Serializable FX Swap. More...

#include <ored/portfolio/fxswap.hpp>

Inheritance diagram for FxSwap:

Collaboration diagram for FxSwap:

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

	FxSwap (const Envelope &env, const string &nearDate, const string &farDate, const string &nearBoughtCurrency, double nearBoughtAmount, const string &nearSoldCurrency, double nearSoldAmount, double farBoughtAmount, double farSoldAmount, const string &settlement="Physical")
	Constructor. More...

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 &	nearDate () const

const string &	farDate () const

const string &	nearBoughtCurrency () const

double	nearBoughtAmount () const

const string &	nearSoldCurrency () const

double	nearSoldAmount () const

double	farBoughtAmount () const

double	farSoldAmount () const

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

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

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
string	nearDate_

string	farDate_

string	nearBoughtCurrency_

double	nearBoughtAmount_

string	nearSoldCurrency_

double	nearSoldAmount_

double	farBoughtAmount_

double	farSoldAmount_

string	settlement_

QuantLib::ext::shared_ptr< QuantLib::Instrument >	instNear_

QuantLib::ext::shared_ptr< QuantLib::Instrument >	instFar_

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 Swap.

Definition at line 36 of file fxswap.hpp.

Constructor & Destructor Documentation

◆ FxSwap() [1/2]

FxSwap ( )

Default constructor.

Definition at line 39 of file fxswap.hpp.

40 : Trade("FxSwap"), nearBoughtAmount_(0.0), nearSoldAmount_(0.0), farBoughtAmount_(0.0), farSoldAmount_(0.0) {}

ore::data::FxSwap::farBoughtAmount_

double farBoughtAmount_

Definition: fxswap.hpp:84

ore::data::FxSwap::farSoldAmount_

double farSoldAmount_

Definition: fxswap.hpp:85

ore::data::FxSwap::nearBoughtAmount_

double nearBoughtAmount_

Definition: fxswap.hpp:81

ore::data::FxSwap::nearSoldAmount_

double nearSoldAmount_

Definition: fxswap.hpp:83

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ FxSwap() [2/2]

FxSwap	(	const Envelope &	env,
		const string &	nearDate,
		const string &	farDate,
		const string &	nearBoughtCurrency,
		double	nearBoughtAmount,
		const string &	nearSoldCurrency,
		double	nearSoldAmount,
		double	farBoughtAmount,
		double	farSoldAmount,
		const string &	settlement = `"Physical"`
	)

Constructor.

Definition at line 42 of file fxswap.hpp.

        : Trade("FxSwap", env), nearDate_(nearDate), farDate_(farDate), nearBoughtCurrency_(nearBoughtCurrency),
          nearBoughtAmount_(nearBoughtAmount), nearSoldCurrency_(nearSoldCurrency), nearSoldAmount_(nearSoldAmount),
          farBoughtAmount_(farBoughtAmount), farSoldAmount_(farSoldAmount), settlement_(settlement) {}

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & engineFactory )

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Constructs a composite pricing engine of two FX forward pricing engines. One with the near amounts as notionals, the other with the far amounts. NPV is the total npv of these trades.

Implements Trade.

Definition at line 34 of file fxswap.cpp.

                                                                            {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string(settlement_ == "Cash" ? "NDF" : "Forward");
    additionalData_["isdaSubProduct"] = string("");
    additionalData_["isdaTransaction"] = string("");  
 
    Currency nearBoughtCcy = data::parseCurrency(nearBoughtCurrency_);
    Currency nearSoldCcy = data::parseCurrency(nearSoldCurrency_);
    Date nearDate = data::parseDate(nearDate_);
    Date farDate = data::parseDate(farDate_);
    maturity_ = farDate;
 
    notional_ = nearBoughtAmount_;
    notionalCurrency_ = nearBoughtCurrency_;
    npvCurrency_ = nearBoughtCurrency_;
 
    try {
        DLOG("FxSwap::build() called for trade " << id());
        //QuantLib::ext::shared_ptr<QuantLib::Instrument> instNear;
        // builds two fxforwards and sums the npvs
        // so that both npvs are in the same currency, the value of the first forward is taken to be the negative of the
        // counterparty's npv
        // npv_total= -npv1+npv2
        instNear_.reset(
            new QuantExt::FxForward(nearSoldAmount_, nearSoldCcy, nearBoughtAmount_, nearBoughtCcy, nearDate, false));
        QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("FxForward");
        QL_REQUIRE(builder, "No builder found for " << tradeType_);
        QuantLib::ext::shared_ptr<FxForwardEngineBuilderBase> fxBuilder =
            QuantLib::ext::dynamic_pointer_cast<FxForwardEngineBuilderBase>(builder);
        instNear_->setPricingEngine(fxBuilder->engine(nearSoldCcy, nearBoughtCcy));
        setSensitivityTemplate(*fxBuilder);
        instFar_.reset(
            new QuantExt::FxForward(farBoughtAmount_, nearSoldCcy, farSoldAmount_, nearBoughtCcy, farDate, false));
        instFar_->setPricingEngine(fxBuilder->engine(nearSoldCcy, nearBoughtCcy));
 
        DLOG("FxSwap::build(): Near NPV = " << instNear_->NPV());
        DLOG("FxSwap::build(): Far NPV = " << instFar_->NPV());
        // TODO: cannot use a CompositeInstrument
        QuantLib::ext::shared_ptr<CompositeInstrument> composite(new CompositeInstrument());
        composite->add(instNear_, -1.0);
        composite->add(instFar_, 1.0);
        instrument_.reset(new VanillaInstrument(composite));
 
    } catch (std::exception&) {
        instrument_.reset();
        throw;
    }
    // Set up Legs
    legs_.clear();
    legs_.resize(4);
    legCurrencies_.resize(4);
    legPayers_.resize(4);
    legs_[0].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(nearBoughtAmount_, nearDate)));
    legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(nearSoldAmount_, nearDate)));
    legs_[2].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(farBoughtAmount_, farDate)));
    legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(farSoldAmount_, farDate)));
 
    legCurrencies_[0] = nearBoughtCurrency_;
    legCurrencies_[1] = nearSoldCurrency_;
    legCurrencies_[2] = nearSoldCurrency_;
    legCurrencies_[3] = nearBoughtCurrency_;
 
    legPayers_[0] = false;
    legPayers_[1] = true;
    legPayers_[2] = false;
    legPayers_[3] = true;
 
    additionalData_["farSoldCurrency"] = nearBoughtCurrency_;
    additionalData_["farBoughtCurrency"] = nearSoldCurrency_;
    additionalData_["farSoldAmount"] = farSoldAmount_;
    additionalData_["farBoughtAmount"] = farBoughtAmount_;
    additionalData_["nearSoldCurrency"] = nearSoldCurrency_;
    additionalData_["nearBoughtCurrency"] = nearBoughtCurrency_;
    additionalData_["nearSoldAmount"] = nearSoldAmount_;
    additionalData_["nearBoughtAmount"] = nearBoughtAmount_;
 
    DLOG("FxSwap leg 0: " << nearDate_ << " " << legs_[0][0]->amount());
    DLOG("FxSwap leg 1: " << nearDate_ << " " << legs_[1][0]->amount());
    DLOG("FxSwap leg 2: " << farDate_ << " " << legs_[2][0]->amount());
    DLOG("FxSwap leg 3: " << farDate_ << " " << legs_[3][0]->amount());
}

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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 119 of file fxswap.cpp.

                                    {
    // try to get the notional from the additional results of the instrument
    try {
        return instFar_->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_;
}

◆ notionalCurrency()

std::string notionalCurrency ( ) const

overridevirtual

Reimplemented from Trade.

Definition at line 131 of file fxswap.cpp.

                                         {
    // try to get the notional ccy from the additional results of the instrument
    try {
        return instFar_->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_;
}

◆ nearDate()

const string & nearDate ( ) const

Definition at line 60 of file fxswap.hpp.

60{ return nearDate_; }

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◆ farDate()

const string & farDate ( ) const

Definition at line 61 of file fxswap.hpp.

61{ return farDate_; }

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◆ nearBoughtCurrency()

const string & nearBoughtCurrency ( ) const

Definition at line 62 of file fxswap.hpp.

62{ return nearBoughtCurrency_; }

◆ nearBoughtAmount()

double nearBoughtAmount ( ) const

Definition at line 63 of file fxswap.hpp.

63{ return nearBoughtAmount_; }

◆ nearSoldCurrency()

const string & nearSoldCurrency ( ) const

Definition at line 64 of file fxswap.hpp.

64{ return nearSoldCurrency_; }

◆ nearSoldAmount()

double nearSoldAmount ( ) const

Definition at line 65 of file fxswap.hpp.

65{ return nearSoldAmount_; }

◆ farBoughtAmount()

double farBoughtAmount ( ) const

Definition at line 66 of file fxswap.hpp.

66{ return farBoughtAmount_; }

◆ farSoldAmount()

double farSoldAmount ( ) const

Definition at line 67 of file fxswap.hpp.

67{ return farSoldAmount_; }

◆ settlement()

const string & settlement ( ) const

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

Definition at line 69 of file fxswap.hpp.

69{ return settlement_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 143 of file fxswap.cpp.

                                  {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxSwapData");
    nearDate_ = XMLUtils::getChildValue(fxNode, "NearDate", true);
    farDate_ = XMLUtils::getChildValue(fxNode, "FarDate", true);
    nearBoughtCurrency_ = XMLUtils::getChildValue(fxNode, "NearBoughtCurrency", true);
    nearSoldCurrency_ = XMLUtils::getChildValue(fxNode, "NearSoldCurrency", true);
    nearBoughtAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "NearBoughtAmount", true);
    nearSoldAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "NearSoldAmount", true);
    farBoughtAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "FarBoughtAmount", true);
    farSoldAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "FarSoldAmount", true);
    settlement_ = XMLUtils::getChildValue(fxNode, "Settlement", false);
    if (settlement_ == "")
        settlement_ = "Physical";
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 159 of file fxswap.cpp.

                                             {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxSwapData");
    XMLUtils::appendNode(node, fxNode);
    XMLUtils::addChild(doc, fxNode, "NearDate", nearDate_);
    XMLUtils::addChild(doc, fxNode, "FarDate", farDate_);
    XMLUtils::addChild(doc, fxNode, "NearBoughtCurrency", nearBoughtCurrency_);
    XMLUtils::addChild(doc, fxNode, "NearBoughtAmount", nearBoughtAmount_);
    XMLUtils::addChild(doc, fxNode, "NearSoldCurrency", nearSoldCurrency_);
    XMLUtils::addChild(doc, fxNode, "NearSoldAmount", nearSoldAmount_);
    XMLUtils::addChild(doc, fxNode, "FarBoughtAmount", farBoughtAmount_);
    XMLUtils::addChild(doc, fxNode, "FarSoldAmount", farSoldAmount_);
    XMLUtils::addChild(doc, fxNode, "Settlement", settlement_);
 
    return node;
}

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Member Data Documentation

◆ nearDate_

string nearDate_

private

Definition at line 78 of file fxswap.hpp.

◆ farDate_

string farDate_

private

Definition at line 79 of file fxswap.hpp.

◆ nearBoughtCurrency_

string nearBoughtCurrency_

private

Definition at line 80 of file fxswap.hpp.

◆ nearBoughtAmount_

double nearBoughtAmount_

private

Definition at line 81 of file fxswap.hpp.

◆ nearSoldCurrency_

string nearSoldCurrency_

private

Definition at line 82 of file fxswap.hpp.

◆ nearSoldAmount_

double nearSoldAmount_

private

Definition at line 83 of file fxswap.hpp.

◆ farBoughtAmount_

double farBoughtAmount_

private

Definition at line 84 of file fxswap.hpp.

◆ farSoldAmount_

double farSoldAmount_

private

Definition at line 85 of file fxswap.hpp.

◆ settlement_

string settlement_

private

Definition at line 86 of file fxswap.hpp.

◆ instNear_

QuantLib::ext::shared_ptr<QuantLib::Instrument> instNear_

private

Definition at line 87 of file fxswap.hpp.

◆ instFar_

QuantLib::ext::shared_ptr<QuantLib::Instrument> instFar_

private

Definition at line 87 of file fxswap.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxSwap() [1/2]

◆ FxSwap() [2/2]

Member Function Documentation

◆ build()

◆ notional()

◆ notionalCurrency()

◆ nearDate()

◆ farDate()

◆ nearBoughtCurrency()

◆ nearBoughtAmount()

◆ nearSoldCurrency()

◆ nearSoldAmount()

◆ farBoughtAmount()

◆ farSoldAmount()

◆ settlement()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ nearDate_

◆ farDate_

◆ nearBoughtCurrency_

◆ nearBoughtAmount_

◆ nearSoldCurrency_

◆ nearSoldAmount_

◆ farBoughtAmount_

◆ farSoldAmount_

◆ settlement_

◆ instNear_

◆ instFar_