Serializable FX Option. More...

#include <ored/portfolio/fxoption.hpp>

Inheritance diagram for FxOption:

Collaboration diagram for FxOption:

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

	FxOption (const Envelope &env, const OptionData &option, const string &boughtCurrency, double boughtAmount, const string &soldCurrency, double soldAmount, const std::string &fxIndex="")
	Constructor. More...

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

Inspectors
const string &	boughtCurrency () const

double	boughtAmount () const

const string &	soldCurrency () const

double	soldAmount () const

const std::string &	fxIndex () const

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

void	setNotionalAndCurrencies ()

const OptionData &	option () const

const string &	asset () const

const string &	currency () const

TradeStrike	strike () const

double	quantity () const

const QuantLib::Date	forwardDate () const

const QuantLib::Date	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

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
std::string	fxIndex_
	If the option has automatic exercise, need an FX index for settlement. More...

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from VanillaOptionTrade
	VanillaOptionTrade (AssetClass assetClassUnderlying)

	VanillaOptionTrade (const Envelope &env, AssetClass assetClassUnderlying, OptionData option, string assetName, string currency, double quantity, TradeStrike strike, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="", QuantLib::Date forwardDate=QuantLib::Date())

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 VanillaOptionTrade
AssetClass	assetClassUnderlying_

OptionData	option_

string	assetName_

string	currency_

Currency	underlyingCurrency_

double	quantity_

TradeStrike	strike_

QuantLib::ext::shared_ptr< QuantLib::Index >	index_
	An index is needed if the option is to be automatically exercised on expiry. More...

std::string	indexName_
	Hold the external index name if needed e.g. in the case of an FX index. More...

QuantLib::Date	expiryDate_
	Store the option expiry date. More...

QuantLib::Date	forwardDate_
	Store the (optional) forward date. More...

QuantLib::Date	paymentDate_
	Store the (optional) payment date. More...

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 Option.

Definition at line 38 of file fxoption.hpp.

Constructor & Destructor Documentation

◆ FxOption() [1/2]

FxOption ( )

Default constructor.

Definition at line 41 of file fxoption.hpp.

41: VanillaOptionTrade(AssetClass::FX) { tradeType_ = "FxOption"; }

ore::data::Trade::tradeType_

string tradeType_

Definition: trade.hpp:196

ore::data::VanillaOptionTrade::VanillaOptionTrade

VanillaOptionTrade(AssetClass assetClassUnderlying)

Definition: vanillaoption.hpp:57

ore::data::AssetClass::FX

@ FX

◆ FxOption() [2/2]

FxOption	(	const Envelope &	env,
		const OptionData &	option,
		const string &	boughtCurrency,
		double	boughtAmount,
		const string &	soldCurrency,
		double	soldAmount,
		const std::string &	fxIndex = `""`
	)

Constructor.

Definition at line 43 of file fxoption.hpp.

        : VanillaOptionTrade(env, AssetClass::FX, option, boughtCurrency, soldCurrency, boughtAmount,
                             TradeStrike(soldAmount / boughtAmount, soldCurrency)),
          fxIndex_(fxIndex) {
        tradeType_ = "FxOption";
    }

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 fxoption.cpp.

                                                                              {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Vanilla Option");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");
 
    additionalData_["boughtCurrency"] = assetName_;
    additionalData_["boughtAmount"] = quantity_;
    additionalData_["soldCurrency"] = currency_;
    additionalData_["soldAmount"] = quantity_ * strike_.value();
 
    QuantLib::Date today = Settings::instance().evaluationDate();
    const QuantLib::ext::shared_ptr<Market>& market = engineFactory->market();
 
    // If automatic exercise, check that we have a non-empty FX index string, parse it and attach curves from market.
    if (option_.isAutomaticExercise()) {
 
        QL_REQUIRE(!fxIndex_.empty(),
                   "FX option trade " << id() << " has automatic exercise so the FXIndex node needs to be populated.");
 
        // The strike is the number of units of sold currency (currency_) per unit of bought currency (assetName_).
        // So, the convention here is that the sold currency is domestic and the bought currency is foreign.
        // Note: intentionally use null calendar and 0 day fixing lag here because we will ask the FX index for its
        //       value on the expiry date without adjustment.
        index_ = buildFxIndex(fxIndex_, currency_, assetName_, market,
                              engineFactory->configuration(MarketContext::pricing));
 
        // Populate the external index name so that fixings work.
        indexName_ = fxIndex_;
    }
 
    const ext::optional<OptionPaymentData>& opd = option_.paymentData();
    expiryDate_ = parseDate(option_.exerciseDates().front());
    QuantLib::Date paymentDate = expiryDate_;
    if (option_.settlement() == "Physical" && 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 {
            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();
            paymentDate = opd->dates().front();
        }
 
        QL_REQUIRE(paymentDate >= expiryDate_, "Settlement date must be greater than or equal to expiry date.");
 
        if (expiryDate_ <= today) {
            // building an fx forward instrument instead of the option
            Date fixingDate;
            Currency boughtCcy = parseCurrency(assetName_);
            Currency soldCcy = parseCurrency(currency_);
            ext::shared_ptr<QuantLib::Instrument> instrument =
                ext::make_shared<QuantExt::FxForward>(quantity_, boughtCcy, soldAmount(), soldCcy, maturity_, false,
                                                        true, paymentDate, soldCcy, fixingDate);
            instrument_.reset(new VanillaInstrument(instrument));
            if (option_.exerciseData()) {
                if (option_.exerciseData()->date() <= expiryDate_) {
                    // option is exercised
                    // fxforward flow are flows from trade data
                    legs_ = {{ext::make_shared<SimpleCashFlow>(quantity_, paymentDate)},
                                {ext::make_shared<SimpleCashFlow>(soldAmount(), paymentDate)}};
                    legCurrencies_ = {assetName_, currency_};
                    legPayers_ = {false, true};
                } else
                    QL_REQUIRE(option_.exerciseData()->date() <= expiryDate_,
                                "Trade build error, exercise after option expiry is not allowed");
            } else {
                // option not exercised
                // set flows = 0
                legs_ = {};
            }
            forwardDate_ = paymentDate;
            paymentDate_ = paymentDate;
        }
        // Build the trade using the shared functionality in the base class.
        VanillaOptionTrade::build(engineFactory);
        maturity_ = paymentDate;
    } else {
        VanillaOptionTrade::build(engineFactory);
    }
}

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◆ boughtCurrency()

const string & boughtCurrency ( ) const

Definition at line 56 of file fxoption.hpp.

56{ return assetName_; }

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◆ boughtAmount()

double boughtAmount ( ) const

Definition at line 57 of file fxoption.hpp.

57{ return quantity_; }

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◆ soldCurrency()

const string & soldCurrency ( ) const

Definition at line 58 of file fxoption.hpp.

58{ return currency_; }

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◆ soldAmount()

double soldAmount ( ) const

Definition at line 59 of file fxoption.hpp.

59{ return strike_.value() * quantity_; }

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◆ fxIndex()

const std::string & fxIndex ( ) const

Definition at line 60 of file fxoption.hpp.

60{ return fxIndex_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 128 of file fxoption.cpp.

                                    {
    VanillaOptionTrade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxOptionData");
    QL_REQUIRE(fxNode, "No FxOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(fxNode, "OptionData"));
    assetName_ = XMLUtils::getChildValue(fxNode, "BoughtCurrency", true);
    currency_ = XMLUtils::getChildValue(fxNode, "SoldCurrency", true);
    double boughtAmount = XMLUtils::getChildValueAsDouble(fxNode, "BoughtAmount", true);
    double soldAmount = XMLUtils::getChildValueAsDouble(fxNode, "SoldAmount", true);
    strike_ = TradeStrike(soldAmount / boughtAmount, currency_);
    quantity_ = boughtAmount;
    fxIndex_ = XMLUtils::getChildValue(fxNode, "FXIndex", false);
    QL_REQUIRE(boughtAmount > 0.0, "positive BoughtAmount required");
    QL_REQUIRE(soldAmount > 0.0, "positive SoldAmount required");
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 144 of file fxoption.cpp.

                                               {
    // TODO: Should call parent class to xml?
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxOptionData");
    XMLUtils::appendNode(node, fxNode);
 
    XMLUtils::appendNode(fxNode, option_.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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Member Data Documentation

◆ fxIndex_

std::string fxIndex_

private

If the option has automatic exercise, need an FX index for settlement.

Definition at line 71 of file fxoption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxOption() [1/2]

◆ FxOption() [2/2]

Member Function Documentation

◆ build()

◆ boughtCurrency()

◆ boughtAmount()

◆ soldCurrency()

◆ soldAmount()

◆ fxIndex()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ fxIndex_