KnockOutSwap Class Reference

#include <ored/portfolio/knockoutswap.hpp>

Inheritance diagram for KnockOutSwap:

Collaboration diagram for KnockOutSwap:

Public Member Functions
	KnockOutSwap (const std::string &tradeType="KnockOutSwap")
	KnockOutSwap (const std::vector< LegData > &legData, const BarrierData &barrierData, const std::string &barrierStartDate)
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...

Private Attributes
std::vector< LegData >	legData_
BarrierData	barrierData_
std::string	barrierStartDate_

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 knockoutswap.hpp.

Constructor & Destructor Documentation

KnockOutSwap() [1/2]

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

explicit

Definition at line 38 of file knockoutswap.hpp.

: ScriptedTrade(tradeType) {}

KnockOutSwap() [2/2]

KnockOutSwap	(	const std::vector< LegData > &	legData,
		const BarrierData &	barrierData,
		const std::string &	barrierStartDate
	)

Definition at line 39 of file knockoutswap.hpp.

        : legData_(legData), barrierData_(barrierData), barrierStartDate_(barrierStartDate) {}

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 32 of file knockoutswap.cpp.

                                                                            {
 
    clear();
 
    QL_REQUIRE(legData_.size() == 2, "Expected exactly two legs, got " << legData_.size());
 
    std::set<std::string> legTypes;
    for (auto const& ld : legData_) {
    legTypes.insert(ld.legType());
    }
 
    QL_REQUIRE(legTypes.size() == 2 && *legTypes.begin() == "Fixed" && *std::next(legTypes.begin(), 1) == "Floating",
           "Expected one 'Floating' and one 'Fixed' type");
 
    const LegData& fixedLegData = legData_[0].legType() == "Fixed" ? legData_[0] : legData_[1];
    const LegData& floatLegData = legData_[0].legType() == "Fixed" ? legData_[1] : legData_[0];
 
    auto floatAddData = QuantLib::ext::dynamic_pointer_cast<FloatingLegData>(floatLegData.concreteLegData());
    auto fixedAddData = QuantLib::ext::dynamic_pointer_cast<FixedLegData>(fixedLegData.concreteLegData());
 
    QL_REQUIRE(floatAddData, "Internal error: could not cast to float additional data");
    QL_REQUIRE(fixedAddData, "Internal error: could not cast to fixed additional data");
 
    QL_REQUIRE(fixedLegData.isPayer() != floatLegData.isPayer(), "Expected one payer and one receiver leg");
 
    if (fixedLegData.isPayer())
    numbers_.emplace_back("Number", "Payer", "-1");
    else
    numbers_.emplace_back("Number", "Payer", "1");
 
    QL_REQUIRE(fixedLegData.notionals().size() == 1,
           "Expected one notional on fixed leg, got " << fixedLegData.notionals().size());
    QL_REQUIRE(floatLegData.notionals().size() == 1,
           "Expected one notional on floating leg, got " << floatLegData.notionals().size());
    QL_REQUIRE(QuantLib::close_enough(fixedLegData.notionals().front(), floatLegData.notionals().front()),
           "Expected same notional on fixed and floating leg, got " << fixedLegData.notionals().front() << " and "
                                    << floatLegData.notionals().front());
 
    QL_REQUIRE(fixedAddData->rates().size() == 1,
           "Expected one rate on fixed leg, got " << fixedAddData->rates().size());
    QL_REQUIRE(floatAddData->spreads().size() <= 1,
           "Expected at most one spread on floating leg, got " << floatAddData->spreads().size());
    QL_REQUIRE(floatAddData->gearings().size() <= 1,
           "Expected at most one gearing on floating leg, got " << floatAddData->gearings().size());
 
    numbers_.emplace_back("Number", "Notional", std::to_string(fixedLegData.notionals().front()));
    numbers_.emplace_back("Number", "FixedRate", std::to_string(fixedAddData->rates().front()));
    numbers_.emplace_back("Number", "FloatMargin",
              floatAddData->spreads().empty() ? "0.0" : std::to_string(floatAddData->spreads().front()));
    numbers_.emplace_back("Number", "FloatGearing",
              floatAddData->gearings().empty() ? "1.0" : std::to_string(floatAddData->gearings().front()));
 
    auto index = parseIborIndex(floatAddData->index());
    Size fixingShift = floatAddData->fixingDays() == Null<Size>() ? index->fixingDays() : floatAddData->fixingDays();
    std::string fixingCalendar = index->fixingCalendar().name();
    events_.emplace_back("FloatFixingSchedule", "FloatSchedule", "-" + std::to_string(fixingShift) + "D", fixingCalendar, "P");
 
    indices_.emplace_back("Index", "FloatIndex", floatAddData->index());
 
    std::string floatDayCounter =
    floatLegData.dayCounter().empty() ? index->dayCounter().name() : floatLegData.dayCounter();
    std::string fixedDayCounter = fixedLegData.dayCounter().empty() ? floatDayCounter : fixedLegData.dayCounter();
 
    daycounters_.emplace_back("Daycounter", "FixedDayCounter", fixedDayCounter);
    daycounters_.emplace_back("Daycounter", "FloatDayCounter", floatDayCounter);
 
    events_.emplace_back("FixedSchedule", fixedLegData.schedule());
    events_.emplace_back("FloatSchedule", floatLegData.schedule());
 
    QL_REQUIRE(!fixedLegData.currency().empty() && fixedLegData.currency() == floatLegData.currency(),
           "Both legs must have the same currency, got '" << fixedLegData.currency() << "' on the fixed leg and '"
                                  << floatLegData.currency() << "' on the floating leg.");
    QL_REQUIRE(fixedLegData.currency() == index->currency().code(),
           "Leg currency '" << fixedLegData.currency() << "' must match float index currency '"
                << index->currency().code() << "' of index '" << index->name() << "'");
 
    currencies_.emplace_back("Currency", "PayCurrency", fixedLegData.currency());
 
    QL_REQUIRE(barrierData_.style().empty() || barrierData_.style() == "European",
           "Expected European barrier style, got '" << barrierData_.style() << "'");
 
    auto barrierType = parseBarrierType(barrierData_.type());
    if (barrierType == QuantLib::Barrier::DownOut)
    numbers_.emplace_back("Number", "KnockOutType", "3");
    else if (barrierType == QuantLib::Barrier::UpOut)
    numbers_.emplace_back("Number", "KnockOutType", "4");
    else {
    QL_FAIL("Expected BarrierType 'DownAndOut' or 'UpAndOut', got '" << barrierData_.type());
    }
 
    QL_REQUIRE(barrierData_.levels().size() == 1, "Expected exactly one barrier level");
    QL_REQUIRE(barrierData_.levels().front().value() != Null<Real>(), "No barrier level specified.");
 
    numbers_.emplace_back("Number", "KnockOutLevel", std::to_string(barrierData_.levels().front().value()));
 
    events_.emplace_back("BarrierStartDate", barrierStartDate_);
 
    // set product tag
 
    productTag_ = "SingleUnderlyingIrOption";
 
    // set script
 
    bool isIborBased = QuantLib::ext::dynamic_pointer_cast<QuantLib::OvernightIndex>(index) == nullptr;
 
    // clang-format off
 
    // FloatFixingSchedule has one date more than needed at the back because it is derived from FloatSchedule
    // there are two variants of the float payoff scripting depending on isIborBased
 
    std::string mc_script = std::string(
      "REQUIRE KnockOutType == 3 OR KnockOutType == 4;\n"
      "NUMBER Alive[SIZE(FloatFixingSchedule)], aliveInd, lastFixedIndex, lastFloatIndex, d, j, fix;\n"
 
      "aliveInd = 1;\n"
 
      "FOR d IN (1, SIZE(FloatFixingSchedule), 1) DO\n"
 
      "   FOR j IN (lastFixedIndex + 1, SIZE(FixedSchedule) - 1, 1) DO\n"
      "     IF FixedSchedule[j] < FloatFixingSchedule[d] OR d == SIZE(FloatFixingSchedule) THEN\n"
      "        value = value + LOGPAY( Payer * aliveInd * Notional * FixedRate * dcf( FixedDayCounter, FixedSchedule[j], FixedSchedule[j+1]),\n"
      "                             FixedSchedule[j], FixedSchedule[j+1], PayCurrency, 1, FixedLegCoupon );\n"
      "        lastFixedIndex = j;\n"
      "      END;\n"
      "    END;\n"
 
      "    FOR j IN (lastFloatIndex + 1, SIZE(FloatSchedule) - 1, 1) DO\n"
      "      IF FloatSchedule[j] < FloatFixingSchedule[d] OR d == SIZE(FloatFixingSchedule) THEN\n"
      "        value = value + LOGPAY( (-Payer) * aliveInd * Notional *\n") + std::string(
    isIborBased ?
      "                             ( FloatGearing * FloatIndex(FloatFixingSchedule[j]) + FloatMargin)\n"
    :
      "                             FWDCOMP(FloatIndex, FloatFixingSchedule[j], FloatSchedule[j], FloatSchedule[j+1], FloatMargin, FloatGearing)\n") + std::string(
 
      "                             * dcf( FloatDayCounter, FloatSchedule[j], FloatSchedule[j+1]),\n"
      "                             FloatFixingSchedule[j], FloatSchedule[j+1], PayCurrency, 2, FloatingLegCoupon );\n"
      "        lastFloatIndex = j;\n"
      "      END;\n"
      "    END;\n"
 
      "   IF d < SIZE(FloatFixingSchedule) THEN\n"
      "     fix = FloatIndex(FloatFixingSchedule[d]);\n"
      "     IF FloatFixingSchedule[d] >= BarrierStartDate AND\n"
      "        {{KnockOutType == 3 AND fix <= KnockOutLevel} OR\n"
      "         {KnockOutType == 4 AND fix >= KnockOutLevel}} THEN\n"
      "       aliveInd = 0;\n"
      "     END;\n"
      "     Alive[d] = aliveInd;\n"
      "   END;\n"
 
      "END;\n");
 
    // clang-format on
 
    script_[""] = ScriptedTradeScriptData(
    mc_script, "value", {{"currentNotional", "Notional"}, {"notionalCurrency", "PayCurrency"}, {"Alive", "Alive"}},
    {}, {}, {}, {});
 
    // build trade
 
    ScriptedTrade::build(factory);
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Trade.

Definition at line 195 of file knockoutswap.cpp.

                                        {
    Trade::fromXML(node);
    XMLNode* dataNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    QL_REQUIRE(dataNode, tradeType() + "Data node not found");
 
    barrierData_.fromXML(XMLUtils::getChildNode(dataNode, "BarrierData"));
    barrierStartDate_ = XMLUtils::getChildValue(dataNode, "BarrierStartDate", true);
 
    legData_.clear();
    for (auto const n : XMLUtils::getChildrenNodes(dataNode, "LegData")) {
    legData_.push_back(ore::data::LegData());
    legData_.back().fromXML(n);
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 210 of file knockoutswap.cpp.

                                                   {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* dataNode = doc.allocNode(tradeType() + "Data");
    XMLUtils::appendNode(dataNode, barrierData_.toXML(doc));
    XMLUtils::addChild(doc, dataNode, "BarrierStartDate", barrierStartDate_);
    for (auto& ld : legData_) {
    XMLUtils::appendNode(dataNode, ld.toXML(doc));
    }
    XMLUtils::appendNode(node, dataNode);
    return node;
}

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Member Data Documentation

legData_

std::vector<LegData> legData_

private

Definition at line 47 of file knockoutswap.hpp.

barrierData_

BarrierData barrierData_

private

Definition at line 48 of file knockoutswap.hpp.

barrierStartDate_

std::string barrierStartDate_

private

Definition at line 49 of file knockoutswap.hpp.