#include <ored/portfolio/barrieroption.hpp>

Inheritance diagram for FxOptionWithBarrier:

Collaboration diagram for FxOptionWithBarrier:

Public Member Functions
	FxOptionWithBarrier (const std::string &tradeType)
	Default constructor. More...

	FxOptionWithBarrier (const std::string &tradeType, ore::data::Envelope &env, ore::data::OptionData option, BarrierData barrier, QuantLib::Date startDate, std::string calendar, std::string boughtCurrency, QuantLib::Real boughtAmount, std::string soldCurrency, QuantLib::Real soldAmount, std::string fxIndex=std::string())
	Constructor. More...

Inspectors
QuantLib::Real	boughtAmount () const

QuantLib::Real	soldAmount () const

void	build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &ef) override

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...

Public Member Functions inherited from BarrierOption
	BarrierOption ()
	Constructor. More...

	BarrierOption (ore::data::OptionData option, BarrierData barrier, QuantLib::Date startDate=QuantLib::Date(), const std::string &calendar=std::string())

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

virtual void	checkBarriers ()=0
	check validity of barriers More...

virtual QuantLib::ext::shared_ptr< QuantLib::Index >	getIndex ()=0

virtual const QuantLib::Real	strike ()=0

virtual QuantLib::Real	tradeMultiplier ()=0

virtual Currency	tradeCurrency ()=0

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	vanillaPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate)=0

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	barrierPricingEngine (const QuantLib::ext::shared_ptr< EngineFactory > &ef, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate)=0

virtual const QuantLib::Handle< QuantLib::Quote > &	spotQuote ()=0

virtual void	additionalFromXml (ore::data::XMLNode *node)=0

virtual void	additionalToXml (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const =0

virtual std::string	indexFixingName ()=0

const ore::data::OptionData &	option () const

const BarrierData &	barrier () const

const QuantLib::Date &	startDate () const

const QuantLib::Calendar &	calendar () const

Serialisation
std::string	fxIndexStr_

QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex_

QuantLib::Handle< QuantLib::Quote >	spotQuote_

QuantLib::Real	boughtAmount_

QuantLib::Real	soldAmount_

void	additionalFromXml (ore::data::XMLNode *node) override

void	additionalToXml (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const override

QuantLib::ext::shared_ptr< QuantLib::Index >	getIndex () override

const QuantLib::Real	strike () override

QuantLib::Real	tradeMultiplier () override

Currency	tradeCurrency () override

const QuantLib::Handle< QuantLib::Quote > &	spotQuote () override

std::string	indexFixingName () override

void	fromXML (ore::data::XMLNode *node) override

ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

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_

Protected Attributes inherited from BarrierOption
std::string	calendarStr_

Detailed Description

Definition at line 101 of file barrieroption.hpp.

Constructor & Destructor Documentation

◆ FxOptionWithBarrier() [1/2]

FxOptionWithBarrier ( const std::string & tradeType )

Default constructor.

Definition at line 104 of file barrieroption.hpp.

104 : ore::data::Trade(tradeType), FxSingleAssetDerivative(tradeType),

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

ore::data::FxOptionWithBarrier::soldAmount_

QuantLib::Real soldAmount_

Definition: barrieroption.hpp:145

ore::data::FxOptionWithBarrier::boughtAmount_

QuantLib::Real boughtAmount_

Definition: barrieroption.hpp:144

ore::data::FxSingleAssetDerivative::FxSingleAssetDerivative

FxSingleAssetDerivative(const std::string &tradeType)

Definition: fxderivative.hpp:40

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ FxOptionWithBarrier() [2/2]

FxOptionWithBarrier	(	const std::string &	tradeType,
		ore::data::Envelope &	env,
		ore::data::OptionData	option,
		BarrierData	barrier,
		QuantLib::Date	startDate,
		std::string	calendar,
		std::string	boughtCurrency,
		QuantLib::Real	boughtAmount,
		std::string	soldCurrency,
		QuantLib::Real	soldAmount,
		std::string	fxIndex = `std::string()`
	)

Constructor.

Definition at line 108 of file barrieroption.hpp.

        : ore::data::Trade(tradeType, env), 
          FxSingleAssetDerivative(tradeType, env, boughtCurrency, soldCurrency),
          BarrierOption(option, barrier, startDate, calendar), 
          fxIndexStr_(fxIndex), boughtAmount_(boughtAmount), soldAmount_(soldAmount) {}

Member Function Documentation

◆ boughtAmount()

QuantLib::Real boughtAmount ( ) const

Definition at line 119 of file barrieroption.hpp.

119{ return boughtAmount_; }

◆ soldAmount()

QuantLib::Real soldAmount ( ) const

Definition at line 120 of file barrieroption.hpp.

120{ return soldAmount_; }

◆ build()

void build ( const QuantLib::ext::shared_ptr< ore::data::EngineFactory > & ef )

override

Definition at line 212 of file barrieroption.cpp.

                                                                                     { 
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Simple Exotic");
    additionalData_["isdaSubProduct"] = string("Barrier");    
    additionalData_["isdaTransaction"] = string("");  
    
    additionalData_["boughAmount"] = boughtAmount_;
    additionalData_["boughtCurrency"] = boughtCurrency_;
    additionalData_["soldAmount"] = soldAmount_;
    additionalData_["soldCurrency"] = soldCurrency_;
 
    npvCurrency_ = soldCurrency_; // sold is the domestic
    notional_ = soldAmount_;
    notionalCurrency_ = soldCurrency_; // sold is the domestic
 
    QuantLib::Date expiryDate = parseDate(option().exerciseDates().front());
    maturity_ = std::max(option().premiumData().latestPremiumDate(), expiryDate);
 
    spotQuote_ = ef->market()->fxSpot(boughtCurrency_ + soldCurrency_);
    fxIndex_ = ef->market()->fxIndex(indexFixingName(), ef->configuration(MarketContext::pricing)).currentLink();
 
    BarrierOption::build(ef); 
}

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◆ additionalFromXml()

void additionalFromXml ( ore::data::XMLNode * node )

overridevirtual

Implements BarrierOption.

Definition at line 238 of file barrieroption.cpp.

                                                         {
    fxIndexStr_ = XMLUtils::getChildValue(node, "FXIndex", false);
    boughtCurrency_ = XMLUtils::getChildValue(node, "BoughtCurrency", true);
    soldCurrency_ = XMLUtils::getChildValue(node, "SoldCurrency", true);
    boughtAmount_ = XMLUtils::getChildValueAsDouble(node, "BoughtAmount", true);
    soldAmount_ = XMLUtils::getChildValueAsDouble(node, "SoldAmount", true);
}

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◆ additionalToXml()

void additionalToXml	(	ore::data::XMLDocument &	doc,
		ore::data::XMLNode *	node
	)		const

overridevirtual

Implements BarrierOption.

Definition at line 246 of file barrieroption.cpp.

                                                                               {
    if (!fxIndexStr_.empty())
        XMLUtils::addChild(doc, node, "FXIndex", fxIndexStr_);
    XMLUtils::addChild(doc, node, "BoughtCurrency", boughtCurrency_);
    XMLUtils::addChild(doc, node, "BoughtAmount", boughtAmount_);
    XMLUtils::addChild(doc, node, "SoldCurrency", soldCurrency_);
    XMLUtils::addChild(doc, node, "SoldAmount", soldAmount_);
}

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◆ getIndex()

QuantLib::ext::shared_ptr< QuantLib::Index > getIndex ( )

overridevirtual

Implements BarrierOption.

Definition at line 130 of file barrieroption.hpp.

130{ return QuantLib::ext::dynamic_pointer_cast<Index>(fxIndex_); }

◆ strike()

const QuantLib::Real strike ( )

overridevirtual

Implements BarrierOption.

Definition at line 131 of file barrieroption.hpp.

131{ return soldAmount_ / boughtAmount_; }

◆ tradeMultiplier()

QuantLib::Real tradeMultiplier ( )

overridevirtual

Implements BarrierOption.

Definition at line 132 of file barrieroption.hpp.

132{ return boughtAmount_; }

◆ tradeCurrency()

Currency tradeCurrency ( )

overridevirtual

Implements BarrierOption.

Definition at line 133 of file barrieroption.hpp.

133{ return parseCurrency(soldCurrency_); }

ore::data::parseCurrency

Currency parseCurrency(const string &s)

Convert text to QuantLib::Currency.

Definition: parsers.cpp:290

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◆ spotQuote()

const QuantLib::Handle< QuantLib::Quote > & spotQuote ( )

overridevirtual

Implements BarrierOption.

Definition at line 134 of file barrieroption.hpp.

134{ return spotQuote_; }

◆ indexFixingName()

std::string indexFixingName ( )

overridevirtual

Implements BarrierOption.

Definition at line 205 of file barrieroption.cpp.

                                               {
    if (fxIndexStr_.empty())
        return boughtCurrency_ + soldCurrency_;
    else
        return fxIndexStr_;
}

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◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Reimplemented from BarrierOption.

Definition at line 137 of file barrieroption.hpp.

137{ BarrierOption::fromXML(node); }

ore::data::BarrierOption::fromXML

void fromXML(ore::data::XMLNode *node) override

Definition: barrieroption.cpp:176

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◆ toXML()

ore::data::XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Reimplemented from BarrierOption.

Definition at line 138 of file barrieroption.hpp.

138{ return BarrierOption::toXML(doc); }

ore::data::BarrierOption::toXML

ore::data::XMLNode * toXML(ore::data::XMLDocument &doc) const override

Definition: barrieroption.cpp:189

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Member Data Documentation

◆ fxIndexStr_

std::string fxIndexStr_

private

Definition at line 141 of file barrieroption.hpp.

◆ fxIndex_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex_

private

Definition at line 142 of file barrieroption.hpp.

◆ spotQuote_

QuantLib::Handle<QuantLib::Quote> spotQuote_

private

Definition at line 143 of file barrieroption.hpp.

◆ boughtAmount_

QuantLib::Real boughtAmount_

private

Definition at line 144 of file barrieroption.hpp.

◆ soldAmount_

QuantLib::Real soldAmount_

private

Definition at line 145 of file barrieroption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxOptionWithBarrier() [1/2]

◆ FxOptionWithBarrier() [2/2]

Member Function Documentation

◆ boughtAmount()

◆ soldAmount()

◆ build()

◆ additionalFromXml()

◆ additionalToXml()

◆ getIndex()

◆ strike()

◆ tradeMultiplier()

◆ tradeCurrency()

◆ spotQuote()

◆ indexFixingName()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ fxIndexStr_

◆ fxIndex_

◆ spotQuote_

◆ boughtAmount_

◆ soldAmount_