OptionData Class Reference

Serializable object holding option data. More...

#include <ored/portfolio/optiondata.hpp>

Inheritance diagram for OptionData:

Collaboration diagram for OptionData:

Public Member Functions
	OptionData ()
	Default constructor. More...
	OptionData (string longShort, string callPut, string style, bool payoffAtExpiry, vector< string > exerciseDates, string settlement="Cash", string settlementMethod="", const PremiumData &premiumData={}, vector< double > exerciseFees=vector< Real >(), vector< double > exercisePrices=vector< Real >(), string noticePeriod="", string noticeCalendar="", string noticeConvention="", const vector< string > &exerciseFeeDates=vector< string >(), const vector< string > &exerciseFeeTypes=vector< string >(), string exerciseFeeSettlementPeriod="", string exerciseFeeSettlementCalendar="", string exerciseFeeSettlementConvention="", string payoffType="", string payoffType2="", const boost::optional< bool > &automaticExercise=boost::none, const boost::optional< OptionExerciseData > &exerciseData=boost::none, const boost::optional< OptionPaymentData > &paymentData=boost::none)
	Constructor. More...
Inspectors
const string &	longShort () const
const string &	callPut () const
const string &	payoffType () const
const string &	payoffType2 () const
const string &	style () const
const bool &	payoffAtExpiry () const
const vector< string > &	exerciseDates () const
const ScheduleData &	exerciseDatesSchedule () const
const string &	noticePeriod () const
const string &	noticeCalendar () const
const string &	noticeConvention () const
const string &	settlement () const
const string &	settlementMethod () const
const PremiumData &	premiumData () const
const vector< double > &	exerciseFees () const
const vector< string > &	exerciseFeeDates () const
const vector< string > &	exerciseFeeTypes () const
const string &	exerciseFeeSettlementPeriod () const
const string &	exerciseFeeSettlementCalendar () const
const string &	exerciseFeeSettlementConvention () const
const vector< double > &	exercisePrices () const
boost::optional< bool >	automaticExercise () const
const boost::optional< OptionExerciseData > &	exerciseData () const
const boost::optional< OptionPaymentData > &	paymentData () const
Setters
void	setExerciseDates (const std::vector< std::string > &exerciseDates)
void	setExerciseDates (const ScheduleData &exerciseDatesSchedule)
void	setAutomaticExercise (bool automaticExercise)
void	setPaymentData (const OptionPaymentData &paymentData)
void	setCallPut (const string &callPut)
void	setLongShort (const std::string &longShort)
void	setStyle (const std::string &style)
void	setPayoffAtExpiry (const bool payoffAtExpiry)
void	setNoticePeriod (const std::string &noticePeriod)
void	setSettlement (const std::string &settlement)
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
string	longShort_
string	callPut_
string	payoffType_
string	payoffType2_
string	style_
bool	payoffAtExpiry_
ScheduleData	exerciseDatesSchedule_
vector< string >	exerciseDates_
string	noticePeriod_
string	noticeCalendar_
string	noticeConvention_
string	settlement_
string	settlementMethod_
PremiumData	premiumData_
vector< double >	exerciseFees_
vector< string >	exerciseFeeDates_
vector< string >	exerciseFeeTypes_
string	exerciseFeeSettlementPeriod_
string	exerciseFeeSettlementCalendar_
string	exerciseFeeSettlementConvention_
vector< double >	exercisePrices_
boost::optional< bool >	automaticExercise_
boost::optional< OptionExerciseData >	exerciseData_
boost::optional< OptionPaymentData >	paymentData_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
bool	isAutomaticExercise () const
	Automatic exercise assumed false if not explicitly provided. More...

Detailed Description

Serializable object holding option data.

Definition at line 42 of file optiondata.hpp.

Constructor & Destructor Documentation

OptionData() [1/2]

OptionData

(

)

Default constructor.

Definition at line 45 of file optiondata.hpp.

: payoffAtExpiry_(true), automaticExercise_(false) {}

OptionData() [2/2]

OptionData	(	string	longShort,
		string	callPut,
		string	style,
		bool	payoffAtExpiry,
		vector< string >	exerciseDates,
		string	settlement = "Cash",
		string	settlementMethod = "",
		const PremiumData &	premiumData = {},
		vector< double >	exerciseFees = vector<Real>(),
		vector< double >	exercisePrices = vector<Real>(),
		string	noticePeriod = "",
		string	noticeCalendar = "",
		string	noticeConvention = "",
		const vector< string > &	exerciseFeeDates = vector<string>(),
		const vector< string > &	exerciseFeeTypes = vector<string>(),
		string	exerciseFeeSettlementPeriod = "",
		string	exerciseFeeSettlementCalendar = "",
		string	exerciseFeeSettlementConvention = "",
		string	payoffType = "",
		string	payoffType2 = "",
		const boost::optional< bool > &	automaticExercise = boost::none,
		const boost::optional< OptionExerciseData > &	exerciseData = boost::none,
		const boost::optional< OptionPaymentData > &	paymentData = boost::none
	)

Constructor.

Definition at line 47 of file optiondata.hpp.

                                                                                                          {},
               vector<double> exerciseFees = vector<Real>(), vector<double> exercisePrices = vector<Real>(),
               string noticePeriod = "", string noticeCalendar = "", string noticeConvention = "",
               const vector<string>& exerciseFeeDates = vector<string>(),
               const vector<string>& exerciseFeeTypes = vector<string>(), string exerciseFeeSettlementPeriod = "",
               string exerciseFeeSettlementCalendar = "", string exerciseFeeSettlementConvention = "",
               string payoffType = "", string payoffType2 = "",
               const boost::optional<bool>& automaticExercise = boost::none,
               const boost::optional<OptionExerciseData>& exerciseData = boost::none,
               const boost::optional<OptionPaymentData>& paymentData = boost::none)
        : longShort_(longShort), callPut_(callPut), payoffType_(payoffType), payoffType2_(payoffType2), style_(style),
          payoffAtExpiry_(payoffAtExpiry), exerciseDates_(exerciseDates), noticePeriod_(noticePeriod),
          noticeCalendar_(noticeCalendar), noticeConvention_(noticeConvention), settlement_(settlement),
          settlementMethod_(settlementMethod), premiumData_(premiumData), exerciseFees_(exerciseFees),
          exerciseFeeDates_(exerciseFeeDates), exerciseFeeTypes_(exerciseFeeTypes),
          exerciseFeeSettlementPeriod_(exerciseFeeSettlementPeriod),
          exerciseFeeSettlementCalendar_(exerciseFeeSettlementCalendar),
          exerciseFeeSettlementConvention_(exerciseFeeSettlementConvention), exercisePrices_(exercisePrices),
          automaticExercise_(automaticExercise), exerciseData_(exerciseData), paymentData_(paymentData) {}

Member Function Documentation

longShort()

const string & longShort

(

)

const

Definition at line 70 of file optiondata.hpp.

{ return longShort_; }

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callPut()

const string & callPut

(

)

const

Definition at line 71 of file optiondata.hpp.

{ return callPut_; }

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payoffType()

const string & payoffType

(

)

const

Definition at line 72 of file optiondata.hpp.

{ return payoffType_; }

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payoffType2()

const string & payoffType2

(

)

const

Definition at line 73 of file optiondata.hpp.

{ return payoffType2_; }

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style()

const string & style

(

)

const

Definition at line 74 of file optiondata.hpp.

{ return style_; }

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payoffAtExpiry()

const bool & payoffAtExpiry

(

)

const

Definition at line 75 of file optiondata.hpp.

{ return payoffAtExpiry_; }

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exerciseDates()

const vector< string > & exerciseDates

(

)

const

Definition at line 76 of file optiondata.hpp.

{ return exerciseDates_; }

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exerciseDatesSchedule()

const ScheduleData & exerciseDatesSchedule

(

)

const

Definition at line 77 of file optiondata.hpp.

{ return exerciseDatesSchedule_; }

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noticePeriod()

const string & noticePeriod

(

)

const

Definition at line 78 of file optiondata.hpp.

{ return noticePeriod_; }

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noticeCalendar()

const string & noticeCalendar

(

)

const

Definition at line 79 of file optiondata.hpp.

{ return noticeCalendar_; }

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noticeConvention()

const string & noticeConvention

(

)

const

Definition at line 80 of file optiondata.hpp.

{ return noticeConvention_; }

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settlement()

const string & settlement

(

)

const

Definition at line 81 of file optiondata.hpp.

{ return settlement_; }

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settlementMethod()

const string & settlementMethod

(

)

const

Definition at line 82 of file optiondata.hpp.

{ return settlementMethod_; }

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premiumData()

const PremiumData & premiumData

(

)

const

Definition at line 83 of file optiondata.hpp.

{ return premiumData_; }

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exerciseFees()

const vector< double > & exerciseFees

(

)

const

Definition at line 84 of file optiondata.hpp.

{ return exerciseFees_; }

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exerciseFeeDates()

const vector< string > & exerciseFeeDates

(

)

const

Definition at line 85 of file optiondata.hpp.

{ return exerciseFeeDates_; }

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exerciseFeeTypes()

const vector< string > & exerciseFeeTypes

(

)

const

Definition at line 86 of file optiondata.hpp.

{ return exerciseFeeTypes_; }

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exerciseFeeSettlementPeriod()

const string & exerciseFeeSettlementPeriod

(

)

const

Definition at line 87 of file optiondata.hpp.

{ return exerciseFeeSettlementPeriod_; }

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exerciseFeeSettlementCalendar()

const string & exerciseFeeSettlementCalendar

(

)

const

Definition at line 88 of file optiondata.hpp.

{ return exerciseFeeSettlementCalendar_; }

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exerciseFeeSettlementConvention()

const string & exerciseFeeSettlementConvention

(

)

const

Definition at line 89 of file optiondata.hpp.

{ return exerciseFeeSettlementConvention_; }

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exercisePrices()

const vector< double > & exercisePrices

(

)

const

Definition at line 90 of file optiondata.hpp.

{ return exercisePrices_; }

automaticExercise()

boost::optional< bool > automaticExercise

(

)

const

Definition at line 91 of file optiondata.hpp.

{ return automaticExercise_; }

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exerciseData()

const boost::optional< OptionExerciseData > & exerciseData

(

)

const

Definition at line 92 of file optiondata.hpp.

{ return exerciseData_; }

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paymentData()

const boost::optional< OptionPaymentData > & paymentData

(

)

const

Definition at line 93 of file optiondata.hpp.

{ return paymentData_; }

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setExerciseDates() [1/2]

void setExerciseDates

(

const std::vector< std::string > &

exerciseDates

)

Definition at line 98 of file optiondata.hpp.

{ exerciseDates_ = exerciseDates; }

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setExerciseDates() [2/2]

void setExerciseDates

(

const ScheduleData &

exerciseDatesSchedule

)

Definition at line 99 of file optiondata.hpp.

{ exerciseDatesSchedule_ = exerciseDatesSchedule; }

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setAutomaticExercise()

void setAutomaticExercise

(

bool

automaticExercise

)

Definition at line 100 of file optiondata.hpp.

{ automaticExercise_ = automaticExercise; }

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setPaymentData()

void setPaymentData

(

const OptionPaymentData &

paymentData

)

Definition at line 101 of file optiondata.hpp.

{ paymentData_ = paymentData; }

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setCallPut()

void setCallPut

(

const string &

callPut

)

Definition at line 102 of file optiondata.hpp.

{ callPut_ = callPut; }

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setLongShort()

void setLongShort

(

const std::string &

longShort

)

Definition at line 103 of file optiondata.hpp.

{ longShort_ = longShort; }

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setStyle()

void setStyle

(

const std::string &

style

)

Definition at line 104 of file optiondata.hpp.

{ style_ = style; }

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setPayoffAtExpiry()

void setPayoffAtExpiry

(

const bool

payoffAtExpiry

)

Definition at line 105 of file optiondata.hpp.

{ payoffAtExpiry_ = payoffAtExpiry; }

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setNoticePeriod()

void setNoticePeriod

(

const std::string &

noticePeriod

)

Definition at line 106 of file optiondata.hpp.

{ noticePeriod_ = noticePeriod; }

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setSettlement()

void setSettlement

(

const std::string &

settlement

)

Definition at line 107 of file optiondata.hpp.

{ settlement_ = settlement; }

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 32 of file optiondata.cpp.

                                      {
    XMLUtils::checkNode(node, "OptionData");
    longShort_ = XMLUtils::getChildValue(node, "LongShort", true);
    callPut_ = XMLUtils::getChildValue(node, "OptionType", false);
    payoffType_ = XMLUtils::getChildValue(node, "PayoffType", false);
    payoffType2_ = XMLUtils::getChildValue(node, "PayoffType2", false);
    style_ = XMLUtils::getChildValue(node, "Style", false);
    noticePeriod_ = XMLUtils::getChildValue(node, "NoticePeriod", false);
    noticeCalendar_ = XMLUtils::getChildValue(node, "NoticeCalendar", false);
    noticeConvention_ = XMLUtils::getChildValue(node, "NoticeConvention", false);
    settlement_ = XMLUtils::getChildValue(node, "Settlement", false);
    settlementMethod_ = XMLUtils::getChildValue(node, "SettlementMethod", false);
    payoffAtExpiry_ = XMLUtils::getChildValueAsBool(node, "PayOffAtExpiry", false, true);
    premiumData_.fromXML(node);
    exerciseFeeTypes_.clear();
    exerciseFeeDates_.clear();
    vector<std::reference_wrapper<vector<string>>> attrs;
    attrs.push_back(exerciseFeeTypes_);
    attrs.push_back(exerciseFeeDates_);
    exerciseFees_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "ExerciseFees", "ExerciseFee",
                                                                    {"type", "startDate"}, attrs, &parseReal);
    exerciseFeeSettlementPeriod_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementPeriod", false);
    exerciseFeeSettlementCalendar_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementCalendar", false);
    exerciseFeeSettlementConvention_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementConvention", false);
    exercisePrices_ = XMLUtils::getChildrenValuesAsDoubles(node, "ExercisePrices", "ExercisePrice", false);
 
    XMLNode* exDatesNode = XMLUtils::getChildNode(node, "ExerciseDates");
    XMLNode* exScheduleNode = XMLUtils::getChildNode(node, "ExerciseSchedule");
    QL_REQUIRE(!(exDatesNode && exScheduleNode),
               "Cannot specify both ExerciseDates and ExerciseSchedule. Only one must be used.");
    if (exDatesNode) {
        exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate");
    }
    if (exScheduleNode) {
        exerciseDatesSchedule_.fromXML(exScheduleNode);
    }
 
    automaticExercise_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(node, "AutomaticExercise"))
        automaticExercise_ = parseBool(XMLUtils::getNodeValue(n));
 
    exerciseData_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(node, "ExerciseData")) {
        exerciseData_ = OptionExerciseData();
        exerciseData_->fromXML(n);
    }
 
    paymentData_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(node, "PaymentData")) {
        paymentData_ = OptionPaymentData();
        paymentData_->fromXML(n);
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 86 of file optiondata.cpp.

                                                 {
    XMLNode* node = doc.allocNode("OptionData");
    XMLUtils::addChild(doc, node, "LongShort", longShort_);
    if (callPut_ != "")
        XMLUtils::addChild(doc, node, "OptionType", callPut_);
    if (payoffType_ != "")
        XMLUtils::addChild(doc, node, "PayoffType", payoffType_);
    if (payoffType2_ != "")
        XMLUtils::addChild(doc, node, "PayoffType2", payoffType2_);
    if (style_ != "")
        XMLUtils::addChild(doc, node, "Style", style_);
    XMLUtils::addChild(doc, node, "NoticePeriod", noticePeriod_);
    if (noticeCalendar_ != "")
        XMLUtils::addChild(doc, node, "NoticeCalendar", noticeCalendar_);
    if (noticeConvention_ != "")
        XMLUtils::addChild(doc, node, "NoticeConvention", noticeConvention_);
    if (settlement_ != "")
        XMLUtils::addChild(doc, node, "Settlement", settlement_);
    if (settlementMethod_ != "")
        XMLUtils::addChild(doc, node, "SettlementMethod", settlementMethod_);
    XMLUtils::addChild(doc, node, "PayOffAtExpiry", payoffAtExpiry_);
    XMLUtils::appendNode(node, premiumData_.toXML(doc));
    XMLUtils::addChildrenWithOptionalAttributes(doc, node, "ExerciseFees", "ExerciseFee", exerciseFees_,
                                                {"type", "startDate"}, {exerciseFeeTypes_, exerciseFeeDates_});
    if (exerciseFeeSettlementPeriod_ != "")
        XMLUtils::addChild(doc, node, "ExerciseFeeSettlementPeriod", exerciseFeeSettlementPeriod_);
    if (exerciseFeeSettlementCalendar_ != "")
        XMLUtils::addChild(doc, node, "ExerciseFeeSettlementCalendar", exerciseFeeSettlementCalendar_);
    if (exerciseFeeSettlementConvention_ != "")
        XMLUtils::addChild(doc, node, "ExerciseFeeSettlementConvention", exerciseFeeSettlementConvention_);
    XMLUtils::addChildren(doc, node, "ExercisePrices", "ExercisePrice", exercisePrices_);
 
    if (exerciseDatesSchedule_.hasData()) {
        XMLNode* scheduleDataNode = exerciseDatesSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, scheduleDataNode, "ExerciseSchedule");
        XMLUtils::appendNode(node, scheduleDataNode);
    } else {
        XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
    }
 
    if (automaticExercise_)
        XMLUtils::addChild(doc, node, "AutomaticExercise", *automaticExercise_);
 
    if (exerciseData_) {
        XMLUtils::appendNode(node, exerciseData_->toXML(doc));
    }
 
    if (paymentData_) {
        XMLUtils::appendNode(node, paymentData_->toXML(doc));
    }
 
    return node;
}

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isAutomaticExercise()

bool isAutomaticExercise

(

)

const

Automatic exercise assumed false if not explicitly provided.

Definition at line 117 of file optiondata.hpp.

{ return automaticExercise_ ? *automaticExercise_ : false; }

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Member Data Documentation

longShort_

string longShort_

private

Definition at line 120 of file optiondata.hpp.

callPut_

string callPut_

private

Definition at line 121 of file optiondata.hpp.

payoffType_

string payoffType_

private

Definition at line 122 of file optiondata.hpp.

payoffType2_

string payoffType2_

private

Definition at line 123 of file optiondata.hpp.

style_

string style_

private

Definition at line 124 of file optiondata.hpp.

payoffAtExpiry_

bool payoffAtExpiry_

private

Definition at line 125 of file optiondata.hpp.

exerciseDatesSchedule_

ScheduleData exerciseDatesSchedule_

private

Definition at line 126 of file optiondata.hpp.

exerciseDates_

vector<string> exerciseDates_

private

Definition at line 127 of file optiondata.hpp.

noticePeriod_

string noticePeriod_

private

Definition at line 128 of file optiondata.hpp.

noticeCalendar_

string noticeCalendar_

private

Definition at line 129 of file optiondata.hpp.

noticeConvention_

string noticeConvention_

private

Definition at line 130 of file optiondata.hpp.

settlement_

string settlement_

private

Definition at line 131 of file optiondata.hpp.

settlementMethod_

string settlementMethod_

private

Definition at line 132 of file optiondata.hpp.

premiumData_

PremiumData premiumData_

private

Definition at line 133 of file optiondata.hpp.

exerciseFees_

vector<double> exerciseFees_

private

Definition at line 134 of file optiondata.hpp.

exerciseFeeDates_

vector<string> exerciseFeeDates_

private

Definition at line 135 of file optiondata.hpp.

exerciseFeeTypes_

vector<string> exerciseFeeTypes_

private

Definition at line 136 of file optiondata.hpp.

exerciseFeeSettlementPeriod_

string exerciseFeeSettlementPeriod_

private

Definition at line 137 of file optiondata.hpp.

exerciseFeeSettlementCalendar_

string exerciseFeeSettlementCalendar_

private

Definition at line 138 of file optiondata.hpp.

exerciseFeeSettlementConvention_

string exerciseFeeSettlementConvention_

private

Definition at line 139 of file optiondata.hpp.

exercisePrices_

vector<double> exercisePrices_

private

Definition at line 140 of file optiondata.hpp.

automaticExercise_

boost::optional<bool> automaticExercise_

private

Definition at line 141 of file optiondata.hpp.

exerciseData_

boost::optional<OptionExerciseData> exerciseData_

private

Definition at line 142 of file optiondata.hpp.

paymentData_

boost::optional<OptionPaymentData> paymentData_

private

Definition at line 143 of file optiondata.hpp.