#include <ored/portfolio/genericbarrieroption.hpp>

Inheritance diagram for GenericBarrierOption:

Collaboration diagram for GenericBarrierOption:

Public Member Functions
	GenericBarrierOption (const std::string &tradeType="GenericBarrierOption")

	GenericBarrierOption (std::vector< QuantLib::ext::shared_ptr< Underlying > > underlyings, const OptionData &optionData, const std::vector< BarrierData > &barriers, const ScheduleData &barrierMonitoringDates, const std::vector< BarrierData > &transatlanticBarrier, const std::string &payCurrency, const std::string &settlementDate, const std::string &quantity, const std::string &strike, const std::string &amount, const std::string &kikoType)

	GenericBarrierOption (QuantLib::ext::shared_ptr< Underlying > &underlying, const OptionData &optionData, const std::vector< BarrierData > &barriers, const ScheduleData &barrierMonitoringDates, const BarrierData &transatlanticBarrier, const std::string &payCurrency, const std::string &settlementDate, const std::string &quantity, const std::string &strike, const std::string &amount, const std::string &kikoType)

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

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Public Member Functions inherited from ScriptedTrade
	ScriptedTrade (const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::map< std::string, ScriptedTradeScriptData > &script, const std::string &productTag, const std::string &tradeType="ScriptedTrade")

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::string &scriptName, const std::string &tradeType="ScriptedTrade")

void	clear ()

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

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

void	fromXML (XMLNode *node) override

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

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const PremiumData &premiumData, const Real premiumMultiplier)

std::map< ore::data::AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override

virtual void	setIsdaTaxonomyFields ()

const std::vector< ScriptedTradeEventData > &	events () const

const std::vector< ScriptedTradeValueTypeData > &	numbers () const

const std::vector< ScriptedTradeValueTypeData > &	indices () const

const std::vector< ScriptedTradeValueTypeData > &	currencies () const

const std::vector< ScriptedTradeValueTypeData > &	daycounters () const

const std::map< std::string, ScriptedTradeScriptData > &	script () const

const std::string &	productTag () const

const std::string &	scriptName () const

const std::string &	simmProductClass () const

const std::string &	scheduleProductClass () const

const ScriptedTradeScriptData &	script (const std::string &purpose, const bool fallBackOnEmptyPurpose=true) 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

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...

Inspectors
std::vector< QuantLib::ext::shared_ptr< ore::data::Underlying > >	underlyings_

OptionData	optionData_

std::vector< BarrierData >	barriers_

ScheduleData	barrierMonitoringDates_

std::vector< BarrierData >	transatlanticBarrier_

std::string	barrierMonitoringStartDate_

std::string	barrierMonitoringEndDate_

std::string	payCurrency_

std::string	settlementDate_

std::string	quantity_

std::string	strike_

std::string	amount_

std::string	kikoType_

std::string	settlementLag_

std::string	settlementCalendar_

std::string	settlementConvention_

std::set< std::string >	names () const

void	initIndices ()

QuantLib::Calendar	getUnderlyingCalendar (const QuantLib::ext::shared_ptr< EngineFactory > &factory) const

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 ScriptedTrade
std::vector< ScriptedTradeEventData >	events_

std::vector< ScriptedTradeValueTypeData >	numbers_

std::vector< ScriptedTradeValueTypeData >	indices_

std::vector< ScriptedTradeValueTypeData >	currencies_

std::vector< ScriptedTradeValueTypeData >	daycounters_

std::map< std::string, ScriptedTradeScriptData >	script_

std::string	productTag_

std::string	scriptName_

std::string	simmProductClass_

std::string	scheduleProductClass_

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

Definition at line 36 of file genericbarrieroption.hpp.

Constructor & Destructor Documentation

◆ GenericBarrierOption() [1/3]

GenericBarrierOption ( const std::string & tradeType = "GenericBarrierOption" )

explicit

Definition at line 38 of file genericbarrieroption.hpp.

38: ScriptedTrade(tradeType) {}

ore::data::ScriptedTrade::ScriptedTrade

ScriptedTrade(const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

Definition: scriptedtrade.hpp:205

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ GenericBarrierOption() [2/3]

GenericBarrierOption	(	std::vector< QuantLib::ext::shared_ptr< Underlying > >	underlyings,
		const OptionData &	optionData,
		const std::vector< BarrierData > &	barriers,
		const ScheduleData &	barrierMonitoringDates,
		const std::vector< BarrierData > &	transatlanticBarrier,
		const std::string &	payCurrency,
		const std::string &	settlementDate,
		const std::string &	quantity,
		const std::string &	strike,
		const std::string &	amount,
		const std::string &	kikoType
	)

Definition at line 39 of file genericbarrieroption.hpp.

        : underlyings_(underlyings), optionData_(optionData), barriers_(barriers),
          barrierMonitoringDates_(barrierMonitoringDates), transatlanticBarrier_(transatlanticBarrier),
          payCurrency_(payCurrency), settlementDate_(settlementDate), quantity_(quantity), strike_(strike),
          amount_(amount), kikoType_(kikoType) {
        initIndices();
    }

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◆ GenericBarrierOption() [3/3]

GenericBarrierOption	(	QuantLib::ext::shared_ptr< Underlying > &	underlying,
		const OptionData &	optionData,
		const std::vector< BarrierData > &	barriers,
		const ScheduleData &	barrierMonitoringDates,
		const BarrierData &	transatlanticBarrier,
		const std::string &	payCurrency,
		const std::string &	settlementDate,
		const std::string &	quantity,
		const std::string &	strike,
		const std::string &	amount,
		const std::string &	kikoType
	)

Definition at line 51 of file genericbarrieroption.hpp.

        : optionData_(optionData), barriers_(barriers),
          barrierMonitoringDates_(barrierMonitoringDates), 
          payCurrency_(payCurrency), settlementDate_(settlementDate), quantity_(quantity), strike_(strike),
          amount_(amount), kikoType_(kikoType) {
        underlyings_.push_back(underlying);
        transatlanticBarrier_.push_back(transatlanticBarrier);
        initIndices();
    }

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Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

Definition at line 272 of file genericbarrieroption.cpp.

                                                                                    {
 
    // set script parameters
 
    clear();
    initIndices();
        
    if (underlyings_.size() > 1)
        QL_REQUIRE(optionData_.payoffType() == "CashOrNothing",
                   "Only CashOrNothing payoff allowed for mulitple underlyings");
 
    std::string payoffType;
    if (optionData_.payoffType() == "Vanilla" || optionData_.payoffType() == "AssetOrNothing")
        payoffType = "0";
    else if (optionData_.payoffType() == "CashOrNothing")
        payoffType = "1";
    else {
        QL_FAIL("PayoffTpye (" << optionData_.payoffType() << ") must be Vanilla or CashOrNothing");
    }
    numbers_.emplace_back("Number", "PayoffType", payoffType);
 
    QL_REQUIRE(optionData_.payoffType() != "Vanilla" || (!quantity_.empty() && !strike_.empty() && amount_.empty()),
               "Need Quantity, Strike, no Amount for PayoffType = Vanilla");
    QL_REQUIRE(optionData_.payoffType() != "AssetOrNothing" ||
                   (!quantity_.empty() && strike_.empty() && amount_.empty()),
               "Need Quantity, no Strike, no Amount for PayoffType = AssetOrNothing");
    QL_REQUIRE(optionData_.payoffType() != "CashOrNothing" ||
                   (quantity_.empty() && strike_.empty() && !amount_.empty()),
               "Need no Quantity, no Strike, Amount for PayoffType = CashOrNothing");
 
    std::vector<std::string> transatlanticBarrierType(underlyings_.size(), "0");
    std::vector<std::string> transatlanticBarrierLevel(underlyings_.size(), "0");
    std::string transatlanticBarrierRebate = "0.0";
    std::string transatlanticBarrierRebateCurrency = payCurrency_;
    if (!transatlanticBarrier_[0].type().empty()) {
        transatlanticBarrierType.clear();
        for (auto const& n : transatlanticBarrier_) {
            if (n.type() == "DownAndIn")
                transatlanticBarrierType.push_back("1");
            else if (n.type() == "UpAndIn")
                transatlanticBarrierType.push_back("2");
            else if (n.type() == "DownAndOut")
                transatlanticBarrierType.push_back("3");
            else if (n.type() == "UpAndOut")
                transatlanticBarrierType.push_back("4");
            else {
                QL_FAIL("Transatlantic BarrierType (" << n.type()
                                                      << ") must be DownAndIn, UpAndIn, DownAndOut, UpAndOut");
            }
        }
        QL_REQUIRE(transatlanticBarrierType.size() == 1 || transatlanticBarrierType.size() == underlyings_.size(),
                   "Transatlantic Barrier must have only 1 Barrier block or 1 block for each underlyings, got "
                       << transatlanticBarrierType.size());
        if (transatlanticBarrierType.size() == 1 && underlyings_.size() > 1) {
            transatlanticBarrierType.assign(underlyings_.size(), transatlanticBarrierType[0]);
        }
        transatlanticBarrierLevel.clear();
        if (transatlanticBarrier_.size() == 1) {
            QL_REQUIRE(transatlanticBarrier_[0].levels().size() == underlyings_.size(),
                       "Transatlantic Barrier must have exactly 1 level for each underlying, got "
                           << transatlanticBarrier_[0].levels().size());
            for (const auto& l : transatlanticBarrier_[0].levels())
                transatlanticBarrierLevel.push_back(boost::lexical_cast<std::string>(l.value()));
        } else {
            QL_REQUIRE(transatlanticBarrierType.size() == underlyings_.size(),
                       "Transatlantic Barrier must have exactly 1 level for each underlying, got "
                           << transatlanticBarrier_.size());
            for (auto const& n : transatlanticBarrier_) {
                QL_REQUIRE(n.levels().size() == 1, "Number of level in each barrier block in transatlantic barriers "
                                                   "must be exactly 1 if more than 1 barrier blocks are provided, got "
                                                       << transatlanticBarrier_.size());
                transatlanticBarrierLevel.push_back(boost::lexical_cast<std::string>(n.levels()[0].value()));
            }
        }
        if (transatlanticBarrier_.size() > 1) {
            for (Size i = 1; i < transatlanticBarrier_.size(); i++) {
                QL_REQUIRE(transatlanticBarrier_[i].rebateCurrency().empty() ||
                               transatlanticBarrier_[i].rebateCurrency() == transatlanticBarrier_[0].rebateCurrency(),
                           "Rebate currency for transatlantic barriers must be identical or only given in the first "
                           "transatlantic barrier.");
            }       
        }
        transatlanticBarrierRebate = boost::lexical_cast<std::string>(transatlanticBarrier_[0].rebate());
        if (!transatlanticBarrier_[0].rebateCurrency().empty())
            transatlanticBarrierRebateCurrency = transatlanticBarrier_[0].rebateCurrency();
    }
    numbers_.emplace_back("Number", "TransatlanticBarrierType", transatlanticBarrierType);
    numbers_.emplace_back("Number", "TransatlanticBarrierLevel", transatlanticBarrierLevel);
    numbers_.emplace_back("Number", "TransatlanticBarrierRebate", transatlanticBarrierRebate);
    currencies_.emplace_back("Currency", "TransatlanticBarrierRebateCurrency", transatlanticBarrierRebateCurrency);
 
    auto positionType = parsePositionType(optionData_.longShort());
    numbers_.emplace_back("Number", "LongShort", positionType == Position::Long ? "1" : "-1");
 
    if (optionData_.callPut().empty()) {
        QL_REQUIRE(optionData_.payoffType() == "CashOrNothing" || optionData_.payoffType() == "AssetOrNothing",
                   "Payoff type must be vanilla if option type is not givien.");
        numbers_.emplace_back("Number", "PutCall", "1.0");
    } else {
        numbers_.emplace_back("Number", "PutCall",
                              parseOptionType(optionData_.callPut()) == Option::Call ? "1.0" : "-1.0");
    }
    numbers_.emplace_back("Number", "Quantity", quantity_.empty() ? "0.0" : quantity_);
    if (!strike_.empty())
        numbers_.emplace_back("Number", "Strike", strike_);
    numbers_.emplace_back("Number", "Amount", amount_.empty() ? "0.0" : amount_);
    currencies_.emplace_back("Currency", "PayCurrency", payCurrency_);
 
    QL_REQUIRE(optionData_.exerciseDates().size() == 1,
               "OptionData must contain exactly one ExerciseDate, got " << optionData_.exerciseDates().size());
    events_.emplace_back("ExpiryDate", optionData_.exerciseDates().front());
 
    if (!settlementDate_.empty()) {
        QL_REQUIRE(
            settlementLag_.empty() && settlementCalendar_.empty() && settlementConvention_.empty(),
            "If SettlementDate is given, no SettlementLag, SettlementCalendar or SettlementConvention must be given.");
        events_.emplace_back("SettlementDate", settlementDate_);
    } else {
        Date ref = parseDate(optionData_.exerciseDates().front());
        Period p = settlementLag_.empty() ? 0 * Days : parsePeriod(settlementLag_);
        Calendar cal =
            settlementCalendar_.empty() ? getUnderlyingCalendar(factory) : parseCalendar(settlementCalendar_);
        BusinessDayConvention conv =
            settlementConvention_.empty() ? Following : parseBusinessDayConvention(settlementConvention_);
        events_.emplace_back("SettlementDate", ore::data::to_string(cal.advance(ref, p, conv)));
    }
 
    if (barrierMonitoringDates_.hasData()) {
        QL_REQUIRE(barrierMonitoringStartDate_.empty() && barrierMonitoringEndDate_.empty(),
                   "If ScheduleData is given, no StartDate or EndDate must be given");
        events_.emplace_back("BarrierMonitoringDates", barrierMonitoringDates_);
    } else {
        /* build a daily schedule from the given start / end dates and deriving the calendar from
           the underlying */
        QL_REQUIRE(!barrierMonitoringStartDate_.empty() && !barrierMonitoringEndDate_.empty(),
                   "If no ScheduleData is given, StartDate and EndDate must be given");
        events_.emplace_back("BarrierMonitoringDates",
                             ScheduleData(ScheduleRules(barrierMonitoringStartDate_, barrierMonitoringEndDate_, "1D",
                                                        getUnderlyingCalendar(factory).name(), "F", "F", "Forward")));
    }
 
    std::vector<std::string> barrierTypes, barrierLevels, barrierRebates, barrierRebateCurrencies,
        barrierRebatePayTimes;
    bool hasKi = false, hasKo = false;
    for (auto const& b : barriers_) {
        std::string barrierType;
        if (b.type() == "DownAndIn") {
            barrierType = "1";
            hasKi = true;
        } else if (b.type() == "UpAndIn") {
            barrierType = "2";
            hasKi = true;
        } else if (b.type() == "DownAndOut") {
            barrierType = "3";
            hasKo = true;
        } else if (b.type() == "UpAndOut") {
            barrierType = "4";
            hasKo = true;
        } else {
            QL_FAIL("BarrierType (" << b.type() << ") must be DownAndIn, UpAndIn, DownAndOut, UpAndOut");
        }
        barrierTypes.push_back(barrierType);
        QL_REQUIRE(b.levels().size() == underlyings_.size(), "Barrier must have exactly number of levels as underlyings, got " << b.levels().size());
        for (const auto& l : b.levels())
            barrierLevels.push_back(boost::lexical_cast<std::string>(l.value()));
        barrierRebates.push_back(boost::lexical_cast<std::string>(b.rebate()));
        barrierRebateCurrencies.push_back(b.rebateCurrency().empty() ? payCurrency_ : b.rebateCurrency());
        std::string rebatePayTime;
        if (b.rebatePayTime() == "atHit")
            rebatePayTime = "0";
        else if (b.rebatePayTime() == "atExpiry" || b.rebatePayTime().empty())
            rebatePayTime = "1";
        else {
            QL_FAIL("RebatePayTime (" << b.rebatePayTime() << ") must be atHit, atExpiry");
        }
        barrierRebatePayTimes.push_back(rebatePayTime);
    }
 
    // if there is at least one ki barrier, all rebates must be identical + atExpiry
    // and are set via BarrierRebate, BarrierRebateCurrency
 
    std::string barrierRebate = "0.0", barrierRebateCurrency = payCurrency_;
    if (hasKi) {
        for (Size i = 1; i < barrierTypes.size(); ++i) {
            QL_REQUIRE(close_enough(parseReal(barrierRebates[i]), parseReal(barrierRebates[0])) &&
                           barrierRebateCurrencies[i] == barrierRebateCurrencies[0],
                       "If Knock-In barrier is present, all rebates must be identical, found "
                           << barrierRebates[0] << " " << barrierRebateCurrencies[0] << " and " << barrierRebates[i]
                           << " " << barrierRebateCurrencies[i]);
        }
        for (Size i = 0; i < barrierTypes.size(); ++i) {
            QL_REQUIRE(barrierRebatePayTimes[i] == "1",
                       "If Knock-In barrier is present, all rebate pay times must be atExpiry");
        }
        barrierRebate = barrierRebates[0];
        barrierRebateCurrency = barrierRebateCurrencies[0];
        for (Size i = 0; i < barrierTypes.size(); ++i) {
            barrierRebates[i] = "0.0";
            barrierRebateCurrencies[i] = payCurrency_;
        }
    }
 
    numbers_.emplace_back("Number", "BarrierTypes", barrierTypes);
    numbers_.emplace_back("Number", "BarrierLevels", barrierLevels);
    numbers_.emplace_back("Number", "BarrierRebates", barrierRebates);
    currencies_.emplace_back("Currency", "BarrierRebateCurrencies", barrierRebateCurrencies);
    numbers_.emplace_back("Number", "BarrierRebatePayTimes", barrierRebatePayTimes);
    numbers_.emplace_back("Number", "BarrierRebate", barrierRebate);
    currencies_.emplace_back("Currency", "BarrierRebateCurrency", barrierRebateCurrency);
 
    std::string kikoType;
    if (kikoType_ == "KoAlways" || kikoType_.empty())
        kikoType = "1";
    else if (kikoType_ == "KoBeforeKi")
        kikoType = "2";
    else if (kikoType_ == "KoAfterKi")
        kikoType = "3";
    else {
        QL_FAIL("KikoType (" << kikoType_ << ") must be KoAlways, KoBeforeKi, KoAfterKi");
    }
    numbers_.emplace_back("Number", "KikoType", kikoType);
 
    QL_REQUIRE((hasKi && hasKo) || kikoType == "1",
               "KikoType (" << kikoType_ << ") must be KoAlways if there are only Ko or only Ki barriers");
    QL_REQUIRE(!(hasKi && hasKo) || !kikoType_.empty(),
               "KikoType must be given (KoAlways, KoBeforeKi, KoAfterKi) if both Ko and Ki barriers are present");
 
    // set product tag
 
    productTag_ = (underlyings_.size() < 2) ? "SingleAssetOptionBwd({AssetClass})"
                                            : "MultiAssetOption({AssetClass})";
 
    // set script
 
    script_[""] = ScriptedTradeScriptData(
        mcscript, "value",
        {{"currentNotional", "currentNotional"},
         {"notionalCurrency", "PayCurrency"},
         {"Active", "Active"},
         {"TransatlanticActive", "TransatlanticActive"}},
        {}, {}, {ScriptedTradeScriptData::CalibrationData("Underlyings", {"Strike", "BarrierLevels"})});
    script_["FD"] = ScriptedTradeScriptData(
        fdscript, "value", {{"currentNotional", "currentNotional"}, {"notionalCurrency", "PayCurrency"}}, {}, {},
        {ScriptedTradeScriptData::CalibrationData("Underlyings", {"Strike", "BarrierLevels"})});
 
    // build trade
 
    ScriptedTrade::build(factory, optionData_.premiumData(), positionType == QuantLib::Position::Long ? -1.0 : 1.0);
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 555 of file genericbarrieroption.cpp.

                                                {
    Trade::fromXML(node);
    XMLNode* dataNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    QL_REQUIRE(dataNode, tradeType() + "Data node not found");
 
    if (XMLNode* underlyingsNode = XMLUtils::getChildNode(dataNode, "Underlyings")) {
        QL_REQUIRE(underlyingsNode, "No Underlyings node");
        auto underlyings = XMLUtils::getChildrenNodes(underlyingsNode, "Underlying");
        for (auto const& n : underlyings) {
            UnderlyingBuilder underlyingBuilder;
            underlyingBuilder.fromXML(n);
            underlyings_.push_back(underlyingBuilder.underlying());
        }
    } else {
        XMLNode* tmp = XMLUtils::getChildNode(dataNode, "Underlying");
        if (!tmp)
            tmp = XMLUtils::getChildNode(dataNode, "Name");
        UnderlyingBuilder underlyingBuilder;
        underlyingBuilder.fromXML(tmp);
        underlyings_.push_back(underlyingBuilder.underlying());
    }
 
    optionData_.fromXML(XMLUtils::getChildNode(dataNode, "OptionData"));
 
    auto barriersNode = XMLUtils::getChildNode(dataNode, "Barriers");
    QL_REQUIRE(barriersNode, "No Barriers node found");
    if (auto sd = XMLUtils::getChildNode(barriersNode, "ScheduleData")) {
        barrierMonitoringDates_.fromXML(sd);
    }
    barrierMonitoringStartDate_ = XMLUtils::getChildValue(barriersNode, "StartDate", false);
    barrierMonitoringEndDate_ = XMLUtils::getChildValue(barriersNode, "EndDate", false);
    kikoType_ = XMLUtils::getChildValue(barriersNode, "KikoType", false, "KoAlways");
    auto barriers = XMLUtils::getChildrenNodes(barriersNode, "BarrierData");
    for (auto const& n : barriers) {
        barriers_.push_back(BarrierData());
        barriers_.back().fromXML(n);
    }
 
    auto transatlanticBarrierNode = XMLUtils::getChildNode(dataNode, "TransatlanticBarrier");
    if (transatlanticBarrierNode) {
        auto b = XMLUtils::getChildrenNodes(transatlanticBarrierNode, "BarrierData");
        for (auto const& n : b) {
            transatlanticBarrier_.push_back(BarrierData());
            transatlanticBarrier_.back().fromXML(n);
        }
    }
 
    payCurrency_ = XMLUtils::getChildValue(dataNode, "PayCurrency", true);
    settlementDate_ = XMLUtils::getChildValue(dataNode, "SettlementDate", false);
    settlementLag_ = XMLUtils::getChildValue(dataNode, "SettlementLag", false);
    settlementCalendar_ = XMLUtils::getChildValue(dataNode, "SettlementCalendar", false);
    settlementConvention_ = XMLUtils::getChildValue(dataNode, "SettlementConvention", false);
    quantity_ = XMLUtils::getChildValue(dataNode, "Quantity", false);
    strike_ = XMLUtils::getChildValue(dataNode, "Strike", false);
    amount_ = XMLUtils::getChildValue(dataNode, "Amount", false);
 
    initIndices();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 614 of file genericbarrieroption.cpp.

                                                           {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* dataNode = doc.allocNode(tradeType() + "Data");
    XMLUtils::appendNode(node, dataNode);
 
    
    XMLNode* underlyingsNode = doc.allocNode("Underlyings");
    for (auto& n : underlyings_) {
        XMLUtils::appendNode(underlyingsNode, n->toXML(doc));
    }
    XMLUtils::appendNode(dataNode, underlyingsNode);
    XMLUtils::appendNode(dataNode, optionData_.toXML(doc));
 
    XMLNode* barriers = doc.allocNode("Barriers");
    if (barrierMonitoringDates_.hasData())
        XMLUtils::appendNode(barriers, barrierMonitoringDates_.toXML(doc));
    if (!barrierMonitoringStartDate_.empty())
        XMLUtils::addChild(doc, barriers, "StartDate", barrierMonitoringStartDate_);
    if (!barrierMonitoringEndDate_.empty())
        XMLUtils::addChild(doc, barriers, "EndDate", barrierMonitoringEndDate_);
    for (auto& n : barriers_) {
        XMLUtils::appendNode(barriers, n.toXML(doc));
    }
    if (!kikoType_.empty())
        XMLUtils::addChild(doc, barriers, "KikoType", kikoType_);
    XMLUtils::appendNode(dataNode, barriers);
 
    if (!transatlanticBarrier_[0].type().empty()) {
        XMLNode* transatlanticBarrierNode = doc.allocNode("TransatlanticBarrier");
        for (auto& n : transatlanticBarrier_) {
            XMLUtils::appendNode(transatlanticBarrierNode, n.toXML(doc));
        }
        XMLUtils::appendNode(dataNode, transatlanticBarrierNode);
    }
 
    XMLUtils::addChild(doc, dataNode, "PayCurrency", payCurrency_);
    if (!settlementDate_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementDate", settlementDate_);
    if (!settlementLag_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementLag", settlementLag_);
    if (!settlementCalendar_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementCalendar", settlementCalendar_);
    if (!settlementConvention_.empty())
        XMLUtils::addChild(doc, dataNode, "SettlementConvention", settlementConvention_);
 
    if (!quantity_.empty())
        XMLUtils::addChild(doc, dataNode, "Quantity", quantity_);
    if (!strike_.empty())
        XMLUtils::addChild(doc, dataNode, "Strike", strike_);
    if (!amount_.empty())
        XMLUtils::addChild(doc, dataNode, "Amount", amount_);
 
    return node;
}

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◆ names()

std::set< std::string > names ( ) const

Definition at line 70 of file genericbarrieroption.hpp.

                                    { 
        std::set<std::string> names;
        for (const auto& u : underlyings_)
            names.insert(u->name());
        return names;
    }

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◆ initIndices()

void initIndices ( )

private

Definition at line 522 of file genericbarrieroption.cpp.

                                       {
    std::vector<std::string> underlyings;
    for (auto const& u : underlyings_)
        underlyings.push_back(scriptedIndexName(u));
 
    indices_.emplace_back("Index", "Underlyings", underlyings);
}

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◆ getUnderlyingCalendar()

QuantLib::Calendar getUnderlyingCalendar ( const QuantLib::ext::shared_ptr< EngineFactory > & factory ) const

private

Definition at line 530 of file genericbarrieroption.cpp.

                                                                                                                      {
    Calendar calendar = NullCalendar();
    QL_REQUIRE(underlyings_.size() > 0, "No underlyings provided.");
    IndexInfo ind(scriptedIndexName(underlyings_.front()));
    if (ind.isFx()) {
        /* just take the default calendars for the two currencies, this can be improved once we have
           full fx indices available in the t0 market (TODO) */
        calendar = parseCalendar(ind.fx()->sourceCurrency().code() + "," + ind.fx()->targetCurrency().code());
    } else if (ind.isEq()) {
        /* get the equity calendar from the market */
        calendar = factory->market()
                       ->equityCurve(ind.eq()->name(), factory->configuration(MarketContext::pricing))
                       ->fixingCalendar();
    } else if (ind.isComm()) {
        /* again, just take the default calendar for the comm currency until we have the actual calendar
           available via the market interface */
        calendar =
            parseCalendar(factory->market()
                              ->commodityPriceCurve(ind.commName(), factory->configuration(MarketContext::pricing))
                              ->currency()
                              .code());
    }
    return calendar;
}

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Member Data Documentation

◆ underlyings_

std::vector<QuantLib::ext::shared_ptr<ore::data::Underlying> > underlyings_

private

Definition at line 81 of file genericbarrieroption.hpp.

◆ optionData_

OptionData optionData_

private

Definition at line 82 of file genericbarrieroption.hpp.

◆ barriers_

std::vector<BarrierData> barriers_

private

Definition at line 83 of file genericbarrieroption.hpp.

◆ barrierMonitoringDates_

ScheduleData barrierMonitoringDates_

private

Definition at line 84 of file genericbarrieroption.hpp.

◆ transatlanticBarrier_

std::vector<BarrierData> transatlanticBarrier_

private

Definition at line 85 of file genericbarrieroption.hpp.

◆ barrierMonitoringStartDate_

std::string barrierMonitoringStartDate_

private

Definition at line 86 of file genericbarrieroption.hpp.

◆ barrierMonitoringEndDate_

std::string barrierMonitoringEndDate_

private

Definition at line 86 of file genericbarrieroption.hpp.

◆ payCurrency_

std::string payCurrency_

private

Definition at line 87 of file genericbarrieroption.hpp.

◆ settlementDate_

std::string settlementDate_

private

Definition at line 87 of file genericbarrieroption.hpp.

◆ quantity_

std::string quantity_

private

Definition at line 87 of file genericbarrieroption.hpp.

◆ strike_

std::string strike_

private

Definition at line 87 of file genericbarrieroption.hpp.

◆ amount_

std::string amount_

private

Definition at line 87 of file genericbarrieroption.hpp.

◆ kikoType_

std::string kikoType_

private

Definition at line 87 of file genericbarrieroption.hpp.

◆ settlementLag_

std::string settlementLag_

private

Definition at line 88 of file genericbarrieroption.hpp.

◆ settlementCalendar_

std::string settlementCalendar_

private

Definition at line 88 of file genericbarrieroption.hpp.

◆ settlementConvention_

std::string settlementConvention_

private

Definition at line 88 of file genericbarrieroption.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ GenericBarrierOption() [1/3]

◆ GenericBarrierOption() [2/3]

◆ GenericBarrierOption() [3/3]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ names()

◆ initIndices()

◆ getUnderlyingCalendar()

Member Data Documentation

◆ underlyings_

◆ optionData_

◆ barriers_

◆ barrierMonitoringDates_

◆ transatlanticBarrier_

◆ barrierMonitoringStartDate_

◆ barrierMonitoringEndDate_

◆ payCurrency_

◆ settlementDate_

◆ quantity_

◆ strike_

◆ amount_

◆ kikoType_

◆ settlementLag_

◆ settlementCalendar_

◆ settlementConvention_