Serializable FX Digital Barrier Option. More...

#include <ored/portfolio/fxdigitalbarrieroption.hpp>

Inheritance diagram for FxDigitalBarrierOption:

Collaboration diagram for FxDigitalBarrierOption:

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

	FxDigitalBarrierOption (Envelope &env, OptionData option, BarrierData barrier, double strike, double payoffAmount, const string &foreignCurrency, const string &domesticCurrency, const string &startDate="", const string &calendar="", const string &fxIndex="", const string &payoffCurrency="")
	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	strike () const

double	payoffAmount () const

const string &	payoffCurrency () const

const string &	startDate () const

const string &	calendar () const

const string &	fxIndex () const

Public Member Functions inherited from FxSingleAssetDerivative
const std::string &	boughtCurrency () const

const std::string &	soldCurrency () const

const std::string &	foreignCurrency () const

const std::string &	domesticCurrency () 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	fxIndex_

Real	strike_

Real	payoffAmount_

string	payoffCurrency_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from FxSingleAssetDerivative
	FxSingleAssetDerivative (const std::string &tradeType)

	FxSingleAssetDerivative (const std::string &tradeType, ore::data::Envelope &env, const std::string &boughtCurrency, const std::string &soldCurrency)

Protected Member Functions inherited from FxDerivative
	FxDerivative (const std::string &tradeType)

	FxDerivative (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 FxSingleAssetDerivative
std::string	boughtCurrency_

std::string	soldCurrency_

std::string &	foreignCurrency_ = boughtCurrency_

std::string &	domesticCurrency_ = soldCurrency_

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 Digital Barrier Option.

Definition at line 36 of file fxdigitalbarrieroption.hpp.

Constructor & Destructor Documentation

◆ FxDigitalBarrierOption() [1/2]

FxDigitalBarrierOption ( )

Default constructor.

Definition at line 39 of file fxdigitalbarrieroption.hpp.

40 : ore::data::Trade("FxDigitalBarrierOption"), FxSingleAssetDerivative("") {}

ore::data::FxSingleAssetDerivative::FxSingleAssetDerivative

FxSingleAssetDerivative(const std::string &tradeType)

Definition: fxderivative.hpp:40

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ FxDigitalBarrierOption() [2/2]

FxDigitalBarrierOption	(	Envelope &	env,
		OptionData	option,
		BarrierData	barrier,
		double	strike,
		double	payoffAmount,
		const string &	foreignCurrency,
		const string &	domesticCurrency,
		const string &	startDate = `""`,
		const string &	calendar = `""`,
		const string &	fxIndex = `""`,
		const string &	payoffCurrency = `""`
	)

Constructor.

Definition at line 42 of file fxdigitalbarrieroption.hpp.

        : ore::data::Trade("FxDigitalBarrierOption", env),
          FxSingleAssetDerivative("", env, foreignCurrency, domesticCurrency), option_(option),
          barrier_(barrier), startDate_(startDate), calendar_(calendar), fxIndex_(fxIndex), strike_(strike),
          payoffAmount_(payoffAmount), payoffCurrency_(payoffCurrency) {}

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 42 of file fxdigitalbarrieroption.cpp.

                                                                                            {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Simple Exotic");
    additionalData_["isdaSubProduct"] = string("Digital");  
    additionalData_["isdaTransaction"] = string("");
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    // Only American supported for now
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxOption");
    QL_REQUIRE(option_.style() == "European", "Option Style unknown: " << option_.style());
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    QL_REQUIRE(strike_ > 0.0 && strike_ != Null<Real>(), "Invalid strike " << strike_);
 
    Currency boughtCcy = parseCurrency(foreignCurrency_);
    Currency soldCcy = parseCurrency(domesticCurrency_);
    Real level = barrier_.levels()[0].value();
    Date start = ore::data::parseDate(startDate_);
    Real rebate = barrier_.rebate();
    QL_REQUIRE(rebate >= 0, "rebate must be non-negative");
 
    QL_REQUIRE(level > 0.0 && level != Null<Real>(), "Invalid level " << level);
 
    // Payoff and Barrier Type
    QL_REQUIRE(barrier_.style().empty() || barrier_.style() == "American", "Only american barrier style suppported");
    Option::Type type = parseOptionType(option_.callPut());
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
 
    // Handle PayoffCurrency, we might have to flip the trade here
    Real strike = strike_;
    bool flipResults = false;
    if (payoffCurrency_ == "") {
        DLOG("PayoffCurrency defaulting to " << domesticCurrency_ << " for FxDigitalBarrierOption " << id());
    } else if (payoffCurrency_ == foreignCurrency_) {
        // Invert the trade, switch dom and for and flip Put/Call
        strike = 1.0 / strike;
        level = 1.0 / level;
        std::swap(boughtCcy, soldCcy);
        type = type == Option::Call ? Option::Put : Option::Call;
        switch (barrierType) {
        case Barrier::DownIn:
            barrierType = Barrier::UpIn;
            break;
        case Barrier::UpIn:
            barrierType = Barrier::DownIn;
            break;
        case Barrier::DownOut:
            barrierType = Barrier::UpOut;
            break;
        case Barrier::UpOut:
            barrierType = Barrier::DownOut;
            break;
        }
        flipResults = true;
    } else if (payoffCurrency_ != domesticCurrency_) {
        QL_FAIL("Invalid Payoff currency (" << payoffCurrency_ << ") for FxDigitalBarrierOption " << foreignCurrency_
                                            << domesticCurrency_);
    }
    DLOG("Setting up FxDigitalBarrierOption with strike " << strike << " level " << level << " foreign/bought "
                                                          << boughtCcy << " domestic/sold " << soldCcy);
 
    // from this point on it's important not to use domesticCurrency_, foreignCurrency_, strike_, barrier_.level(), etc
    // rather the local variables (boughtCcy, soldCcy, strike, level, etc) should be used as they may have been flipped.
 
    additionalData_["payoffAmount"] = payoffAmount_;
    additionalData_["payoffCurrency"] = payoffCurrency_;
    additionalData_["effectiveForeignCurrency"] = boughtCcy.code();
    additionalData_["effectiveDomesticCurrency"] = soldCcy.code();
 
    npvCurrency_ = soldCcy.code(); // sold is the domestic
    notional_ = payoffAmount_;
    notionalCurrency_ = payoffCurrency_ != "" ? payoffCurrency_ : domesticCurrency_; // see logic above
    
    // Exercise
    // Digital Barrier Options assume an American exercise that pays at expiry
    Date expiryDate = parseDate(option_.exerciseDates().front());
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
    maturity_ = std::max(option_.premiumData().latestPremiumDate(), expiryDate);
 
    // Create a CashOrNothing payoff for digital options
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(type, strike, payoffAmount_));
 
    // QL does not have an FXDigitalBarrierOption, so we add a barrier option here and wrap
    // it in a composite
    QuantLib::ext::shared_ptr<Instrument> vanilla = QuantLib::ext::make_shared<VanillaOption>(payoff, exercise);
    QuantLib::ext::shared_ptr<Instrument> barrier =
        QuantLib::ext::make_shared<BarrierOption>(barrierType, level, rebate, payoff, exercise);
 
    // Check if the barrier has been triggered already
    Calendar cal = ore::data::parseCalendar(calendar_);
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex;
    if (!fxIndex_.empty())
        fxIndex = buildFxIndex(fxIndex_, soldCcy.code(), boughtCcy.code(), engineFactory->market(),
                               engineFactory->configuration(MarketContext::pricing));
 
    // set pricing engines
    // we buy foreign with domestic(=sold ccy).
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<FxDigitalBarrierOptionEngineBuilder> fxBarrierOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<FxDigitalBarrierOptionEngineBuilder>(builder);
    // if an 'in' option is triggered it becomes an FxDigitalOption, so we need an fxDigitalOption pricer
    builder = engineFactory->builder("FxDigitalOption");
    QL_REQUIRE(builder, "No builder found for FxDigitalOption");
    QuantLib::ext::shared_ptr<FxDigitalOptionEngineBuilder> fxOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<FxDigitalOptionEngineBuilder>(builder);
    setSensitivityTemplate(*builder);
 
    barrier->setPricingEngine(fxBarrierOptBuilder->engine(boughtCcy, soldCcy, expiryDate));
    vanilla->setPricingEngine(fxOptBuilder->engine(boughtCcy, soldCcy, flipResults));
 
    Position::Type positionType = parsePositionType(option_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
 
    // If premium data is provided
    // 1) build the fee trade and pass it to the instrument wrapper for pricing
    // 2) add fee payment as additional trade leg for cash flow reporting
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    addPremiums(additionalInstruments, additionalMultipliers, positionType == Position::Long ? 1.0 : -1.0,
                option_.premiumData(), -bsInd, soldCcy, engineFactory,
                fxOptBuilder->configuration(MarketContext::pricing));
 
    Settlement::Type settleType = parseSettlementType(option_.settlement());
 
    Handle<Quote> spot = market->fxSpot(boughtCcy.code() + soldCcy.code());
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(new SingleBarrierOptionWrapper(
        barrier, positionType == Position::Long ? true : false, expiryDate,
        settleType == Settlement::Physical ? true : false, vanilla, barrierType, spot, level, rebate, soldCcy,
        start, fxIndex, cal, 1, 1, additionalInstruments, additionalMultipliers));
 
    if (start != Date()) {
        for (Date d = start; d <= expiryDate; d = cal.advance(d, 1 * Days)) {
            requiredFixings_.addFixingDate(d, fxIndex_, expiryDate);
        }
    }
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ option()

const OptionData & option ( ) const

Definition at line 55 of file fxdigitalbarrieroption.hpp.

55{ return option_; }

◆ barrier()

const BarrierData & barrier ( ) const

Definition at line 56 of file fxdigitalbarrieroption.hpp.

56{ return barrier_; }

Here is the caller graph for this function:

◆ strike()

double strike ( ) const

Definition at line 57 of file fxdigitalbarrieroption.hpp.

57{ return strike_; }

Here is the caller graph for this function:

◆ payoffAmount()

double payoffAmount ( ) const

Definition at line 58 of file fxdigitalbarrieroption.hpp.

58{ return payoffAmount_; }

◆ payoffCurrency()

const string & payoffCurrency ( ) const

Definition at line 59 of file fxdigitalbarrieroption.hpp.

59{ return payoffCurrency_; }

◆ startDate()

const string & startDate ( ) const

Definition at line 60 of file fxdigitalbarrieroption.hpp.

60{ return startDate_; }

◆ calendar()

const string & calendar ( ) const

Definition at line 61 of file fxdigitalbarrieroption.hpp.

61{ return calendar_; }

◆ fxIndex()

const string & fxIndex ( ) const

Definition at line 62 of file fxdigitalbarrieroption.hpp.

62{ return fxIndex_; }

Here is the caller graph for this function:

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 195 of file fxdigitalbarrieroption.cpp.

                                                  {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxDigitalBarrierOptionData");
    QL_REQUIRE(fxNode, "No FxDigitalBarrierOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(fxNode, "OptionData"));
    barrier_.fromXML(XMLUtils::getChildNode(fxNode, "BarrierData"));
    startDate_ = XMLUtils::getChildValue(fxNode, "StartDate", false);
    calendar_ = XMLUtils::getChildValue(fxNode, "Calendar", false);
    fxIndex_ = XMLUtils::getChildValue(fxNode, "FXIndex", false);
    strike_ = XMLUtils::getChildValueAsDouble(fxNode, "Strike", true);
    payoffAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "PayoffAmount", true);
    payoffCurrency_ = XMLUtils::getChildValue(fxNode, "PayoffCurrency", false); // optional
    foreignCurrency_ = XMLUtils::getChildValue(fxNode, "ForeignCurrency", true);
    domesticCurrency_ = XMLUtils::getChildValue(fxNode, "DomesticCurrency", true);
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 211 of file fxdigitalbarrieroption.cpp.

                                                             {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxDigitalBarrierOptionData");
    XMLUtils::appendNode(node, fxNode);
 
    XMLUtils::appendNode(fxNode, option_.toXML(doc));
    XMLUtils::appendNode(fxNode, barrier_.toXML(doc));
    if (startDate_ != "")
        XMLUtils::addChild(doc, fxNode, "StartDate", startDate_);
    if (calendar_ != "")
        XMLUtils::addChild(doc, fxNode, "Calendar", calendar_);
    if (fxIndex_ != "")
        XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex_);
    XMLUtils::addChild(doc, fxNode, "Strike", strike_);
    XMLUtils::addChild(doc, fxNode, "PayoffAmount", payoffAmount_);
    if (payoffCurrency_ != "")
        XMLUtils::addChild(doc, fxNode, "PayoffCurrency", payoffCurrency_);
    XMLUtils::addChild(doc, fxNode, "ForeignCurrency", foreignCurrency_);
    XMLUtils::addChild(doc, fxNode, "DomesticCurrency", domesticCurrency_);
 
    return node;
}

Here is the call graph for this function:

Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 71 of file fxdigitalbarrieroption.hpp.

◆ barrier_

BarrierData barrier_

private

Definition at line 72 of file fxdigitalbarrieroption.hpp.

◆ startDate_

string startDate_

private

Definition at line 73 of file fxdigitalbarrieroption.hpp.

◆ calendar_

string calendar_

private

Definition at line 74 of file fxdigitalbarrieroption.hpp.

◆ fxIndex_

string fxIndex_

private

Definition at line 75 of file fxdigitalbarrieroption.hpp.

◆ strike_

Real strike_

private

Definition at line 76 of file fxdigitalbarrieroption.hpp.

◆ payoffAmount_

Real payoffAmount_

private

Definition at line 77 of file fxdigitalbarrieroption.hpp.

◆ payoffCurrency_

string payoffCurrency_

private

Definition at line 78 of file fxdigitalbarrieroption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxDigitalBarrierOption() [1/2]

◆ FxDigitalBarrierOption() [2/2]

Member Function Documentation

◆ build()

◆ option()

◆ barrier()

◆ strike()

◆ payoffAmount()

◆ payoffCurrency()

◆ startDate()

◆ calendar()

◆ fxIndex()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ option_

◆ barrier_

◆ startDate_

◆ calendar_

◆ fxIndex_

◆ strike_

◆ payoffAmount_

◆ payoffCurrency_