Serializable FX Digital Option. More...

#include <ored/portfolio/fxdigitaloption.hpp>

Inheritance diagram for FxDigitalOption:

Collaboration diagram for FxDigitalOption:

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

	FxDigitalOption (Envelope &env, OptionData option, double strike, const string &payoffCurrency, double payoffAmount, const string &foreignCurrency, const string &domesticCurrency)
	Constructor. More...

	FxDigitalOption (Envelope &env, OptionData option, double strike, double payoffAmount, const string &foreignCurrency, const string &domesticCurrency)
	Legacy Constructor. More...

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

Inspectors
const OptionData &	option () const

double	strike () const

const string &	payoffCurrency () const

double	payoffAmount () 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_

Real	strike_

string	payoffCurrency_

Real	payoffAmount_

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 Option.

Definition at line 35 of file fxdigitaloption.hpp.

Constructor & Destructor Documentation

◆ FxDigitalOption() [1/3]

FxDigitalOption ( )

Default constructor.

Definition at line 38 of file fxdigitaloption.hpp.

38: ore::data::Trade("FxDigitalOption"), FxSingleAssetDerivative("") {}

ore::data::FxSingleAssetDerivative::FxSingleAssetDerivative

FxSingleAssetDerivative(const std::string &tradeType)

Definition: fxderivative.hpp:40

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ FxDigitalOption() [2/3]

FxDigitalOption	(	Envelope &	env,
		OptionData	option,
		double	strike,
		const string &	payoffCurrency,
		double	payoffAmount,
		const string &	foreignCurrency,
		const string &	domesticCurrency
	)

Constructor.

Definition at line 41 of file fxdigitaloption.hpp.

        : ore::data::Trade("FxDigitalOption", env),
          FxSingleAssetDerivative("", env, foreignCurrency, domesticCurrency), option_(option),
          strike_(strike), payoffCurrency_(payoffCurrency), payoffAmount_(payoffAmount) {}

◆ FxDigitalOption() [3/3]

FxDigitalOption	(	Envelope &	env,
		OptionData	option,
		double	strike,
		double	payoffAmount,
		const string &	foreignCurrency,
		const string &	domesticCurrency
	)

Legacy Constructor.

Definition at line 48 of file fxdigitaloption.hpp.

        : ore::data::Trade("FxDigitalOption", env),
          FxSingleAssetDerivative("FxDigitalOption", env, foreignCurrency, domesticCurrency), option_(option),
          strike_(strike), payoffCurrency_(), payoffAmount_(payoffAmount) {}

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 34 of file fxdigitaloption.cpp.

                                                                                     {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Simple Exotic");
    additionalData_["isdaSubProduct"] = string("Digital");  
    additionalData_["isdaTransaction"] = string("");  
 
    additionalData_["payoffAmount"] = payoffAmount_;
    additionalData_["payoffCurrency"] = payoffCurrency_;
 
    // Only European Vanilla supported for now
    QL_REQUIRE(option_.style() == "European", "Option Style unknown: " << option_.style());
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    QL_REQUIRE(option_.payoffAtExpiry() == true, "PayoffAtExpiry must be True for FxDigitalOption");
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxDigitalOption");
    QL_REQUIRE(strike_ > 0.0 && strike_ != Null<Real>(), "Invalid strike " << strike_);
 
    Currency domCcy = parseCurrency(domesticCurrency_);
    Currency forCcy = parseCurrency(foreignCurrency_);
 
    // Payoff Type
    Option::Type type = parseOptionType(option_.callPut());
 
    // Handle PayoffCurrency, we might have to flip the trade here
    Real strike = strike_;
    bool flipResults = false;
    if (payoffCurrency_ == "") {
        DLOG("PayoffCurrency defaulting to " << domesticCurrency_ << " for FxDigitalOption " << id());
    } else if (payoffCurrency_ == foreignCurrency_) {
        // Invert the trade, switch dom and for and flip Put/Call
        strike = 1.0 / strike;
        std::swap(domCcy, forCcy);
        type = type == Option::Call ? Option::Put : Option::Call;
        flipResults = true;
    } else if (payoffCurrency_ != domesticCurrency_) {
        QL_FAIL("Invalid Payoff currency (" << payoffCurrency_ << ") for FxDigitalOption " << forCcy << domCcy);
    }
    DLOG("Setting up FxDigitalOption with strike " << strike << " foreign " << forCcy << " domestic " << domCcy);
 
    // Set up the CashOrNothing
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(type, strike, payoffAmount_));
 
    npvCurrency_ = domCcy.code(); // don't use domesticCurrency_ as it might be flipped
    notional_ = payoffAmount_;
    notionalCurrency_ = payoffCurrency_ != "" ? payoffCurrency_ : domesticCurrency_; // see logic above
 
    // Exercise
    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);
 
    // QL does not have an FXDigitalOption, so we add a vanilla one here and wrap
    // it in a composite.
    QuantLib::ext::shared_ptr<Instrument> vanilla = QuantLib::ext::make_shared<VanillaOption>(payoff, exercise);
 
    // set pricing engines
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<FxDigitalOptionEngineBuilder> fxOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<FxDigitalOptionEngineBuilder>(builder);
    vanilla->setPricingEngine(fxOptBuilder->engine(forCcy, domCcy, flipResults));
    setSensitivityTemplate(*fxOptBuilder);
 
    Position::Type positionType = parsePositionType(option_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
    Real mult = bsInd;
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    addPremiums(additionalInstruments, additionalMultipliers, mult, option_.premiumData(), -bsInd, domCcy,
                engineFactory, fxOptBuilder->configuration(MarketContext::pricing));
 
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(
        new VanillaInstrument(vanilla, mult, additionalInstruments, additionalMultipliers));
}

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◆ option()

const OptionData & option ( ) const

Definition at line 59 of file fxdigitaloption.hpp.

59{ return option_; }

◆ strike()

double strike ( ) const

Definition at line 60 of file fxdigitaloption.hpp.

60{ return strike_; }

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◆ payoffCurrency()

const string & payoffCurrency ( ) const

Definition at line 61 of file fxdigitaloption.hpp.

61{ return payoffCurrency_; }

◆ payoffAmount()

double payoffAmount ( ) const

Definition at line 62 of file fxdigitaloption.hpp.

62{ return payoffAmount_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 111 of file fxdigitaloption.cpp.

                                           {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxDigitalOptionData");
    QL_REQUIRE(fxNode, "No FxDigitalOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(fxNode, "OptionData"));
    strike_ = XMLUtils::getChildValueAsDouble(fxNode, "Strike", true);
    payoffCurrency_ = XMLUtils::getChildValue(fxNode, "PayoffCurrency", false);
    payoffAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "PayoffAmount", true);
    foreignCurrency_ = XMLUtils::getChildValue(fxNode, "ForeignCurrency", true);
    domesticCurrency_ = XMLUtils::getChildValue(fxNode, "DomesticCurrency", true);
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 123 of file fxdigitaloption.cpp.

                                                      {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxDigitalOptionData");
    XMLUtils::appendNode(node, fxNode);
 
    XMLUtils::appendNode(fxNode, option_.toXML(doc));
    XMLUtils::addChild(doc, fxNode, "Strike", strike_);
    XMLUtils::addChild(doc, fxNode, "PayoffCurrency", payoffCurrency_);
    XMLUtils::addChild(doc, fxNode, "PayoffAmount", payoffAmount_);
    XMLUtils::addChild(doc, fxNode, "ForeignCurrency", foreignCurrency_);
    XMLUtils::addChild(doc, fxNode, "DomesticCurrency", domesticCurrency_);
 
    return node;
}

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Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 71 of file fxdigitaloption.hpp.

◆ strike_

Real strike_

private

Definition at line 72 of file fxdigitaloption.hpp.

◆ payoffCurrency_

string payoffCurrency_

private

Definition at line 73 of file fxdigitaloption.hpp.

◆ payoffAmount_

Real payoffAmount_

private

Definition at line 74 of file fxdigitaloption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxDigitalOption() [1/3]

◆ FxDigitalOption() [2/3]

◆ FxDigitalOption() [3/3]

Member Function Documentation

◆ build()

◆ option()

◆ strike()

◆ payoffCurrency()

◆ payoffAmount()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ option_

◆ strike_

◆ payoffCurrency_

◆ payoffAmount_