Serializable FX Double One-Touch/No-Touch Option. More...

#include <ored/portfolio/fxdoubletouchoption.hpp>

Inheritance diagram for FxDoubleTouchOption:

Collaboration diagram for FxDoubleTouchOption:

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

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

const string &	type () 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	payoffAmount_

string	type_

string	payoffCurrency_

QuantLib::Date	start_

QuantLib::Calendar	cal_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

bool	checkBarrier (Real spot, Barrier::Type type, Real level)

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 Double One-Touch/No-Touch Option.

Definition at line 37 of file fxdoubletouchoption.hpp.

Constructor & Destructor Documentation

◆ FxDoubleTouchOption() [1/2]

FxDoubleTouchOption ( )

Default constructor.

Definition at line 40 of file fxdoubletouchoption.hpp.

41 : ore::data::Trade("FxDoubleTouchOption"), FxSingleAssetDerivative("") {}

ore::data::FxSingleAssetDerivative::FxSingleAssetDerivative

FxSingleAssetDerivative(const std::string &tradeType)

Definition: fxderivative.hpp:40

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ FxDoubleTouchOption() [2/2]

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

Constructor.

Definition at line 41 of file fxdoubletouchoption.cpp.

    : ore::data::Trade("FxDoubleTouchOption", env),
      FxSingleAssetDerivative("", env, foreignCurrency, domesticCurrency), option_(option),
      barrier_(barrier), startDate_(startDate), calendar_(calendar), fxIndex_(fxIndex), payoffAmount_(payoffAmount),
      payoffCurrency_(payoffCurrency) {
    DoubleBarrier::Type barrierType = parseDoubleBarrierType(barrier_.type());
    switch (barrierType) {
    case DoubleBarrier::KnockIn:
        type_ = "KnockIn";
        break;
    case DoubleBarrier::KnockOut:
        type_ = "KnockOut";
        break;
    default:
        QL_FAIL("unsupported barrier type " << barrierType);
    }
}

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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 61 of file fxdoubletouchoption.cpp.

                                                                                         {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Simple Exotic");
    additionalData_["isdaSubProduct"] = string("Barrier");  
    additionalData_["isdaTransaction"] = string("");  
 
    additionalData_["payoffAmount"] = payoffAmount_;
    additionalData_["payoffCurrency"] = payoffCurrency_;
 
    npvCurrency_ = payoffCurrency_;
    notional_ = payoffAmount_;
    notionalCurrency_ = payoffCurrency_;
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
    Date start = ore::data::parseDate(startDate_);
    Calendar cal = ore::data::parseCalendar(calendar_);
 
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxOption");
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    QL_REQUIRE(barrier_.levels().size() == 2, "Invalid number of barrier levels");
    QL_REQUIRE(barrier_.style().empty() || barrier_.style() == "American", "Only american barrier style suppported");
 
    // Parse trade data
    Currency fgnCcy = parseCurrency(foreignCurrency_);
    Currency domCcy = parseCurrency(domesticCurrency_);
    Date expiryDate = parseDate(option_.exerciseDates().front());
    DoubleBarrier::Type barrierType = parseDoubleBarrierType(barrier_.type());
    bool payoffAtExpiry = option_.payoffAtExpiry();
    double rebate = barrier_.rebate();
    Position::Type positionType = parsePositionType(option_.longShort());
 
    QL_REQUIRE(rebate == 0, "Rebates not supported for FxDoubleTouchOptions");
    if (payoffAtExpiry == false) {
        payoffAtExpiry = true;
        DLOG("Payoff at hit not yet supported for FxDoubleTouchOptions, setting to payoff at expiry");
    }
 
    Date payDate = expiryDate;
    const boost::optional<OptionPaymentData>& opd = option_.paymentData();
    if (opd) {
        if (opd->rulesBased()) {
            payDate = opd->calendar().advance(expiryDate, opd->lag(), Days, opd->convention());
        } else {
            if (opd->dates().size() > 1)
                ore::data::StructuredTradeWarningMessage(id(), tradeType(), "Trade build",
                                                         "Found more than 1 payment date. The first one will be used.")
                    .log();
            payDate = opd->dates().front();
        }
    }
    QL_REQUIRE(payDate >= expiryDate, "Settlement date cannot be earlier than expiry date");
    maturity_ = std::max(option_.premiumData().latestPremiumDate(), payDate);
 
    Real levelLow = barrier_.levels()[0].value();
    Real levelHigh = barrier_.levels()[1].value();
    QL_REQUIRE(levelLow < levelHigh, "barrier levels are not in ascending order");
 
    // Handle PayoffCurrency, we might have to flip the trade here
    bool flipResults = false;
    if (payoffCurrency_ == foreignCurrency_) {
        // Invert the trade, switch dom and for and flip Put/Call
        levelLow = 1.0 / levelLow;
        levelHigh = 1.0 / levelHigh;
        std::swap(levelLow, levelHigh);
        std::swap(fgnCcy, domCcy);
        flipResults = true;
    } else if (payoffCurrency_ != domesticCurrency_) {
        QL_FAIL("Invalid Payoff currency (" << payoffCurrency_ << ") for FxDoubleTouchOption " << foreignCurrency_
                                            << domesticCurrency_);
    }
    DLOG("Setting up FxDoubleTouchOption with level " << levelLow << ", " << levelHigh << " foreign/bought " << fgnCcy
                                                      << " domestic/sold " << domCcy);
    // from this point on it's important not to use domesticCurrency_, foreignCurrency_, barrier_.level(), etc
    // rather the local variables (fgnCcy, domCcy, level, etc) should be used as they may have been flipped.
 
    // create payoff and exercise, as well as leg of underlying instrument
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(Option::Call, (levelLow + levelHigh) / 2, 1.0));
    Leg leg;
 
    leg.push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(1.0, payDate)));
 
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
 
    QuantLib::ext::shared_ptr<Instrument> doubleTouch =
        QuantLib::ext::make_shared<DoubleBarrierOption>(barrierType, levelLow, levelHigh, 0.0, payoff, exercise);
    QuantLib::ext::shared_ptr<Instrument> underlying = QuantLib::ext::make_shared<Swap>(Leg(), leg);
 
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex;
    if (!fxIndex_.empty())
        fxIndex = buildFxIndex(fxIndex_, domCcy.code(), fgnCcy.code(), engineFactory->market(),
                               engineFactory->configuration(MarketContext::pricing));
 
    // set pricing engines
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<FxDoubleTouchOptionEngineBuilder> fxDoubleTouchOptBuilder =
        QuantLib::ext::dynamic_pointer_cast<FxDoubleTouchOptionEngineBuilder>(builder);
    doubleTouch->setPricingEngine(fxDoubleTouchOptBuilder->engine(fgnCcy, domCcy, payDate, flipResults));
    setSensitivityTemplate(*fxDoubleTouchOptBuilder);
 
    // if a knock-in option is triggered it becomes a simple forward cashflow
    // which we price as a swap
    builder = engineFactory->builder("Swap");
    QL_REQUIRE(builder, "No builder found for Swap");
    QuantLib::ext::shared_ptr<SwapEngineBuilderBase> swapBuilder =
        QuantLib::ext::dynamic_pointer_cast<SwapEngineBuilderBase>(builder);
    underlying->setPricingEngine(swapBuilder->engine(parseCurrency(payoffCurrency_), std::string(), std::string()));
 
    bool isLong = (positionType == Position::Long) ? true : false;
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    addPremiums(additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_,
                option_.premiumData(), isLong ? -1.0 : 1.0, parseCurrency(payoffCurrency_), engineFactory,
                builder->configuration(MarketContext::pricing));
 
    Handle<Quote> spot = market->fxSpot(fgnCcy.code() + domCcy.code());
    instrument_ = QuantLib::ext::make_shared<DoubleBarrierOptionWrapper>(
        doubleTouch, isLong, expiryDate, false, underlying, barrierType, spot, levelLow, levelHigh, 0, domCcy,
        start, fxIndex, cal, payoffAmount_, payoffAmount_, additionalInstruments, additionalMultipliers);
 
 
    Calendar fixingCal = fxIndex ? fxIndex->fixingCalendar() : cal;
    if (start != Date()) {
        for (Date d = start; d <= expiryDate; d = fixingCal.advance(d, 1 * Days))
            requiredFixings_.addFixingDate(d, fxIndex_, payDate);
    }
 
}

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◆ option()

const OptionData & option ( ) const

Definition at line 52 of file fxdoubletouchoption.hpp.

52{ return option_; }

◆ barrier()

const BarrierData & barrier ( ) const

Definition at line 53 of file fxdoubletouchoption.hpp.

53{ return barrier_; }

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◆ payoffAmount()

double payoffAmount ( ) const

Definition at line 54 of file fxdoubletouchoption.hpp.

54{ return payoffAmount_; }

◆ type()

const string & type ( ) const

Definition at line 55 of file fxdoubletouchoption.hpp.

55{ return type_; }

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◆ payoffCurrency()

const string & payoffCurrency ( ) const

Definition at line 56 of file fxdoubletouchoption.hpp.

56{ return payoffCurrency_; }

◆ startDate()

const string & startDate ( ) const

Definition at line 57 of file fxdoubletouchoption.hpp.

57{ return startDate_; }

◆ calendar()

const string & calendar ( ) const

Definition at line 58 of file fxdoubletouchoption.hpp.

58{ return calendar_; }

◆ fxIndex()

const string & fxIndex ( ) const

Definition at line 59 of file fxdoubletouchoption.hpp.

59{ return fxIndex_; }

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 206 of file fxdoubletouchoption.cpp.

                                               {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxDoubleTouchOptionData");
    QL_REQUIRE(fxNode, "No FxDoubleTouchOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(fxNode, "OptionData"));
    barrier_.fromXML(XMLUtils::getChildNode(fxNode, "BarrierData"));
    DoubleBarrier::Type barrierType = parseDoubleBarrierType(barrier_.type());
    switch (barrierType) {
    case DoubleBarrier::KnockIn:
        type_ = "KnockIn";
        break;
    case DoubleBarrier::KnockOut:
        type_ = "KnockOut";
        break;
    default:
        QL_FAIL("unsupported barrier type " << barrierType);
    }
 
    foreignCurrency_ = XMLUtils::getChildValue(fxNode, "ForeignCurrency", true);
    domesticCurrency_ = XMLUtils::getChildValue(fxNode, "DomesticCurrency", true);
    payoffCurrency_ = XMLUtils::getChildValue(fxNode, "PayoffCurrency", true);
    startDate_ = XMLUtils::getChildValue(fxNode, "StartDate", false);
    calendar_ = XMLUtils::getChildValue(fxNode, "Calendar", false);
    fxIndex_ = XMLUtils::getChildValue(fxNode, "FXIndex", false);
    payoffAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "PayoffAmount", true);
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 233 of file fxdoubletouchoption.cpp.

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

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◆ checkBarrier()

bool checkBarrier	(	Real	spot,
		Barrier::Type	type,
		Real	level
	)

private

Definition at line 193 of file fxdoubletouchoption.cpp.

                                                                                {
    switch (type) {
    case Barrier::DownIn:
    case Barrier::DownOut:
        return spot <= barrier;
    case Barrier::UpIn:
    case Barrier::UpOut:
        return spot >= barrier;
    default:
        QL_FAIL("unknown barrier type " << type);
    }
}

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Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 70 of file fxdoubletouchoption.hpp.

◆ barrier_

BarrierData barrier_

private

Definition at line 71 of file fxdoubletouchoption.hpp.

◆ startDate_

string startDate_

private

Definition at line 72 of file fxdoubletouchoption.hpp.

◆ calendar_

string calendar_

private

Definition at line 73 of file fxdoubletouchoption.hpp.

◆ fxIndex_

string fxIndex_

private

Definition at line 74 of file fxdoubletouchoption.hpp.

◆ payoffAmount_

Real payoffAmount_

private

Definition at line 75 of file fxdoubletouchoption.hpp.

◆ type_

string type_

private

Definition at line 76 of file fxdoubletouchoption.hpp.

◆ payoffCurrency_

string payoffCurrency_

private

Definition at line 77 of file fxdoubletouchoption.hpp.

◆ start_

QuantLib::Date start_

private

Definition at line 80 of file fxdoubletouchoption.hpp.

◆ cal_

QuantLib::Calendar cal_

private

Definition at line 81 of file fxdoubletouchoption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxDoubleTouchOption() [1/2]

◆ FxDoubleTouchOption() [2/2]

Member Function Documentation

◆ build()

◆ option()

◆ barrier()

◆ payoffAmount()

◆ type()

◆ payoffCurrency()

◆ startDate()

◆ calendar()

◆ fxIndex()

◆ fromXML()

◆ toXML()

◆ checkBarrier()

Member Data Documentation

◆ option_

◆ barrier_

◆ startDate_

◆ calendar_

◆ fxIndex_

◆ payoffAmount_

◆ type_

◆ payoffCurrency_

◆ start_

◆ cal_