Serializable FX Forward. More...

#include <ored/portfolio/fxforward.hpp>

Inheritance diagram for FxForward:

Collaboration diagram for FxForward:

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

	FxForward (const Envelope &env, const string &maturityDate, const string &boughtCurrency, double boughtAmount, const string &soldCurrency, double soldAmount, const string &settlement="Physical", const string &fxIndex="", const string &payDate="")
	Constructor. More...

bool	isExpired (const Date &d) override

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

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

std::string	notionalCurrency () const override

Inspectors
const string &	maturityDate () const

const string &	boughtCurrency () const

double	boughtAmount () const

const string &	soldCurrency () const

double	soldAmount () const

const string &	settlement () const
	Settlement Type can be set to "Cash" for NDF. Default value is "Physical". More...

const string &	fxIndex () const

const string &	paymentDate () 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

const Date &	maturity () const

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
string	maturityDate_

string	boughtCurrency_

double	boughtAmount_

string	soldCurrency_

double	soldAmount_

string	settlement_

string	payCurrency_

string	fxIndex_

string	payDate_

string	payLag_

string	payCalendar_

string	payConvention_

bool	includeSettlementDateFlows_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

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 Forward.

Definition at line 36 of file fxforward.hpp.

Constructor & Destructor Documentation

◆ FxForward() [1/2]

FxForward ( )

Default constructor.

Definition at line 39 of file fxforward.hpp.

39: Trade("FxForward"), boughtAmount_(0.0), soldAmount_(0.0) {}

ore::data::FxForward::soldAmount_

double soldAmount_

Definition: fxforward.hpp:79

ore::data::FxForward::boughtAmount_

double boughtAmount_

Definition: fxforward.hpp:77

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ FxForward() [2/2]

FxForward	(	const Envelope &	env,
		const string &	maturityDate,
		const string &	boughtCurrency,
		double	boughtAmount,
		const string &	soldCurrency,
		double	soldAmount,
		const string &	settlement = `"Physical"`,
		const string &	fxIndex = `""`,
		const string &	payDate = `""`
	)

Constructor.

Definition at line 41 of file fxforward.hpp.

        : Trade("FxForward", env), maturityDate_(maturityDate), boughtCurrency_(boughtCurrency),
          boughtAmount_(boughtAmount), soldCurrency_(soldCurrency), soldAmount_(soldAmount), settlement_(settlement),
          fxIndex_(fxIndex), payDate_(payDate) {}

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Member Function Documentation

◆ isExpired()

bool isExpired ( const Date & d )

overridevirtual

Reimplemented from Trade.

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◆ 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 fxforward.cpp.

                                                                               {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string(settlement_ == "Cash" ? "NDF" : "Forward");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");  
        
    additionalData_["soldCurrency"] = soldCurrency_;
    additionalData_["boughtCurrency"] = boughtCurrency_;
    additionalData_["soldAmount"] = soldAmount_;
    additionalData_["boughtAmount"] = boughtAmount_;
    additionalData_["valueDate"] = maturityDate_;
    additionalData_["settlement"] = settlement_;
 
    // If you Buy EURUSD forward, then you buy EUR and sell USD.
    // EUR = foreign, USD = Domestic.
    // You pay in USD, so the Domestic / Sold ccy is the "payer" currency
    Currency boughtCcy = parseCurrency(boughtCurrency_);
    Currency soldCcy = parseCurrency(soldCurrency_);
 
    Currency payCcy;
    if (payCurrency_.empty()) {
        // If settlement currency is not set, set it to the domestic currency.
        payCcy = soldCcy;
    } else {
        payCcy = parseCurrency(payCurrency_);
        QL_REQUIRE(payCcy == boughtCcy || payCcy == soldCcy,
                   "Settlement currency must be either " << boughtCcy.code() << " or " << soldCcy.code() << ".");
    }
 
    npvCurrency_ = payCcy.code();
 
    // The notional and notional ccy will be set in the engine anyway,
    // but we also set this here as a default/fallback in case the engine builder fails.
    if (settlement_ == "Physical") {
        notional_ = soldAmount_;
        notionalCurrency_ = soldCurrency_;
    } else {
        // for cash settled forwards we take the notional from the settlement ccy leg
        notional_ = soldCcy == payCcy ? soldAmount_ : boughtAmount_;
        notionalCurrency_ = payCcy.code();
    }
 
    Date maturityDate = parseDate(maturityDate_);
 
    // Derive settlement date from payment data parameters
    Date payDate;
    if (payDate_.empty()) {
        Natural conventionalLag = 0;
        Calendar conventionalCalendar = NullCalendar();
        BusinessDayConvention conventionalBdc = Unadjusted;
        if (!fxIndex_.empty() && settlement_ == "Cash") {
            std::tie(conventionalLag, conventionalCalendar, conventionalBdc) =
                getFxIndexConventions(fxIndex_.empty() ? boughtCurrency_ + soldCurrency_ : fxIndex_);
        }
        PaymentLag paymentLag;
        if (payLag_.empty())
            paymentLag = conventionalLag;
        else
            paymentLag = parsePaymentLag(payLag_);
        Period payLag = boost::apply_visitor(PaymentLagPeriod(), paymentLag);
        Calendar payCalendar = payCalendar_.empty() ? conventionalCalendar : parseCalendar(payCalendar_);
        BusinessDayConvention payConvention =
            payConvention_.empty() ? conventionalBdc : parseBusinessDayConvention(payConvention_);
        payDate = payCalendar.advance(maturityDate, payLag, payConvention);
    } else {
        payDate = parseDate(payDate_);
        QL_REQUIRE(payDate >= maturityDate, "FX Forward settlement date should equal or exceed the maturity date.");
    }
 
    additionalData_["payDate"] = payDate;
    maturity_ = std::max(payDate, maturityDate);
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex;
 
    Date fixingDate;
    if (settlement_ == "Cash") {
        // We allow for an empty fxIndex if maturiytDate == payDate in order not to break trades that were previously
        // pricing - we should really require fxIndex whenever cash settlement is specified. If the fxIndex is not
        // given in this case, we assume that the current FX Spot rate is used to determine the settlement amount.
        if (maturityDate <= payDate && !fxIndex_.empty()) {
            Currency nonPayCcy = payCcy == boughtCcy ? soldCcy : boughtCcy;
            fxIndex = buildFxIndex(fxIndex_, nonPayCcy.code(), payCcy.code(), engineFactory->market(),
                                   engineFactory->configuration(MarketContext::pricing));
            // We also allow for an effective fixing date > payDate in order not to break trades that were preivously
            // pricing - this should be an error as well. If this is the case we assume that the current FX Spot
            // rate is used to determine the settlement amount as above.
            fixingDate = fxIndex->fixingCalendar().adjust(maturityDate);
            if (fixingDate <= payDate) {
                requiredFixings_.addFixingDate(fixingDate, fxIndex_, payDate);
            }
        } else {
            QL_REQUIRE(maturityDate >= payDate,
                       "FX settlement index must be specified for non-deliverable forward if value date ("
                           << maturityDate << ") < payDate (" << payDate << ")");
        }
    }
    if (fixingDate != Date()) {
        if (fixingDate <= payDate)
            additionalData_["fixingDate"] = fixingDate;
        else
            additionalData_["adjustedValueDate"] = fixingDate;
    }
 
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxForward");
 
    DLOG("Build FxForward with maturity date " << QuantLib::io::iso_date(maturityDate) << " and pay date "
                                               << QuantLib::io::iso_date(payDate));
 
    // get pricing engine builder
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<FxForwardEngineBuilderBase> fxBuilder =
        QuantLib::ext::dynamic_pointer_cast<FxForwardEngineBuilderBase>(builder);
 
    string tmp = fxBuilder->engineParameter("includeSettlementDateFlows", {}, false, "");
    includeSettlementDateFlows_ = tmp == "" ? false : parseBool(tmp);    
    
    QuantLib::ext::shared_ptr<QuantLib::Instrument> instrument =
        QuantLib::ext::make_shared<QuantExt::FxForward>(boughtAmount_, boughtCcy, soldAmount_, soldCcy, maturityDate, false,
                                                settlement_ == "Physical", payDate, payCcy, fixingDate, fxIndex,
                                                includeSettlementDateFlows_);
    instrument_.reset(new VanillaInstrument(instrument));
 
    // set pricing engine
    instrument_->qlInstrument()->setPricingEngine(fxBuilder->engine(boughtCcy, soldCcy));
    setSensitivityTemplate(*fxBuilder);
 
    // Set up Legs
    legs_ = {{QuantLib::ext::make_shared<SimpleCashFlow>(boughtAmount_, payDate)},
             {QuantLib::ext::make_shared<SimpleCashFlow>(soldAmount_, payDate)}};
    legCurrencies_ = {boughtCurrency_, soldCurrency_};
    legPayers_ = {false, true};
}

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◆ notional()

QuantLib::Real notional ( ) const

overridevirtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

Definition at line 175 of file fxforward.cpp.

                                       {
    // try to get the notional from the additional results of the instrument
    try {
        return instrument_->qlInstrument(true)->result<Real>("currentNotional");
    } catch (const std::exception& e) {
        if (strcmp(e.what(), "currentNotional not provided"))
            ALOG("error when retrieving notional: " << e.what());
    }
    // if not provided, return original/fallback amount
    return notional_;
}

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◆ notionalCurrency()

std::string notionalCurrency ( ) const

overridevirtual

Reimplemented from Trade.

Definition at line 187 of file fxforward.cpp.

                                            {
    // try to get the notional ccy from the additional results of the instrument
    try {
        return instrument_->qlInstrument(true)->result<std::string>("notionalCurrency");
    } catch (const std::exception& e) {
        if (strcmp(e.what(), "notionalCurrency not provided"))
            ALOG("error when retrieving notional ccy: " << e.what());
    }
    // if not provided, return original/fallback value
    return notionalCurrency_;
}

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◆ maturityDate()

const string & maturityDate ( ) const

Definition at line 57 of file fxforward.hpp.

57{ return maturityDate_; }

◆ boughtCurrency()

const string & boughtCurrency ( ) const

Definition at line 58 of file fxforward.hpp.

58{ return boughtCurrency_; }

◆ boughtAmount()

double boughtAmount ( ) const

Definition at line 59 of file fxforward.hpp.

59{ return boughtAmount_; }

◆ soldCurrency()

const string & soldCurrency ( ) const

Definition at line 60 of file fxforward.hpp.

60{ return soldCurrency_; }

◆ soldAmount()

double soldAmount ( ) const

Definition at line 61 of file fxforward.hpp.

61{ return soldAmount_; }

◆ settlement()

const string & settlement ( ) const

Settlement Type can be set to "Cash" for NDF. Default value is "Physical".

Definition at line 63 of file fxforward.hpp.

63{ return settlement_; }

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◆ fxIndex()

const string & fxIndex ( ) const

Definition at line 64 of file fxforward.hpp.

64{ return fxIndex_; }

◆ paymentDate()

const string & paymentDate ( ) const

Definition at line 65 of file fxforward.hpp.

65{ return payDate_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 199 of file fxforward.cpp.

                                     {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxForwardData");
    QL_REQUIRE(fxNode, "No FxForwardData Node");
    maturityDate_ = XMLUtils::getChildValue(fxNode, "ValueDate", true);
    boughtCurrency_ = XMLUtils::getChildValue(fxNode, "BoughtCurrency", true);
    soldCurrency_ = XMLUtils::getChildValue(fxNode, "SoldCurrency", true);
    boughtAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "BoughtAmount", true);
    soldAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "SoldAmount", true);
    settlement_ = XMLUtils::getChildValue(fxNode, "Settlement", false);
    if (settlement_ == "")
        settlement_ = "Physical";
 
    if (XMLNode* settlementDataNode = XMLUtils::getChildNode(fxNode, "SettlementData")) {
        payCurrency_ = XMLUtils::getChildValue(settlementDataNode, "Currency", false);
        fxIndex_ = XMLUtils::getChildValue(settlementDataNode, "FXIndex", false);
        payDate_ = XMLUtils::getChildValue(settlementDataNode, "Date", false);
 
        if (payDate_.empty()) {
            if (XMLNode* rulesNode = XMLUtils::getChildNode(settlementDataNode, "Rules")) {
                payLag_ = XMLUtils::getChildValue(rulesNode, "PaymentLag", false);
                payCalendar_ = XMLUtils::getChildValue(rulesNode, "PaymentCalendar", false);
                payConvention_ = XMLUtils::getChildValue(rulesNode, "PaymentConvention", false);
            }
        }
    }
}

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 227 of file fxforward.cpp.

                                                {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxForwardData");
    XMLUtils::appendNode(node, fxNode);
    XMLUtils::addChild(doc, fxNode, "ValueDate", maturityDate_);
    XMLUtils::addChild(doc, fxNode, "BoughtCurrency", boughtCurrency_);
    XMLUtils::addChild(doc, fxNode, "BoughtAmount", boughtAmount_);
    XMLUtils::addChild(doc, fxNode, "SoldCurrency", soldCurrency_);
    XMLUtils::addChild(doc, fxNode, "SoldAmount", soldAmount_);
    XMLUtils::addChild(doc, fxNode, "Settlement", settlement_);
 
    XMLNode* settlementDataNode = doc.allocNode("SettlementData");
    XMLUtils::appendNode(fxNode, settlementDataNode);
 
    if (!payCurrency_.empty())
        XMLUtils::addChild(doc, settlementDataNode, "Currency", payCurrency_);
    if (!fxIndex_.empty())
        XMLUtils::addChild(doc, settlementDataNode, "FXIndex", fxIndex_);
    if (!payDate_.empty()) {
        XMLUtils::addChild(doc, settlementDataNode, "Date", payDate_);
    } else {
        XMLNode* rulesNode = doc.allocNode("Rules");
        XMLUtils::appendNode(settlementDataNode, rulesNode);
        if (!payLag_.empty())
            XMLUtils::addChild(doc, rulesNode, "PaymentLag", payLag_);
        if (!payCalendar_.empty())
            XMLUtils::addChild(doc, rulesNode, "PaymentCalendar", payCalendar_);
        if (!payConvention_.empty())
            XMLUtils::addChild(doc, rulesNode, "PaymentConvention", payConvention_);
    }
 
    return node;
}

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Member Data Documentation

◆ maturityDate_

string maturityDate_

private

Definition at line 75 of file fxforward.hpp.

◆ boughtCurrency_

string boughtCurrency_

private

Definition at line 76 of file fxforward.hpp.

◆ boughtAmount_

double boughtAmount_

private

Definition at line 77 of file fxforward.hpp.

◆ soldCurrency_

string soldCurrency_

private

Definition at line 78 of file fxforward.hpp.

◆ soldAmount_

double soldAmount_

private

Definition at line 79 of file fxforward.hpp.

◆ settlement_

string settlement_

private

Definition at line 80 of file fxforward.hpp.

◆ payCurrency_

string payCurrency_

private

Definition at line 81 of file fxforward.hpp.

◆ fxIndex_

string fxIndex_

private

Definition at line 82 of file fxforward.hpp.

◆ payDate_

string payDate_

private

Definition at line 83 of file fxforward.hpp.

◆ payLag_

string payLag_

private

Definition at line 84 of file fxforward.hpp.

◆ payCalendar_

string payCalendar_

private

Definition at line 85 of file fxforward.hpp.

◆ payConvention_

string payConvention_

private

Definition at line 86 of file fxforward.hpp.

◆ includeSettlementDateFlows_

bool includeSettlementDateFlows_

private

Definition at line 87 of file fxforward.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxForward() [1/2]

◆ FxForward() [2/2]

Member Function Documentation

◆ isExpired()

◆ build()

◆ notional()

◆ notionalCurrency()

◆ maturityDate()

◆ boughtCurrency()

◆ boughtAmount()

◆ soldCurrency()

◆ soldAmount()

◆ settlement()

◆ fxIndex()

◆ paymentDate()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ maturityDate_

◆ boughtCurrency_

◆ boughtAmount_

◆ soldCurrency_

◆ soldAmount_

◆ settlement_

◆ payCurrency_

◆ fxIndex_

◆ payDate_

◆ payLag_

◆ payCalendar_

◆ payConvention_

◆ includeSettlementDateFlows_