrency_;
    maturity_ = payDate;
 
    LOG("FxAverageForward::build() done");
}

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◆ observationDates()

const ScheduleData & observationDates ( ) const

Definition at line 54 of file fxaverageforward.hpp.

54{ return observationDates_; }

◆ paymentDate()

const string & paymentDate ( ) const

Definition at line 55 of file fxaverageforward.hpp.

55{ return paymentDate_; }

◆ fixedPayer()

bool fixedPayer ( ) const

Definition at line 56 of file fxaverageforward.hpp.

56{ return fixedPayer_; }

◆ referenceCurrency()

const string & referenceCurrency ( ) const

Definition at line 57 of file fxaverageforward.hpp.

57{ return referenceCurrency_; }

◆ referenceNotional()

double referenceNotional ( ) const

Definition at line 58 of file fxaverageforward.hpp.

58{ return referenceNotional_; }

◆ settlementCurrency()

const string & settlementCurrency ( ) const

Definition at line 59 of file fxaverageforward.hpp.

59{ return settlementCurrency_; }

◆ settlementNotional()

double settlementNotional ( ) const

Definition at line 60 of file fxaverageforward.hpp.

60{ return settlementNotional_; }

◆ fxIndex()

const std::string & fxIndex ( ) const

Definition at line 61 of file fxaverageforward.hpp.

61{ return fxIndex_; }

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◆ settlement()

const string & settlement ( ) const

Definition at line 62 of file fxaverageforward.hpp.

62{ return settlement_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 104 of file fxaverageforward.cpp.

                                            {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxAverageForwardData");
    QL_REQUIRE(fxNode, "No FxAverageForwardData Node");
    paymentDate_ = XMLUtils::getChildValue(fxNode, "PaymentDate", true);
    XMLNode* tmp = XMLUtils::getChildNode(fxNode, "ObservationDates");
    QL_REQUIRE(tmp, "No ObservationDates provided in FxAverageForwardData");
    observationDates_.fromXML(tmp);
    fixedPayer_ = XMLUtils::getChildValueAsBool(fxNode, "FixedPayer", true);
    referenceCurrency_ = XMLUtils::getChildValue(fxNode, "ReferenceCurrency", true);
    referenceNotional_ = XMLUtils::getChildValueAsDouble(fxNode, "ReferenceNotional", true);
    settlementCurrency_ = XMLUtils::getChildValue(fxNode, "SettlementCurrency", true);
    settlementNotional_ = XMLUtils::getChildValueAsDouble(fxNode, "SettlementNotional", true);
    fxIndex_ = XMLUtils::getChildValue(fxNode, "FXIndex", true);
    settlement_ = XMLUtils::getChildValue(fxNode, "Settlement", false);
    if (settlement_ == "")
        settlement_ = "Cash";
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 123 of file fxaverageforward.cpp.

                                                       {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxAverageForwardData");
    XMLUtils::appendNode(node, fxNode);
 
    XMLNode* schedNode = observationDates_.toXML(doc);
    XMLUtils::setNodeName(doc, schedNode, "ObservationDates");
    XMLUtils::appendNode(fxNode, schedNode);
 
    XMLUtils::addChild(doc, fxNode, "PaymentDate", paymentDate_);
    XMLUtils::addChild(doc, fxNode, "FixedPayer", std::to_string(fixedPayer_));
    XMLUtils::addChild(doc, fxNode, "ReferenceCurrency", referenceCurrency_);
    XMLUtils::addChild(doc, fxNode, "ReferenceNotional", referenceNotional_);
    XMLUtils::addChild(doc, fxNode, "SettlementCurrency", settlementCurrency_);
    XMLUtils::addChild(doc, fxNode, "SettlementNotional", settlementNotional_);
    XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex_);
    XMLUtils::addChild(doc, fxNode, "Settlement", settlement_);
 
    return node;
}

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◆ additionalData()

const std::map< std::string, boost::any > & additionalData ( ) const

overridevirtual

returns all additional data returned by the trade once built

Reimplemented from Trade.

Definition at line 86 of file fxaverageforward.cpp.

                                                                          {
    additionalData_.clear();
    additionalData_["settlementNotional"] = settlementNotional_;
    additionalData_["settlementCurrency"] = settlementCurrency_;
    additionalData_["referenceCurrency"] = referenceCurrency_;
    additionalData_["referenceNotional"] = referenceNotional_;
    if (legs_.size() == 2 && !legs_[1].empty()) {
        auto avg = QuantLib::ext::dynamic_pointer_cast<QuantExt::AverageFXLinkedCashFlow>(legs_[1].front());
        if (avg) {
            for (auto [date, value] : avg->fixings())
                additionalData_["fixing_" + ore::data::to_string(date)] = value;
        }
        additionalData_["average rate"] = inverted_ ? 1.0 / avg->fxRate() : avg->fxRate();
        additionalData_["effective rate"] = avg->fxRate();
    }
    return additionalData_;
}

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Member Data Documentation

◆ observationDates_

ScheduleData observationDates_

private

Definition at line 74 of file fxaverageforward.hpp.

◆ paymentDate_

string paymentDate_

private

Definition at line 75 of file fxaverageforward.hpp.

◆ fixedPayer_

bool fixedPayer_

private

Definition at line 76 of file fxaverageforward.hpp.

◆ referenceCurrency_

string referenceCurrency_

private

Definition at line 77 of file fxaverageforward.hpp.

◆ referenceNotional_

double referenceNotional_

private

Definition at line 78 of file fxaverageforward.hpp.

◆ settlementCurrency_

string settlementCurrency_

private

Definition at line 79 of file fxaverageforward.hpp.

◆ settlementNotional_

double settlementNotional_

private

Definition at line 80 of file fxaverageforward.hpp.

◆ fxIndex_

std::string fxIndex_

private

Needed for past fixings.

Definition at line 82 of file fxaverageforward.hpp.

◆ settlement_

std::string settlement_

private

Definition at line 83 of file fxaverageforward.hpp.

◆ inverted_

bool inverted_ = false

private

Definition at line 84 of file fxaverageforward.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxAverageForward() [1/2]

◆ FxAverageForward() [2/2]

Member Function Documentation

◆ build()

◆ observationDates()

◆ paymentDate()

◆ fixedPayer()

◆ referenceCurrency()

◆ referenceNotional()

◆ settlementCurrency()

◆ settlementNotional()

◆ fxIndex()

◆ settlement()

◆ fromXML()

◆ toXML()

◆ additionalData()

Member Data Documentation

◆ observationDates_

◆ paymentDate_

◆ fixedPayer_

◆ referenceCurrency_

◆ referenceNotional_

◆ settlementCurrency_

◆ settlementNotional_

◆ fxIndex_

◆ settlement_

◆ inverted_