Serializable FX European Barrier Option. More...

#include <ored/portfolio/fxeuropeanbarrieroption.hpp>

Inheritance diagram for FxEuropeanBarrierOption:

Collaboration diagram for FxEuropeanBarrierOption:

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

	FxEuropeanBarrierOption (Envelope &env, OptionData option, BarrierData barrier, string boughtCurrency, double boughtAmount, string soldCurrency, double soldAmount, 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	boughtAmount () const

double	soldAmount () const

const std::string &	fxIndex () const

Real	strike () 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_

double	boughtAmount_

double	soldAmount_

std::string	fxIndex_
	If the option has automatic exercise (i.e. cash settled after maturity), need an FX index for settlement. More...

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 European Barrier Option.

Definition at line 39 of file fxeuropeanbarrieroption.hpp.

Constructor & Destructor Documentation

◆ FxEuropeanBarrierOption() [1/2]

FxEuropeanBarrierOption ( )

Default constructor.

Definition at line 42 of file fxeuropeanbarrieroption.hpp.

43 : ore::data::Trade("FxEuropeanBarrierOption"), FxSingleAssetDerivative("FxEuropeanBarrierOption"),

44 boughtAmount_(0.0), soldAmount_(0.0) {}

ore::data::FxEuropeanBarrierOption::soldAmount_

double soldAmount_

Definition: fxeuropeanbarrieroption.hpp:76

ore::data::FxEuropeanBarrierOption::boughtAmount_

double boughtAmount_

Definition: fxeuropeanbarrieroption.hpp:75

ore::data::FxSingleAssetDerivative::FxSingleAssetDerivative

FxSingleAssetDerivative(const std::string &tradeType)

Definition: fxderivative.hpp:40

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ FxEuropeanBarrierOption() [2/2]

FxEuropeanBarrierOption	(	Envelope &	env,
		OptionData	option,
		BarrierData	barrier,
		string	boughtCurrency,
		double	boughtAmount,
		string	soldCurrency,
		double	soldAmount,
		string	startDate = `""`,
		string	calendar = `""`,
		string	fxIndex = `""`
	)

Constructor.

Definition at line 46 of file fxeuropeanbarrieroption.hpp.

        : ore::data::Trade("FxEuropeanBarrierOption", env),
          FxSingleAssetDerivative("FxEuropeanBarrierOption", env, boughtCurrency, soldCurrency), option_(option),
          barrier_(barrier), boughtAmount_(boughtAmount), soldAmount_(soldAmount), fxIndex_(fxIndex) {}

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 41 of file fxeuropeanbarrieroption.cpp.

                                                                                             {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Simple Exotic");
    additionalData_["isdaSubProduct"] = string("Barrier");  
    additionalData_["isdaTransaction"] = string("");  
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    // Only European Single Barrier 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(barrier_.levels().size() == 1, "Invalid number of barrier levels");
    QL_REQUIRE(barrier_.style().empty() || barrier_.style() == "European", "Only european barrier style suppported");
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxEuropeanBarrierOption");
 
    Currency boughtCcy = parseCurrency(boughtCurrency_);
    Currency soldCcy = parseCurrency(soldCurrency_);
    Real level = barrier_.levels()[0].value();
    Real rebate = barrier_.rebate();
    QL_REQUIRE(rebate >= 0, "Rebate must be non-negative");
 
    // Replicate the payoff of European Barrier Option (with strike K and barrier B) using combinations of options
 
    // Call
    //   Up
    //     In
    //       Long Up&Out Digital Option with barrier B payoff rebate
    //       B > K
    //         Long European Call Option with strike B
    //         Long Up&In Digital Option with barrier B payoff B - K
    //       B <= K
    //         Long European Call Option with strike K
    //     Out
    //       Long Up&In Digital Option with barrier B payoff rebate
    //       B > K
    //         Long European Call Option with strike K
    //         Short European Call Option with strike B
    //         Short Up&In Digital Option with barrier B payoff B - K
    //       B <= K
    //         0
    //   Down
    //     In
    //       Long Down&Out Digital Option with barrier B payoff rebate
    //       B > K
    //         Long European Call Option with strike K
    //       B <= K
    //         0
    //     Out
    //       Long Down&In Digital Option with barrier B payoff rebate
    //       B > K
    //         Long European Call Option with strike B
    //         Long Down&Out Digital Option with barrier B payoff B - K
    //       B <= K
    //         Long European Call Option with strike K
 
    // Put
    //   Up
    //     In
    //       Long Up&Out Digital Option with barrier B payoff rebate
    //       B > K
    //         0
    //       B <= K
    //         Long European Put Option with strike K
    //         Short European Put Option with strike B
    //         Short Up&Out Digital Option with barrier B payoff K - B
    //     Out
    //       Long Up&In Digital Option with barrier B payoff rebate
    //       B > K
    //         Long European Put Option with strike K
    //       B <= K
    //         Long European Put Option with strike B
    //         Long Up&Out Digital Option with barrier B payoff K - B
    //   Down
    //     In
    //       Long Down&Out Digital Option with barrier B payoff rebate
    //       B > K
    //         Long European Put Option with strike K
    //       B <= K
    //         Long European Put Option with strike B
    //         Long Down&In Digital Option with barrier B payoff K - B
    //     Out
    //       Long Down&In Digital Option with barrier B payoff rebate
    //       B > K
    //         0
    //       B <= K
    //         Long European Put Option with strike K
 
    Real strike = this->strike();
    Option::Type type = parseOptionType(option_.callPut());
 
    // Exercise
    Date expiryDate = parseDate(option_.exerciseDates().front());
    Date paymentDate = expiryDate;
 
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(expiryDate);
 
    const boost::optional<OptionPaymentData>& opd = option_.paymentData();
    if (opd) {
        if (opd->rulesBased()) {
            const Calendar& cal = opd->calendar();
            QL_REQUIRE(cal != Calendar(), "Need a non-empty calendar for rules based payment date.");
            paymentDate = cal.advance(expiryDate, opd->lag(), Days, opd->convention());
        } else {
            const vector<Date>& dates = opd->dates();
            QL_REQUIRE(dates.size() == 1, "Need exactly one payment date for cash settled European option.");
            paymentDate = dates[0];
        }
        QL_REQUIRE(paymentDate >= expiryDate, "Payment date must be greater than or equal to expiry date.");
    }
 
    // delayed pay date is only affecting the maturity
    maturity_ = std::max({option_.premiumData().latestPremiumDate(), paymentDate});
 
    QuantLib::ext::shared_ptr<Instrument> digital;
    QuantLib::ext::shared_ptr<Instrument> vanillaK;
    QuantLib::ext::shared_ptr<Instrument> vanillaB;
    QuantLib::ext::shared_ptr<Instrument> rebateInstrument;
 
    bool exercised = false;
    Real exercisePrice = Null<Real>();
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
 
    Option::Type rebateType;
    if (barrierType == Barrier::Type::UpIn || barrierType == Barrier::Type::DownOut) {
        // Payoff - Up&Out / Down&In Digital Option with barrier B payoff rebate
        rebateType = Option::Put;
    } else {
        // Payoff - Up&In / Down&Out Digital Option with barrier B payoff rebate
        rebateType = Option::Call;
    }
 
    if (paymentDate > expiryDate) {
 
        // Has the option been marked as exercised
        const boost::optional<OptionExerciseData>& oed = option_.exerciseData();
        if (oed) {
            QL_REQUIRE(oed->date() == expiryDate, "The supplied exercise date ("
                                                      << io::iso_date(oed->date())
                                                      << ") should equal the option's expiry date ("
                                                      << io::iso_date(expiryDate) << ").");
            exercised = true;
            exercisePrice = oed->price();
        }
 
        QuantLib::ext::shared_ptr<FxIndex> fxIndex;
        if (option_.isAutomaticExercise()) {
            QL_REQUIRE(!fxIndex_.empty(), "FX european barrier option trade with delay payment "
                                              << id() << ": the FXIndex node needs to be populated.");
            fxIndex = buildFxIndex(fxIndex_, soldCcy.code(), boughtCcy.code(), engineFactory->market(),
                                   engineFactory->configuration(MarketContext::pricing));
            requiredFixings_.addFixingDate(expiryDate, fxIndex_, paymentDate);
        }
 
        vanillaK = QuantLib::ext::make_shared<CashSettledEuropeanOption>(
            type, strike, expiryDate, paymentDate, option_.isAutomaticExercise(), fxIndex, exercised, exercisePrice);
        vanillaB = QuantLib::ext::make_shared<CashSettledEuropeanOption>(
            type, level, expiryDate, paymentDate, option_.isAutomaticExercise(), fxIndex, exercised, exercisePrice);
        digital = QuantLib::ext::make_shared<CashSettledEuropeanOption>(type, level, fabs(level - strike), expiryDate,
                                                                paymentDate, option_.isAutomaticExercise(), fxIndex,
                                                                exercised, exercisePrice);
        rebateInstrument = QuantLib::ext::make_shared<CashSettledEuropeanOption>(rebateType, level, rebate, expiryDate,
                                                                paymentDate, option_.isAutomaticExercise(), fxIndex,
                                                                exercised, exercisePrice);
    } else {
        // Payoff - European Option with strike K
        QuantLib::ext::shared_ptr<StrikedTypePayoff> payoffVanillaK(new PlainVanillaPayoff(type, strike));
        // Payoff - European Option with strike B
        QuantLib::ext::shared_ptr<StrikedTypePayoff> payoffVanillaB(new PlainVanillaPayoff(type, level));
        // Payoff - Digital Option with barrier B payoff abs(B - K)
        QuantLib::ext::shared_ptr<StrikedTypePayoff> payoffDigital(new CashOrNothingPayoff(type, level, fabs(level - strike)));
        QuantLib::ext::shared_ptr<StrikedTypePayoff> rebatePayoff(new CashOrNothingPayoff(rebateType, level, rebate));
 
        vanillaK = QuantLib::ext::make_shared<VanillaOption>(payoffVanillaK, exercise);
        vanillaB = QuantLib::ext::make_shared<VanillaOption>(payoffVanillaB, exercise);
        digital = QuantLib::ext::make_shared<VanillaOption>(payoffDigital, exercise);
        rebateInstrument = QuantLib::ext::make_shared<VanillaOption>(rebatePayoff, exercise);
    }
    
    // This is for when/if a PayoffCurrency is added to the instrument,
    // which would require flipping the underlying currency pair
    const bool flipResults = false;
 
    // set pricing engines
    QuantLib::ext::shared_ptr<EngineBuilder> builder;
    QuantLib::ext::shared_ptr<EngineBuilder> digitalBuilder;
    QuantLib::ext::shared_ptr<VanillaOptionEngineBuilder> fxOptBuilder;
 
    if (paymentDate > expiryDate) {
        builder = engineFactory->builder("FxOptionEuropeanCS");
        QL_REQUIRE(builder, "No builder found for FxOptionEuropeanCS");
        fxOptBuilder = QuantLib::ext::dynamic_pointer_cast<FxEuropeanCSOptionEngineBuilder>(builder);
 
        digitalBuilder = engineFactory->builder("FxDigitalOptionEuropeanCS");
        QL_REQUIRE(digitalBuilder, "No builder found for FxDigitalOptionEuropeanCS");
        auto fxDigitalOptBuilder = QuantLib::ext::dynamic_pointer_cast<FxDigitalCSOptionEngineBuilder>(digitalBuilder);
        digital->setPricingEngine(fxDigitalOptBuilder->engine(boughtCcy, soldCcy));
        rebateInstrument->setPricingEngine(fxDigitalOptBuilder->engine(boughtCcy, soldCcy));
        setSensitivityTemplate(*fxDigitalOptBuilder);
    } else {
        builder = engineFactory->builder("FxOption");
        QL_REQUIRE(builder, "No builder found for FxOption");
        fxOptBuilder = QuantLib::ext::dynamic_pointer_cast<FxEuropeanOptionEngineBuilder>(builder);
        
        digitalBuilder = engineFactory->builder("FxDigitalOption");
        QL_REQUIRE(digitalBuilder, "No builder found for FxDigitalOption");
        auto fxDigitalOptBuilder = QuantLib::ext::dynamic_pointer_cast<FxDigitalOptionEngineBuilder>(digitalBuilder);
        digital->setPricingEngine(fxDigitalOptBuilder->engine(boughtCcy, soldCcy, flipResults));
        rebateInstrument->setPricingEngine(fxDigitalOptBuilder->engine(boughtCcy, soldCcy, flipResults));
        setSensitivityTemplate(*fxDigitalOptBuilder);
    }
 
    vanillaK->setPricingEngine(fxOptBuilder->engine(boughtCcy, soldCcy, paymentDate));
    vanillaB->setPricingEngine(fxOptBuilder->engine(boughtCcy, soldCcy, paymentDate));
    setSensitivityTemplate(*fxOptBuilder);
 
    QuantLib::ext::shared_ptr<CompositeInstrument> qlInstrument = QuantLib::ext::make_shared<CompositeInstrument>();
    qlInstrument->add(rebateInstrument);
    if (type == Option::Call) {
        if (barrierType == Barrier::Type::UpIn || barrierType == Barrier::Type::DownOut) {
            if (level > strike) {
                qlInstrument->add(vanillaB);
                qlInstrument->add(digital);
            } else {
                qlInstrument->add(vanillaK);
            }
        } else if (barrierType == Barrier::Type::UpOut || barrierType == Barrier::Type::DownIn) {
            if (level > strike) {
                qlInstrument->add(vanillaK);
                qlInstrument->add(vanillaB, -1);
                qlInstrument->add(digital, -1);
            } else {
                // empty
            }
        } else {
            QL_FAIL("Unknown Barrier Type: " << barrierType);
        }
    } else if (type == Option::Put) {
        if (barrierType == Barrier::Type::UpIn || barrierType == Barrier::Type::DownOut) {
            if (level > strike) {
                // empty
            } else {
                qlInstrument->add(vanillaK);
                qlInstrument->add(vanillaB, -1);
                qlInstrument->add(digital, -1);
            }
        } else if (barrierType == Barrier::Type::UpOut || barrierType == Barrier::Type::DownIn) {
            if (level > strike) {
                qlInstrument->add(vanillaK);
            } else {
                qlInstrument->add(vanillaB);
                qlInstrument->add(digital);
            }
        } else {
            QL_FAIL("Unknown Barrier Type: " << barrierType);
        }
    }
 
    // Add additional premium payments
    Position::Type positionType = parsePositionType(option_.longShort());
    Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
    Real mult = boughtAmount_ * bsInd;
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    addPremiums(additionalInstruments, additionalMultipliers, mult, option_.premiumData(), -bsInd, soldCcy,
                engineFactory, fxOptBuilder->configuration(MarketContext::pricing));
 
    instrument_ = QuantLib::ext::shared_ptr<InstrumentWrapper>(
        new VanillaInstrument(qlInstrument, mult, additionalInstruments, additionalMultipliers));
 
    npvCurrency_ = soldCurrency_; // sold is the domestic
    notional_ = soldAmount_;
    notionalCurrency_ = soldCurrency_;
 
    additionalData_["boughtCurrency"] = boughtCurrency_;
    additionalData_["boughtAmount"] = boughtAmount_;
    additionalData_["soldCurrency"] = soldCurrency_;
    additionalData_["soldAmount"] = soldAmount_;
    if (!fxIndex_.empty())
        additionalData_["FXIndex"] = fxIndex_;
}

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◆ option()

const OptionData & option ( ) const

Definition at line 58 of file fxeuropeanbarrieroption.hpp.

58{ return option_; }

◆ barrier()

const BarrierData & barrier ( ) const

Definition at line 59 of file fxeuropeanbarrieroption.hpp.

59{ return barrier_; }

◆ boughtAmount()

double boughtAmount ( ) const

Definition at line 60 of file fxeuropeanbarrieroption.hpp.

60{ return boughtAmount_; }

◆ soldAmount()

double soldAmount ( ) const

Definition at line 61 of file fxeuropeanbarrieroption.hpp.

61{ return soldAmount_; }

◆ fxIndex()

const std::string & fxIndex ( ) const

Definition at line 62 of file fxeuropeanbarrieroption.hpp.

62{ return fxIndex_; }

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◆ strike()

Real strike ( ) const

Definition at line 356 of file fxeuropeanbarrieroption.cpp.

                                           {
    return soldAmount_ / boughtAmount_;
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 325 of file fxeuropeanbarrieroption.cpp.

                                                   {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxEuropeanBarrierOptionData");
    QL_REQUIRE(fxNode, "No FxEuropeanBarrierOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(fxNode, "OptionData"));
    barrier_.fromXML(XMLUtils::getChildNode(fxNode, "BarrierData"));
    boughtCurrency_ = XMLUtils::getChildValue(fxNode, "BoughtCurrency", true);
    soldCurrency_ = XMLUtils::getChildValue(fxNode, "SoldCurrency", true);
    boughtAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "BoughtAmount", true);
    soldAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "SoldAmount", true);
    fxIndex_ = XMLUtils::getChildValue(fxNode, "FXIndex", false, "");
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 338 of file fxeuropeanbarrieroption.cpp.

                                                              {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxEuropeanBarrierOptionData");
    XMLUtils::appendNode(node, fxNode);
 
    XMLUtils::appendNode(fxNode, option_.toXML(doc));
    XMLUtils::appendNode(fxNode, barrier_.toXML(doc));
    XMLUtils::addChild(doc, fxNode, "BoughtCurrency", boughtCurrency_);
    XMLUtils::addChild(doc, fxNode, "BoughtAmount", boughtAmount_);
    XMLUtils::addChild(doc, fxNode, "SoldCurrency", soldCurrency_);
    XMLUtils::addChild(doc, fxNode, "SoldAmount", soldAmount_);
 
    if (!fxIndex_.empty())
        XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex_);
 
    return node;
}

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◆ checkBarrier()

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

private

Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 73 of file fxeuropeanbarrieroption.hpp.

◆ barrier_

BarrierData barrier_

private

Definition at line 74 of file fxeuropeanbarrieroption.hpp.

◆ boughtAmount_

double boughtAmount_

private

Definition at line 75 of file fxeuropeanbarrieroption.hpp.

◆ soldAmount_

double soldAmount_

private

Definition at line 76 of file fxeuropeanbarrieroption.hpp.

◆ fxIndex_

std::string fxIndex_

private

If the option has automatic exercise (i.e. cash settled after maturity), need an FX index for settlement.

Definition at line 78 of file fxeuropeanbarrieroption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxEuropeanBarrierOption() [1/2]

◆ FxEuropeanBarrierOption() [2/2]

Member Function Documentation

◆ build()

◆ option()

◆ barrier()

◆ boughtAmount()

◆ soldAmount()

◆ fxIndex()

◆ strike()

◆ fromXML()

◆ toXML()

◆ checkBarrier()

Member Data Documentation

◆ option_

◆ barrier_

◆ boughtAmount_

◆ soldAmount_

◆ fxIndex_