#include <ored/portfolio/multilegoption.hpp>

Inheritance diagram for MultiLegOption:

Collaboration diagram for MultiLegOption:

Public Member Functions
	MultiLegOption ()

	MultiLegOption (const Envelope &env, const vector< LegData > &underlyingData)

	MultiLegOption (const Envelope &env, const OptionData &optionData, const vector< LegData > &underlyingData)

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

const OptionData &	option ()

const bool &	hasOption ()

const vector< LegData > &	underlying ()

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

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...

Private Attributes
OptionData	optionData_

bool	hasOption_

vector< LegData >	underlyingData_

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 32 of file multilegoption.hpp.

Constructor & Destructor Documentation

◆ MultiLegOption() [1/3]

MultiLegOption ( )

Definition at line 35 of file multilegoption.hpp.

35: Trade("MultiLegOption"), hasOption_(false) {}

ore::data::MultiLegOption::hasOption_

bool hasOption_

Definition: multilegoption.hpp:56

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ MultiLegOption() [2/3]

MultiLegOption	(	const Envelope &	env,
		const vector< LegData > &	underlyingData
	)

Definition at line 38 of file multilegoption.hpp.

39 : Trade("MultiLegOption", env), hasOption_(false), underlyingData_(underlyingData) {}

ore::data::MultiLegOption::underlyingData_

vector< LegData > underlyingData_

Definition: multilegoption.hpp:57

◆ MultiLegOption() [3/3]

MultiLegOption	(	const Envelope &	env,
		const OptionData &	optionData,
		const vector< LegData > &	underlyingData
	)

Definition at line 42 of file multilegoption.hpp.

43 : Trade("MultiLegOption", env), optionData_(optionData), hasOption_(true), underlyingData_(underlyingData) {}

ore::data::MultiLegOption::optionData_

OptionData optionData_

Definition: multilegoption.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 37 of file multilegoption.cpp.

                                                                                    {
 
    DLOG("Building MultiLegOption " << id());
 
    QL_REQUIRE(!underlyingData_.empty(), "MultiLegOption: no underlying given");
 
    Position::Type positionType = Position::Long;
    Settlement::Type settleType = Settlement::Cash;
    if (hasOption()) {
        Exercise::Type exerciseType = parseExerciseType(optionData_.style());
        QL_REQUIRE(exerciseType == Exercise::Bermudan || exerciseType == Exercise::European,
                   "MultiLegOption: exercise type must be bermudan or european");
        settleType = parseSettlementType(optionData_.settlement());
        positionType = parsePositionType(optionData_.longShort());
    }
 
    Date today = Settings::instance().evaluationDate();
    Real multiplier = positionType == Position::Long ? 1.0 : -1.0;
 
    auto builder =
        QuantLib::ext::dynamic_pointer_cast<MultiLegOptionEngineBuilderBase>(engineFactory->builder("MultiLegOption"));
    QL_REQUIRE(builder != nullptr, "wrong builder, expected multi leg option engine builder");
 
    // build underlying legs
 
    // TODO support notional exchanges, fx resets, more leg types
    vector<Leg> underlyingLegs;
    vector<bool> underlyingPayers;
    vector<Currency> underlyingCurrencies;
    legCurrencies_.clear();
 
    for (Size i = 0; i < underlyingData_.size(); ++i) {
        auto legBuilder = engineFactory->legBuilder(underlyingData_[i].legType());
        underlyingLegs.push_back(legBuilder->buildLeg(underlyingData_[i], engineFactory, requiredFixings_,
                                                      builder->configuration(MarketContext::pricing)));
        underlyingCurrencies.push_back(parseCurrency(underlyingData_[i].currency()));
        legCurrencies_.push_back(underlyingData_[i].currency());
        underlyingPayers.push_back(underlyingData_[i].isPayer());
        DLOG("Added leg of type " << underlyingData_[i].legType() << " in currency " << underlyingData_[i].currency()
                                  << " is payer " << underlyingData_[i].isPayer());
    }
 
    // build exercise option
 
    QuantLib::ext::shared_ptr<Exercise> exercise;
    vector<Date> exDates;
    if (hasOption()) {
        for (Size i = 0; i < optionData_.exerciseDates().size(); ++i) {
            Date exDate = parseDate(optionData_.exerciseDates()[i]);
            if (exDate > Settings::instance().evaluationDate())
                exDates.push_back(exDate);
        }
    }
    if (!exDates.empty()) {
        std::sort(exDates.begin(), exDates.end());
        exercise = QuantLib::ext::make_shared<BermudanExercise>(exDates);
        DLOG("Added exercise with " << exDates.size() << " alive exercise dates.");
    } else {
        DLOG("No exercise added, instrument is equal to the underlying");
    }
 
    // build instrument
 
    auto multiLegOption = QuantLib::ext::make_shared<QuantExt::MultiLegOption>(underlyingLegs, underlyingPayers,
                                                                       underlyingCurrencies, exercise, settleType);
 
    DLOG("QLE Instrument built.")
 
    // extract underlying fixing dates and indices (needed in the engine builder for model calibration below)
    // also add currencies from indices
    vector<Date> underlyingFixingDates;
    vector<QuantLib::ext::shared_ptr<InterestRateIndex>> underlyingIndices;
    vector<Currency> allCurrencies;
    for (auto const& c : underlyingCurrencies) {
        if (std::find(allCurrencies.begin(), allCurrencies.end(), c) == allCurrencies.end()) {
            allCurrencies.push_back(c);
        }
    }
    for (auto const& l : underlyingLegs) {
        for (auto const& c : l) {
            auto flr = QuantLib::ext::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>(c);
            auto cfc = QuantLib::ext::dynamic_pointer_cast<QuantLib::CappedFlooredCoupon>(c);
            if (cfc != nullptr)
                flr = cfc->underlying();
            if (flr != nullptr) {
                if (flr->fixingDate() > today) {
                    underlyingFixingDates.push_back(flr->fixingDate());
                    underlyingIndices.push_back(flr->index());
                    if (std::find(allCurrencies.begin(), allCurrencies.end(), flr->index()->currency()) ==
                        allCurrencies.end())
                        allCurrencies.push_back(flr->index()->currency());
                }
            }
        }
    }
 
    DLOG("Extracted underlying currencies, indices and fixing dates.")
 
    std::vector<QuantLib::ext::shared_ptr<Instrument>> additionalInstruments;
    std::vector<Real> additionalMultipliers;
    Date lastPremiumDate = addPremiums(additionalInstruments, additionalMultipliers, multiplier,
                                       optionData_.premiumData(), -multiplier, parseCurrency(legCurrencies_.front()),
                                       engineFactory, builder->configuration(MarketContext::pricing));
 
    // get engine and assign it
 
    std::sort(allCurrencies.begin(), allCurrencies.end(),
              [](const Currency& a, const Currency& b) { return a.code() < b.code(); });
    auto engine = builder->engine(id(), exDates, multiLegOption->maturityDate(), allCurrencies, underlyingFixingDates,
                                  underlyingIndices);
    multiLegOption->setPricingEngine(engine);
    setSensitivityTemplate(*builder);
 
    DLOG("Pricing engine set.")
 
    // build instrument
    // WARNING: we don't support an option wrapper here, i.e. the vanilla simulation will not work properly
    instrument_ =
        QuantLib::ext::make_shared<VanillaInstrument>(multiLegOption, multiplier, additionalInstruments, additionalMultipliers);
 
    // popular trade members
 
    legs_ = underlyingLegs;
    legPayers_ = underlyingPayers;
    notional_ = currentNotional(legs_.front());
    maturity_ = std::max(lastPremiumDate, multiLegOption->maturityDate());
    // npv currency is base currency of the pricing model
    auto moe = QuantLib::ext::dynamic_pointer_cast<McMultiLegOptionEngine>(engine);
    QL_REQUIRE(moe != nullptr, "MultiLegOption::build(): expected McMultiLegOptionEngine from engine builder");
    npvCurrency_ = moe->model()->irlgm1f(0)->currency().code();
 
    DLOG("Building MultiLegOption done");
} // build

Here is the call graph for this function:

◆ option()

const OptionData & option ( )

Definition at line 47 of file multilegoption.hpp.

47{ return optionData_; }

◆ hasOption()

const bool & hasOption ( )

Definition at line 48 of file multilegoption.hpp.

48{ return hasOption_; }

◆ underlying()

const vector< LegData > & underlying ( )

Definition at line 49 of file multilegoption.hpp.

49{ return underlyingData_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 171 of file multilegoption.cpp.

                                          {
    Trade::fromXML(node);
    underlyingData_.clear();
    optionData_ = OptionData();
    hasOption_ = false;
    XMLNode* n0 = XMLUtils::getChildNode(node, "MultiLegOptionData");
    XMLNode* n1 = XMLUtils::getChildNode(n0, "OptionData");
    if (n1 != nullptr) {
        optionData_.fromXML(n1);
        hasOption_ = true;
    }
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(n0, "LegData");
    for (auto const n : nodes) {
        LegData ld;
        ld.fromXML(n);
        underlyingData_.push_back(ld);
    }
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 190 of file multilegoption.cpp.

                                                     {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* n0 = doc.allocNode("MultiLegOptionData");
    XMLUtils::appendNode(node, n0);
    if (hasOption_) {
        XMLUtils::appendNode(n0, optionData_.toXML(doc));
        for (auto& d : underlyingData_) {
            XMLUtils::appendNode(n0, d.toXML(doc));
        }
    }
    return node;
}

Here is the call graph for this function:

Member Data Documentation

◆ optionData_

OptionData optionData_

private

Definition at line 55 of file multilegoption.hpp.

◆ hasOption_

bool hasOption_

private

Definition at line 56 of file multilegoption.hpp.

◆ underlyingData_

vector<LegData> underlyingData_

private

Definition at line 57 of file multilegoption.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ MultiLegOption() [1/3]

◆ MultiLegOption() [2/3]

◆ MultiLegOption() [3/3]

Member Function Documentation

◆ build()

◆ option()

◆ hasOption()

◆ underlying()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ optionData_

◆ hasOption_

◆ underlyingData_