#include <ored/portfolio/indexcreditdefaultswap.hpp>

Inheritance diagram for IndexCreditDefaultSwap:

Collaboration diagram for IndexCreditDefaultSwap:

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

	IndexCreditDefaultSwap (const Envelope &env, const IndexCreditDefaultSwapData &swap, const BasketData &basket)
	Constructor. More...

virtual 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...

virtual void	fromXML (XMLNode *node) override

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

const IndexCreditDefaultSwapData &	swap () const

CreditPortfolioSensitivityDecomposition	sensitivityDecomposition () const

const std::map< std::string, QuantLib::Real > &	constituents () const

const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built 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

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...

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...

Private Attributes
IndexCreditDefaultSwapData	swap_

BasketData	basket_

std::map< std::string, QuantLib::Real >	constituents_
	map of all the constituents to notionals More...

CreditPortfolioSensitivityDecomposition	sensitivityDecomposition_

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

Definition at line 30 of file indexcreditdefaultswap.hpp.

Constructor & Destructor Documentation

◆ IndexCreditDefaultSwap() [1/2]

IndexCreditDefaultSwap ( )

Default constructor.

Definition at line 33 of file indexcreditdefaultswap.hpp.

33: Trade("IndexCreditDefaultSwap") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ IndexCreditDefaultSwap() [2/2]

IndexCreditDefaultSwap	(	const Envelope &	env,
		const IndexCreditDefaultSwapData &	swap,
		const BasketData &	basket
	)

Constructor.

Definition at line 36 of file indexcreditdefaultswap.hpp.

37 : Trade("IndexCreditDefaultSwap", env), swap_(swap), basket_(basket) {}

ore::data::IndexCreditDefaultSwap::swap_

IndexCreditDefaultSwapData swap_

Definition: indexcreditdefaultswap.hpp:54

ore::data::IndexCreditDefaultSwap::basket_

BasketData basket_

Definition: indexcreditdefaultswap.hpp:55

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 39 of file indexcreditdefaultswap.cpp.

                                                                                            {
    DLOG("IndexCreditDefaultSwap::build() called for trade " << id());
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Credit");
    additionalData_["isdaBaseProduct"] = string("Index");
    string entity = swap_.creditCurveId();
    QuantLib::ext::shared_ptr<ReferenceDataManager> refData = engineFactory->referenceData();
    if (refData && refData->hasData("CreditIndex", entity)) {
        auto refDatum = refData->getData("CreditIndex", entity);
        QuantLib::ext::shared_ptr<CreditIndexReferenceDatum> creditIndexRefDatum =
            QuantLib::ext::dynamic_pointer_cast<CreditIndexReferenceDatum>(refDatum);
        additionalData_["isdaSubProduct"] = creditIndexRefDatum->indexFamily();
        if (creditIndexRefDatum->indexFamily() == "") {
            ALOG("IndexFamily is blank in credit index reference data for entity " << entity);
        }
    } else {
        ALOG("Credit index reference data missing for entity " << entity << ", isdaSubProduct left blank");
    }
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");  
 
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
    QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("IndexCreditDefaultSwap");
 
    QL_REQUIRE(swap_.leg().legType() == "Fixed", "IndexCreditDefaultSwap requires Fixed leg");
    QuantLib::ext::shared_ptr<FixedLegData> fixedLegData =
        QuantLib::ext::dynamic_pointer_cast<FixedLegData>(swap_.leg().concreteLegData());
 
    auto configuration = builder->configuration(MarketContext::pricing);
    FixedLegBuilder flb;
    legs_.resize(1);
    legs_[0] = flb.buildLeg(swap_.leg(), engineFactory, requiredFixings_, configuration);
 
    Schedule schedule = makeSchedule(swap_.leg().schedule());
    BusinessDayConvention payConvention = parseBusinessDayConvention(swap_.leg().paymentConvention());
    Protection::Side prot = swap_.leg().isPayer() ? Protection::Side::Buyer : Protection::Side::Seller;
 
    notional_ = notional();
    DayCounter dc = parseDayCounter(swap_.leg().dayCounter());
 
    // In general for CDS and CDS index trades, the standard day counter is Actual/360 and the final
    // period coupon accrual includes the maturity date.
    Actual360 standardDayCounter;
    DayCounter lastPeriodDayCounter = dc == standardDayCounter ? Actual360(true) : dc;
 
    QL_REQUIRE(fixedLegData->rates().size() == 1, "IndexCreditDefaultSwap requires single rate");
 
    Real indexFactor = 1.0;
 
    // From the basket data or reference data, we need a vector of notionals and a vector of creditCurves
    vector<Real> basketNotionals;
    vector<string> basketCreditCurves;
 
    if (!swap_.basket().constituents().empty()) {
 
        const auto& constituents = swap_.basket().constituents();
        DLOG("Building constituents from basket data containing " << constituents.size() << " elements.");
 
        Real totalNtl = 0.0;
        for (const auto& c : constituents) {
            Real ntl = Null<Real>();
 
            const auto& creditCurve = c.creditCurveId();
 
            if (c.weightInsteadOfNotional()) {
                ntl = c.weight() * notional_;
            } else {
                ntl = c.notional();
            }
 
            if (!close(0.0, ntl) && ntl > 0.0) {
                if (std::find(basketCreditCurves.begin(), basketCreditCurves.end(), creditCurve) ==
                    basketCreditCurves.end()) {
                    DLOG("Adding underlying " << creditCurve << " with notional " << ntl);
                    constituents_[creditCurve] = ntl;
                    basketCreditCurves.push_back(creditCurve);
                    basketNotionals.push_back(ntl);
                    totalNtl += ntl;
                } else {
                    StructuredTradeErrorMessage(id(), "IndexCDS", "Error building trade",
                                                     ("Invalid Basket: found a duplicate credit curve " + creditCurve +
                                                      ", skip it. Check the basket data for possible errors.")
                                                         .c_str()).log();
                }
 
            } else {
                DLOG("Skipped adding underlying, " << creditCurve << ", because its notional, " << ntl
                                                   << ", was non-positive.");
            }
        }
        QL_REQUIRE(basketCreditCurves.size() == basketNotionals.size(),
                   "numbers of defaults curves (" << basketCreditCurves.size() << ") and notionals ("
                                                  << basketNotionals.size() << ") doesnt match");
        DLOG("All underlyings added, total notional = " << totalNtl);
 
        if (totalNtl > notional_ * (1.0 + 1.0E-4)) {
            StructuredTradeErrorMessage(id(), "IndexCDS", "Error building trade",
                                             ("Sum of basket notionals (" + std::to_string(totalNtl) +
                                              ") is greater than trade notional (" + std::to_string(notional_) +
                                              "). Check the basket data for possible errors.")
                                            .c_str())
                .log();
        }
 
        indexFactor = totalNtl / notional_;
 
        DLOG("Finished building constituents using basket data.");
 
    } else {
        // get data from ReferenceDatum
        string id = ore::data::splitCurveIdWithTenor(swap_.creditCurveId()).first;
        DLOG("Getting CreditIndexReferenceDatum for id " << id);
        QL_REQUIRE(engineFactory->referenceData(), "No BasketData or ReferenceDataManager");
        QL_REQUIRE(engineFactory->referenceData()->hasData(CreditIndexReferenceDatum::TYPE, id),
                   "No CreditIndex reference data for " << id);
        QuantLib::ext::shared_ptr<ReferenceDatum> refData =
            engineFactory->referenceData()->getData(CreditIndexReferenceDatum::TYPE, id);
        QuantLib::ext::shared_ptr<CreditIndexReferenceDatum> creditRefData =
            QuantLib::ext::dynamic_pointer_cast<CreditIndexReferenceDatum>(refData);
        DLOG("Got CreditIndexReferenceDatum for id " << id);
 
        Real totalWeight = 0.0;
        for (const auto& c : creditRefData->constituents()) {
 
            const auto& name = c.name();
            auto weight = c.weight();
 
            if (!close(0.0, weight) && weight > 0.0) {
                DLOG("Adding underlying " << name << " with weight " << weight);
                constituents_[name] = notional_ * weight;
                basketCreditCurves.push_back(name);
                basketNotionals.push_back(notional_ * weight);
                totalWeight += weight;
            } else {
                DLOG("Skipped adding underlying, " << name << ", because its weight, " << weight
                                                   << ", was non-positive.");
            }
        }
 
        indexFactor = totalWeight;
 
        DLOG("All underlyings added, total weight = " << totalWeight);
 
        if (!close(1.0, totalWeight) && totalWeight > 1.0) {
            ALOG("Total weight is greater than 1, possible error in CreditIndexReferenceDatum");
        }
    }
 
    QuantLib::ext::shared_ptr<QuantExt::IndexCreditDefaultSwap> cds;
    if (swap_.upfrontFee() == Null<Real>()) {
        cds = QuantLib::ext::make_shared<QuantExt::IndexCreditDefaultSwap>(
            prot, indexFactor * notional_, basketNotionals, fixedLegData->rates().front(), schedule, payConvention, dc,
            swap_.settlesAccrual(), swap_.protectionPaymentTime(), swap_.protectionStart(), QuantLib::ext::shared_ptr<Claim>(),
            lastPeriodDayCounter, true, swap_.tradeDate(), swap_.cashSettlementDays());
    } else {
        cds = QuantLib::ext::make_shared<QuantExt::IndexCreditDefaultSwap>(
            prot, indexFactor * notional_, basketNotionals, swap_.upfrontFee(), fixedLegData->rates().front(), schedule,
            payConvention, dc, swap_.settlesAccrual(), swap_.protectionPaymentTime(), swap_.protectionStart(),
            swap_.upfrontDate(), QuantLib::ext::shared_ptr<Claim>(), lastPeriodDayCounter, true, swap_.tradeDate(),
            swap_.cashSettlementDays());
    }
 
    QuantLib::ext::shared_ptr<IndexCreditDefaultSwapEngineBuilder> cdsBuilder =
        QuantLib::ext::dynamic_pointer_cast<IndexCreditDefaultSwapEngineBuilder>(builder);
 
    npvCurrency_ = swap_.leg().currency();
    notionalCurrency_ = swap_.leg().currency();
 
    QL_REQUIRE(cdsBuilder, "No Builder found for IndexCreditDefaultSwap: " << id());
    std::string curveIdWithTerm = swap_.creditCurveIdWithTerm();
    // warn if the term can not be implied, except when a  custom baskets is defined
    if (swap_.basket().constituents().empty() && splitCurveIdWithTenor(curveIdWithTerm).second == 0 * Days) {
        StructuredTradeWarningMessage(
            id(), tradeType(), "Could not imply Index CDS term.",
            "Index CDS term could not be derived from start, end date, are these dates correct (credit curve id is '" +
                swap_.creditCurveId() + "')").log();
    }
 
    maturity_ = cds->coupons().back()->date();
 
    cds->setPricingEngine(cdsBuilder->engine(parseCurrency(npvCurrency_), swap_.creditCurveIdWithTerm(),
                                             basketCreditCurves, boost::none, swap_.recoveryRate(), false));
    setSensitivityTemplate(*cdsBuilder);
 
    instrument_.reset(new VanillaInstrument(cds));
 
 
    legs_ = {cds->coupons()};
    legCurrencies_ = {npvCurrency_};
    legPayers_ = {swap_.leg().isPayer()};
 
    if (swap_.protectionStart() != Date())
        additionalData_["startDate"] = to_string(swap_.protectionStart());
    else
        additionalData_["startDate"] = to_string(schedule.dates().front());
 
    sensitivityDecomposition_ = cdsBuilder->sensitivityDecomposition();
}

Here is the call graph for this function:

◆ 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 257 of file indexcreditdefaultswap.cpp.

                                                    {
    Date asof = Settings::instance().evaluationDate();
    // get the current notional from the premium leg
    for (Size i = 0; i < legs_[0].size(); ++i) {
        QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(legs_[0][i]);
        if (coupon->date() > asof)
            return coupon->nominal();
    }
 
    // if not provided, return null
    ALOG("Error retrieving current notional for index credit default swap " << id() << " as of " << io::iso_date(asof));
    return Null<Real>();
}

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 271 of file indexcreditdefaultswap.cpp.

                                                  {
    Trade::fromXML(node);
    XMLNode* cdsNode = XMLUtils::getChildNode(node, "IndexCreditDefaultSwapData");
    QL_REQUIRE(cdsNode, "No IndexCreditDefaultSwapData Node");
    swap_.fromXML(cdsNode);
}

◆ toXML()

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

overridevirtual

Reimplemented from Trade.

Definition at line 278 of file indexcreditdefaultswap.cpp.

                                                             {
    XMLNode* node = Trade::toXML(doc);
    XMLUtils::appendNode(node, swap_.toXML(doc));
    return node;
}

◆ swap()

const IndexCreditDefaultSwapData & swap ( ) const

Definition at line 45 of file indexcreditdefaultswap.hpp.

45{ return swap_; }

◆ sensitivityDecomposition()

CreditPortfolioSensitivityDecomposition sensitivityDecomposition ( ) const

Definition at line 47 of file indexcreditdefaultswap.hpp.

47{ return sensitivityDecomposition_; }

◆ constituents()

const std::map< std::string, QuantLib::Real > & constituents ( ) const

Definition at line 49 of file indexcreditdefaultswap.hpp.

49{ return constituents_; };

◆ additionalData()

const std::map< std::string, boost::any > & additionalData ( ) const

overridevirtual

returns all additional data returned by the trade once built

Reimplemented from Trade.

Definition at line 239 of file indexcreditdefaultswap.cpp.

                                                                                {
    setLegBasedAdditionalData(0, 2);
    additionalData_["legNPV[1]"] = instrument_->qlInstrument()->result<Real>("protectionLegNPV");
    additionalData_["legNPV[2]"] = instrument_->qlInstrument()->result<Real>("premiumLegNPVDirty") +
                                   instrument_->qlInstrument()->result<Real>("upfrontPremiumNPV") +
                                   instrument_->qlInstrument()->result<Real>("accrualRebateNPV");
    additionalData_["isPayer[1]"] = !swap_.leg().isPayer();
    additionalData_["isPayer[2]"] = swap_.leg().isPayer();
    additionalData_["legType[2]"] = swap_.leg().legType();
    additionalData_["legType[1]"] = std::string("Protection");
    additionalData_["currentNotional[1]"] = additionalData_["currentNotional[2]"];
    additionalData_["originalNotional[1]"] = additionalData_["originalNotional[2]"];
    additionalData_["notionalCurrency[1]"] = notionalCurrency_;
    additionalData_["notionalCurrency[2]"] = notionalCurrency_;
    return additionalData_;
}

Member Data Documentation

◆ swap_

IndexCreditDefaultSwapData swap_

private

Definition at line 54 of file indexcreditdefaultswap.hpp.

◆ basket_

BasketData basket_

private

Definition at line 55 of file indexcreditdefaultswap.hpp.

◆ constituents_

std::map<std::string, QuantLib::Real> constituents_

private

map of all the constituents to notionals

Definition at line 57 of file indexcreditdefaultswap.hpp.

◆ sensitivityDecomposition_

CreditPortfolioSensitivityDecomposition sensitivityDecomposition_

private

Definition at line 58 of file indexcreditdefaultswap.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ IndexCreditDefaultSwap() [1/2]

◆ IndexCreditDefaultSwap() [2/2]

Member Function Documentation

◆ build()

◆ notional()

◆ fromXML()

◆ toXML()

◆ swap()

◆ sensitivityDecomposition()

◆ constituents()

◆ additionalData()

Member Data Documentation

◆ swap_

◆ basket_

◆ constituents_

◆ sensitivityDecomposition_