Serializable FX One-Touch/No-Touch Option. More...

#include <ored/portfolio/fxtouchoption.hpp>

Inheritance diagram for FxTouchOption:

Collaboration diagram for FxTouchOption:

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

	FxTouchOption (Envelope &env, OptionData option, BarrierData barrier, string foreignCurrency, string domesticCurrency, string payoffCurrency, double payoffAmount, string startDate="", string calendar="", string fxIndex="")
	Constructor. More...

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

Inspectors
const OptionData &	option () const

const BarrierData &	barrier () const

double	payoffAmount () const

const string &	type () const

const string &	payoffCurrency () const

const string &	startDate () const

const string &	calendar () const

const string &	fxIndex () const

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...

Serialisation
OptionData	option_

BarrierData	barrier_

string	startDate_

string	calendar_

string	fxIndex_

Real	payoffAmount_

string	type_

string	payoffCurrency_

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

bool	checkBarrier (Real spot, Barrier::Type type, Real level)

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_

Detailed Description

Serializable FX One-Touch/No-Touch Option.

Definition at line 39 of file fxtouchoption.hpp.

Constructor & Destructor Documentation

◆ FxTouchOption() [1/2]

FxTouchOption ( )

Default constructor.

Definition at line 42 of file fxtouchoption.hpp.

42: ore::data::Trade("FxTouchOption"), FxSingleAssetDerivative("") {}

ore::data::FxSingleAssetDerivative::FxSingleAssetDerivative

FxSingleAssetDerivative(const std::string &tradeType)

Definition: fxderivative.hpp:40

ore::data::Trade

Trade base class.

Definition: trade.hpp:55

◆ FxTouchOption() [2/2]

FxTouchOption	(	Envelope &	env,
		OptionData	option,
		BarrierData	barrier,
		string	foreignCurrency,
		string	domesticCurrency,
		string	payoffCurrency,
		double	payoffAmount,
		string	startDate = `""`,
		string	calendar = `""`,
		string	fxIndex = `""`
	)

Constructor.

Definition at line 43 of file fxtouchoption.cpp.

    : ore::data::Trade("FxTouchOption", env),
      FxSingleAssetDerivative("", env, foreignCurrency, domesticCurrency), option_(option),
      barrier_(barrier), startDate_(startDate), calendar_(calendar), fxIndex_(fxIndex), payoffAmount_(payoffAmount),
      payoffCurrency_(payoffCurrency) {
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
    switch (barrierType) {
    case Barrier::DownIn:
    case Barrier::UpIn:
        type_ = "One-Touch";
        break;
    case Barrier::DownOut:
    case Barrier::UpOut:
        type_ = "No-Touch";
        break;
    default:
        QL_FAIL("unknown barrier type");
    }
}

Here is the call graph for this function:

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 65 of file fxtouchoption.cpp.

                                                                                   {
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Foreign Exchange");
    additionalData_["isdaBaseProduct"] = string("Simple Exotic");
    additionalData_["isdaSubProduct"] = string("Barrier");
    additionalData_["isdaTransaction"] = string("");
 
    additionalData_["payoffAmount"] = payoffAmount_;
    additionalData_["payoffCurrency"] = payoffCurrency_;
 
    npvCurrency_ = payoffCurrency_;
    notional_ = payoffAmount_;
    notionalCurrency_ = payoffCurrency_;
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxOption");
    QL_REQUIRE(option_.exerciseDates().size() == 1, "Invalid number of exercise dates");
    QL_REQUIRE(barrier_.levels().size() == 1, "Double barriers not supported for FxTouchOptions");
    QL_REQUIRE(barrier_.style().empty() || barrier_.style() == "American", "Only american barrier style suppported");
 
    // Parse trade data
    Currency fgnCcy = parseCurrency(foreignCurrency_);
    Currency domCcy = parseCurrency(domesticCurrency_);
    Real level = barrier_.levels()[0].value();
    Date expiryDate = parseDate(option_.exerciseDates().front());
    
    Natural payLag = 0;
    BusinessDayConvention payConvention = Unadjusted;
    Calendar payCalendar = NullCalendar();
    Date payDate = expiryDate;
    const boost::optional<OptionPaymentData>& opd = option_.paymentData();
    if (opd) {
        if (opd->rulesBased()) {
            payLag = opd->lag();
            payConvention = opd->convention();
            payCalendar = opd->calendar();
            payDate = payCalendar.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();
            payDate = opd->dates().front();
        }
    }
    QL_REQUIRE(payDate >= expiryDate, "Settlement date cannot be earlier than expiry date");
 
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
    Option::Type type;
    if (barrierType == Barrier::DownIn || barrierType == Barrier::DownOut)
        type = Option::Type::Put;
    else
        type = Option::Type::Call;
    option_.setCallPut(to_string(type));
    bool payoffAtExpiry = option_.payoffAtExpiry();
    Real rebate = barrier_.rebate();
    Position::Type positionType = parsePositionType(option_.longShort());
    Date start = ore::data::parseDate(startDate_);
 
    QL_REQUIRE(rebate == 0, "Rebates not supported for FxTouchOptions");
    QL_REQUIRE(payoffAtExpiry == true || barrierType == Barrier::Type::DownIn || barrierType == Barrier::Type::UpIn,
               "Payoff at hit not supported for FxNoTouchOptions");
    if ((barrierType == Barrier::Type::DownIn || barrierType == Barrier::Type::UpIn) && payoffAtExpiry == false)
        QL_REQUIRE(
            !opd || (opd->rulesBased() && opd->relativeTo() == OptionPaymentData::RelativeTo::Exercise),
            "Option payment data must be rules-based and relative to Exercise for FxOneTouchOption with payoff at hit");
 
    // Handle PayoffCurrency, we might have to flip the trade here
    bool flipResults = false;
    if (payoffCurrency_ == foreignCurrency_) {
        // Invert the trade, switch dom and for and flip Put/Call
        level = 1.0 / level;
        std::swap(fgnCcy, domCcy);
        type = type == Option::Call ? Option::Put : Option::Call;
        switch (barrierType) {
        case Barrier::DownIn:
            barrierType = Barrier::UpIn;
            break;
        case Barrier::UpIn:
            barrierType = Barrier::DownIn;
            break;
        case Barrier::DownOut:
            barrierType = Barrier::UpOut;
            break;
        case Barrier::UpOut:
            barrierType = Barrier::DownOut;
            break;
        }
        flipResults = true;
    } else if (payoffCurrency_ != domesticCurrency_) {
        QL_FAIL("Invalid Payoff currency (" << payoffCurrency_ << ") for FxTouchOption " << foreignCurrency_
                                            << domesticCurrency_);
    }
    DLOG("Setting up FxTouchOption with level " << level << " foreign/bought " << fgnCcy << " domestic/sold "
                                                << domCcy);
    // from this point on it's important not to use domesticCurrency_, foreignCurrency_, barrier_.level(), etc
    // rather the local variables (fgnCcy, domCcy, level, etc) should be used as they may have been flipped.
 
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex;
    if (!fxIndex_.empty())
        fxIndex = buildFxIndex(fxIndex_, domCcy.code(), fgnCcy.code(), engineFactory->market(),
                               engineFactory->configuration(MarketContext::pricing));
    Calendar cal = ore::data::parseCalendar(calendar_);
 
    auto buildBarrierOptionWrapperInstr = [this, type, level, engineFactory, domCcy, fgnCcy, flipResults, positionType,
                                           market, barrierType, rebate, fxIndex, cal,
                                           start](const Date& expiryDate, const Date& payDate) {
        QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(type, level, 1.0));
        Leg leg;
 
        leg.push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(1.0, payDate)));
        // Hard code payoff at expiry to true - we ignore in pricing; QPR-10669
        bool payoffFlag = true;
 
        QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<AmericanExercise>(expiryDate, payoffFlag);
 
        QuantLib::ext::shared_ptr<Instrument> barrier = QuantLib::ext::make_shared<VanillaOption>(payoff, exercise);
        QuantLib::ext::shared_ptr<Instrument> underlying = QuantLib::ext::make_shared<Swap>(Leg(), leg);
 
        // set pricing engines
        QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
        QL_REQUIRE(builder, "No builder found for " << tradeType_);
        QuantLib::ext::shared_ptr<FxTouchOptionEngineBuilder> fxTouchOptBuilder =
            QuantLib::ext::dynamic_pointer_cast<FxTouchOptionEngineBuilder>(builder);
        barrier->setPricingEngine(fxTouchOptBuilder->engine(fgnCcy, domCcy, type_, payDate, flipResults));
        setSensitivityTemplate(*fxTouchOptBuilder);
        if (type_ == "One-Touch") {
            // if a one-touch option is triggered it becomes a simple forward cashflow
            // which we price as a swap
            builder = engineFactory->builder("Swap");
            QL_REQUIRE(builder, "No builder found for Swap");
            QuantLib::ext::shared_ptr<SwapEngineBuilderBase> swapBuilder =
                QuantLib::ext::dynamic_pointer_cast<SwapEngineBuilderBase>(builder);
            underlying->setPricingEngine(swapBuilder->engine(domCcy, std::string(), std::string()));
        }
 
        bool isLong = (positionType == Position::Long) ? true : false;
 
        std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
        std::vector<Real> additionalMultipliers;
        Date lastPremiumDate =
            addPremiums(additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_,
                        option_.premiumData(), isLong ? -1.0 : 1.0, parseCurrency(payoffCurrency_), engineFactory,
                        builder->configuration(MarketContext::pricing));
 
        Handle<Quote> spot = market->fxRate(fgnCcy.code() + domCcy.code());
 
        auto barrierOptionWrapper = QuantLib::ext::make_shared<SingleBarrierOptionWrapper>(
            barrier, isLong, expiryDate, false, underlying, barrierType, spot, level, rebate, domCcy, start, fxIndex,
            cal, payoffAmount_, payoffAmount_, additionalInstruments, additionalMultipliers);
        
        maturity_ = std::max(lastPremiumDate, payDate);
 
        return barrierOptionWrapper;
    };
 
    auto barrierOptionWrapper = buildBarrierOptionWrapperInstr(expiryDate, payDate);
 
    // We make sure to add required fixings before checking for modifying the instrument's expiry date, to make sure the
    // portfolio-analyzer gets all the fixings needed for the instrument at the first evaluation.
    Calendar fixingCal = fxIndex ? fxIndex->fixingCalendar() : cal;
    if (start != Date()) {
        for (Date d = start; d <= expiryDate; d = fixingCal.advance(d, 1 * Days))
            requiredFixings_.addFixingDate(d, fxIndex_, payDate);
    }
 
    // Check if the barrier has been triggered already. If payoff-at-hit, and barrier was touched in the past, then
    // create instrument again, with expiry date and pay date corresponding to that past barrier exercise date
    if (auto rt = engineFactory->engineData()->globalParameters().find("RunType");
        rt != engineFactory->engineData()->globalParameters().end() && rt->second != "PortfolioAnalyser" &&
        barrierOptionWrapper->exercise()) {
        QL_REQUIRE(barrierOptionWrapper->exerciseDate() != Date(), "Option is exercised but exercise date was not defined");
        expiryDate = barrierOptionWrapper->exerciseDate();
        additionalData_["exerciseDate"] = expiryDate;
 
        if (!payoffAtExpiry && type_ == "One-Touch") {
            payDate = payCalendar.advance(expiryDate, payLag, Days, payConvention);
            barrierOptionWrapper = buildBarrierOptionWrapperInstr(expiryDate, payDate);
            additionalData_["settlementDate"] = payDate;
        }
    }
 
    instrument_ = barrierOptionWrapper;
 
    // maturity_ is set in buildBarrierOptionWrapperInstr()
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ option()

const OptionData & option ( ) const

Definition at line 53 of file fxtouchoption.hpp.

53{ return option_; }

◆ barrier()

const BarrierData & barrier ( ) const

Definition at line 54 of file fxtouchoption.hpp.

54{ return barrier_; }

Here is the caller graph for this function:

◆ payoffAmount()

double payoffAmount ( ) const

Definition at line 55 of file fxtouchoption.hpp.

55{ return payoffAmount_; }

◆ type()

const string & type ( ) const

Definition at line 56 of file fxtouchoption.hpp.

56{ return type_; }

Here is the caller graph for this function:

◆ payoffCurrency()

const string & payoffCurrency ( ) const

Definition at line 57 of file fxtouchoption.hpp.

57{ return payoffCurrency_; }

◆ startDate()

const string & startDate ( ) const

Definition at line 58 of file fxtouchoption.hpp.

58{ return startDate_; }

◆ calendar()

const string & calendar ( ) const

Definition at line 59 of file fxtouchoption.hpp.

59{ return calendar_; }

◆ fxIndex()

const string & fxIndex ( ) const

Definition at line 60 of file fxtouchoption.hpp.

60{ return fxIndex_; }

Here is the caller graph for this function:

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 267 of file fxtouchoption.cpp.

                                         {
    Trade::fromXML(node);
    XMLNode* fxNode = XMLUtils::getChildNode(node, "FxTouchOptionData");
    QL_REQUIRE(fxNode, "No FxOptionData Node");
    option_.fromXML(XMLUtils::getChildNode(fxNode, "OptionData"));
    barrier_.fromXML(XMLUtils::getChildNode(fxNode, "BarrierData"));
    Barrier::Type barrierType = parseBarrierType(barrier_.type());
    switch (barrierType) {
    case Barrier::DownIn:
    case Barrier::UpIn:
        type_ = "One-Touch";
        break;
    case Barrier::DownOut:
    case Barrier::UpOut:
        type_ = "No-Touch";
        break;
    default:
        QL_FAIL("unknown barrier type");
    }
 
    foreignCurrency_ = XMLUtils::getChildValue(fxNode, "ForeignCurrency", true);
    domesticCurrency_ = XMLUtils::getChildValue(fxNode, "DomesticCurrency", true);
    payoffCurrency_ = XMLUtils::getChildValue(fxNode, "PayoffCurrency", true);
    startDate_ = XMLUtils::getChildValue(fxNode, "StartDate", false);
    calendar_ = XMLUtils::getChildValue(fxNode, "Calendar", false);
    fxIndex_ = XMLUtils::getChildValue(fxNode, "FXIndex", false);
    payoffAmount_ = XMLUtils::getChildValueAsDouble(fxNode, "PayoffAmount", true);
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 296 of file fxtouchoption.cpp.

                                                    {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* fxNode = doc.allocNode("FxTouchOptionData");
    XMLUtils::appendNode(node, fxNode);
    XMLUtils::appendNode(fxNode, option_.toXML(doc));
    XMLUtils::appendNode(fxNode, barrier_.toXML(doc));
    XMLUtils::addChild(doc, fxNode, "ForeignCurrency", foreignCurrency_);
    XMLUtils::addChild(doc, fxNode, "DomesticCurrency", domesticCurrency_);
    XMLUtils::addChild(doc, fxNode, "PayoffCurrency", payoffCurrency_);
    XMLUtils::addChild(doc, fxNode, "PayoffAmount", payoffAmount_);
    if (startDate_ != "")
        XMLUtils::addChild(doc, fxNode, "StartDate", startDate_);
    if (fxIndex_ != "")
        XMLUtils::addChild(doc, fxNode, "FXIndex", fxIndex_);
    if (calendar_ != "")
        XMLUtils::addChild(doc, fxNode, "Calendar", calendar_);
 
    return node;
}

Here is the call graph for this function:

◆ checkBarrier()

bool checkBarrier	(	Real	spot,
		Barrier::Type	type,
		Real	level
	)

private

Definition at line 254 of file fxtouchoption.cpp.

                                                                          {
    switch (type) {
    case Barrier::DownIn:
    case Barrier::DownOut:
        return spot <= barrier;
    case Barrier::UpIn:
    case Barrier::UpOut:
        return spot >= barrier;
    default:
        QL_FAIL("unknown barrier type " << type);
    }
}

Here is the call graph for this function:

Member Data Documentation

◆ option_

OptionData option_

private

Definition at line 71 of file fxtouchoption.hpp.

◆ barrier_

BarrierData barrier_

private

Definition at line 72 of file fxtouchoption.hpp.

◆ startDate_

string startDate_

private

Definition at line 73 of file fxtouchoption.hpp.

◆ calendar_

string calendar_

private

Definition at line 74 of file fxtouchoption.hpp.

◆ fxIndex_

string fxIndex_

private

Definition at line 75 of file fxtouchoption.hpp.

◆ payoffAmount_

Real payoffAmount_

private

Definition at line 76 of file fxtouchoption.hpp.

◆ type_

string type_

private

Definition at line 77 of file fxtouchoption.hpp.

◆ payoffCurrency_

string payoffCurrency_

private

Definition at line 78 of file fxtouchoption.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxTouchOption() [1/2]

◆ FxTouchOption() [2/2]

Member Function Documentation

◆ build()

◆ option()

◆ barrier()

◆ payoffAmount()

◆ type()

◆ payoffCurrency()

◆ startDate()

◆ calendar()

◆ fxIndex()

◆ fromXML()

◆ toXML()

◆ checkBarrier()

Member Data Documentation

◆ option_

◆ barrier_

◆ startDate_

◆ calendar_

◆ fxIndex_

◆ payoffAmount_

◆ type_

◆ payoffCurrency_