FxOptionConvention Class Reference

Container for storing FX Option conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for FxOptionConvention:

Collaboration diagram for FxOptionConvention:

Public Member Functions
Constructors
	FxOptionConvention ()
	FxOptionConvention (const string &id, const string &fxConventionId, const string &atmType, const string &deltaType, const string &switchTenor="", const string &longTermAtmType="", const string &longTermDeltaType="", const string &riskReversalInFavorOf="Call", const string &butterflyStyle="Broker")
Inspectors
const string &	fxConventionID () const
const DeltaVolQuote::AtmType &	atmType () const
const DeltaVolQuote::DeltaType &	deltaType () const
const Period &	switchTenor () const
const DeltaVolQuote::AtmType &	longTermAtmType () const
const DeltaVolQuote::DeltaType &	longTermDeltaType () const
const QuantLib::Option::Type &	riskReversalInFavorOf () const
const bool	butterflyIsBrokerStyle () const
Public Member Functions inherited from Convention
virtual	~Convention ()
	Default destructor. More...
const string &	id () const
Type	type () const
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	fxConventionID_
DeltaVolQuote::AtmType	atmType_
DeltaVolQuote::AtmType	longTermAtmType_
DeltaVolQuote::DeltaType	deltaType_
DeltaVolQuote::DeltaType	longTermDeltaType_
Period	switchTenor_
QuantLib::Option::Type	riskReversalInFavorOf_
bool	butterflyIsBrokerStyle_
string	strAtmType_
string	strDeltaType_
string	strSwitchTenor_
string	strLongTermAtmType_
string	strLongTermDeltaType_
string	strRiskReversalInFavorOf_
string	strButterflyStyle_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
virtual void	build () override

Additional Inherited Members
Public Types inherited from Convention
enum class	Type {   Zero , Deposit , Future , FRA ,   OIS , Swap , AverageOIS , TenorBasisSwap ,   TenorBasisTwoSwap , BMABasisSwap , FX , CrossCcyBasis ,   CrossCcyFixFloat , CDS , IborIndex , OvernightIndex ,   SwapIndex , ZeroInflationIndex , InflationSwap , SecuritySpread ,   CMSSpreadOption , CommodityForward , CommodityFuture , FxOption ,   BondYield }
	Supported convention types. More...
Protected Member Functions inherited from Convention
	Convention ()
	Convention (const string &id, Type type)
Protected Attributes inherited from Convention
Type	type_
string	id_

Detailed Description

Container for storing FX Option conventions.

Defining a switchTenor is optional. It is set to 0 * Days if no switch tenor is defined. In this case longTermAtmType and longTermDeltaType are set to atmType and deltaType respectively.

Definition at line 1698 of file conventions.hpp.

Constructor & Destructor Documentation

FxOptionConvention() [1/2]

FxOptionConvention

(

)

Definition at line 1702 of file conventions.hpp.

{}

FxOptionConvention() [2/2]

FxOptionConvention	(	const string &	id,
		const string &	fxConventionId,
		const string &	atmType,
		const string &	deltaType,
		const string &	switchTenor = "",
		const string &	longTermAtmType = "",
		const string &	longTermDeltaType = "",
		const string &	riskReversalInFavorOf = "Call",
		const string &	butterflyStyle = "Broker"
	)

Definition at line 2302 of file conventions.cpp.

    : Convention(id, Type::FxOption), fxConventionID_(fxConventionID), strAtmType_(atmType), strDeltaType_(deltaType),
      strSwitchTenor_(switchTenor), strLongTermAtmType_(longTermAtmType), strLongTermDeltaType_(longTermDeltaType),
      strRiskReversalInFavorOf_(riskReversalInFavorOf), strButterflyStyle_(butterflyStyle) {
    build();
}

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Member Function Documentation

fxConventionID()

const string & fxConventionID

(

)

const

Definition at line 1711 of file conventions.hpp.

{ return fxConventionID_; }

atmType()

const DeltaVolQuote::AtmType & atmType

(

)

const

Definition at line 1712 of file conventions.hpp.

{ return atmType_; }

deltaType()

const DeltaVolQuote::DeltaType & deltaType

(

)

const

Definition at line 1713 of file conventions.hpp.

{ return deltaType_; }

switchTenor()

const Period & switchTenor

(

)

const

Definition at line 1714 of file conventions.hpp.

{ return switchTenor_; }

longTermAtmType()

const DeltaVolQuote::AtmType & longTermAtmType

(

)

const

Definition at line 1715 of file conventions.hpp.

{ return longTermAtmType_; }

longTermDeltaType()

const DeltaVolQuote::DeltaType & longTermDeltaType

(

)

const

Definition at line 1716 of file conventions.hpp.

{ return longTermDeltaType_; }

riskReversalInFavorOf()

const QuantLib::Option::Type & riskReversalInFavorOf

(

)

const

Definition at line 1717 of file conventions.hpp.

{ return riskReversalInFavorOf_; }

butterflyIsBrokerStyle()

const bool butterflyIsBrokerStyle

(

)

const

Definition at line 1718 of file conventions.hpp.

{ return butterflyIsBrokerStyle_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 2338 of file conventions.cpp.

                                              {
 
    XMLUtils::checkNode(node, "FxOption");
    type_ = Type::FxOption;
    id_ = XMLUtils::getChildValue(node, "Id", true);
    fxConventionID_ = XMLUtils::getChildValue(node, "FXConventionID", false);
 
    // Get string values from xml
    strAtmType_ = XMLUtils::getChildValue(node, "AtmType", true);
    strDeltaType_ = XMLUtils::getChildValue(node, "DeltaType", true);
    strSwitchTenor_ = XMLUtils::getChildValue(node, "SwitchTenor", false);
    strLongTermAtmType_ = XMLUtils::getChildValue(node, "LongTermAtmType", false);
    strLongTermDeltaType_ = XMLUtils::getChildValue(node, "LongTermDeltaType", false);
    strRiskReversalInFavorOf_ = XMLUtils::getChildValue(node, "RiskReversalInFavorOf", false);
    strButterflyStyle_ = XMLUtils::getChildValue(node, "ButterflyStyle", false);
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 2356 of file conventions.cpp.

                                                         {
 
    XMLNode* node = doc.allocNode("FxOption");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "FXConventionID", fxConventionID_);
    XMLUtils::addChild(doc, node, "AtmType", strAtmType_);
    XMLUtils::addChild(doc, node, "DeltaType", strDeltaType_);
    XMLUtils::addChild(doc, node, "SwitchTenor", strSwitchTenor_);
    XMLUtils::addChild(doc, node, "LongTermAtmType", strLongTermAtmType_);
    XMLUtils::addChild(doc, node, "LongTermDeltaType", strLongTermDeltaType_);
    XMLUtils::addChild(doc, node, "RiskReversalInFavorOf", strRiskReversalInFavorOf_);
    XMLUtils::addChild(doc, node, "ButterflyStyle", strButterflyStyle_);
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 2312 of file conventions.cpp.

                               {
    atmType_ = parseAtmType(strAtmType_);
    deltaType_ = parseDeltaType(strDeltaType_);
    if (!strSwitchTenor_.empty()) {
        switchTenor_ = parsePeriod(strSwitchTenor_);
        longTermAtmType_ = parseAtmType(strLongTermAtmType_);
        longTermDeltaType_ = parseDeltaType(strLongTermDeltaType_);
    } else {
        switchTenor_ = 0 * Days;
        longTermAtmType_ = atmType_;
        longTermDeltaType_ = deltaType_;
    }
    if (!strRiskReversalInFavorOf_.empty()) {
        riskReversalInFavorOf_ = parseOptionType(strRiskReversalInFavorOf_);
    } else {
        riskReversalInFavorOf_ = Option::Call;
    }
    if (strButterflyStyle_.empty() || strButterflyStyle_ == "Broker") {
        butterflyIsBrokerStyle_ = true;
    } else if (strButterflyStyle_ == "Smile") {
        butterflyIsBrokerStyle_ = false;
    } else {
        QL_FAIL("invalid butterfly style '" << strButterflyStyle_ << "', expected Broker or Smile");
    }
}

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Member Data Documentation

fxConventionID_

string fxConventionID_

private

Definition at line 1728 of file conventions.hpp.

atmType_

DeltaVolQuote::AtmType atmType_

private

Definition at line 1729 of file conventions.hpp.

longTermAtmType_

DeltaVolQuote::AtmType longTermAtmType_

private

Definition at line 1729 of file conventions.hpp.

deltaType_

DeltaVolQuote::DeltaType deltaType_

private

Definition at line 1730 of file conventions.hpp.

longTermDeltaType_

DeltaVolQuote::DeltaType longTermDeltaType_

private

Definition at line 1730 of file conventions.hpp.

switchTenor_

Period switchTenor_

private

Definition at line 1731 of file conventions.hpp.

riskReversalInFavorOf_

QuantLib::Option::Type riskReversalInFavorOf_

private

Definition at line 1732 of file conventions.hpp.

butterflyIsBrokerStyle_

bool butterflyIsBrokerStyle_

private

Definition at line 1733 of file conventions.hpp.

strAtmType_

string strAtmType_

private

Definition at line 1736 of file conventions.hpp.

strDeltaType_

string strDeltaType_

private

Definition at line 1737 of file conventions.hpp.

strSwitchTenor_

string strSwitchTenor_

private

Definition at line 1738 of file conventions.hpp.

strLongTermAtmType_

string strLongTermAtmType_

private

Definition at line 1739 of file conventions.hpp.

strLongTermDeltaType_

string strLongTermDeltaType_

private

Definition at line 1740 of file conventions.hpp.

strRiskReversalInFavorOf_

string strRiskReversalInFavorOf_

private

Definition at line 1741 of file conventions.hpp.

strButterflyStyle_

string strButterflyStyle_

private

Definition at line 1742 of file conventions.hpp.