#include <ored/portfolio/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarSwap:

Collaboration diagram for PairwiseVarSwap:

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

const string &	longShort ()

const vector< QuantLib::ext::shared_ptr< Underlying > > &	underlyings () const

const string &	name (int idx) const

const string &	currency ()

double	basketStrike ()

double	basketNotional ()

double	notional (int idx)

double	strike (int idx)

AssetClass &	assetClassUnderlyings ()

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

virtual QuantLib::Real	notional () const
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. 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...

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...

Protected Member Functions
	PairwiseVarSwap (AssetClass assetClassUnderlyings)

	PairwiseVarSwap (Envelope &env, string longShort, const vector< QuantLib::ext::shared_ptr< Underlying > > &underlyings, vector< double > underlyingStrikes, vector< double > underlyingNotionals, double basketNotional, double basketStrike, ScheduleData valuationSchedule, string currency, string settlementDate, AssetClass assetClassUnderlyings, ScheduleData laggedValuationSchedule, double payoffLimit=0.0, double cap=0.0, double floor=0.0, int accrualLag=1)

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
AssetClass	assetClassUnderlyings_

vector< QuantLib::ext::shared_ptr< Underlying > >	underlyings_

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_

Private Attributes
string	longShort_

vector< Real >	underlyingStrikes_

vector< Real >	underlyingNotionals_

Real	basketNotional_

Real	basketStrike_

Real	payoffLimit_

Real	cap_

Real	floor_

int	accrualLag_

ScheduleData	valuationSchedule_

ScheduleData	laggedValuationSchedule_

string	settlementDate_

string	currency_

vector< string >	indexNames_

Detailed Description

Definition at line 35 of file pairwisevarianceswap.hpp.

Constructor & Destructor Documentation

◆ PairwiseVarSwap() [1/2]

PairwiseVarSwap ( AssetClass assetClassUnderlyings )

protected

Definition at line 54 of file pairwisevarianceswap.hpp.

55 : Trade("PairwiseVarianceSwap"), assetClassUnderlyings_(assetClassUnderlyings) {}

ore::data::PairwiseVarSwap::assetClassUnderlyings_

AssetClass assetClassUnderlyings_

Definition: pairwisevarianceswap.hpp:71

ore::data::PairwiseVarSwap::assetClassUnderlyings

AssetClass & assetClassUnderlyings()

Definition: pairwisevarianceswap.hpp:48

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ PairwiseVarSwap() [2/2]

PairwiseVarSwap	(	Envelope &	env,
		string	longShort,
		const vector< QuantLib::ext::shared_ptr< Underlying > > &	underlyings,
		vector< double >	underlyingStrikes,
		vector< double >	underlyingNotionals,
		double	basketNotional,
		double	basketStrike,
		ScheduleData	valuationSchedule,
		string	currency,
		string	settlementDate,
		AssetClass	assetClassUnderlyings,
		ScheduleData	laggedValuationSchedule,
		double	payoffLimit = `0.0`,
		double	cap = `0.0`,
		double	floor = `0.0`,
		int	accrualLag = `1`
	)

protected

Definition at line 56 of file pairwisevarianceswap.hpp.

        : Trade("PairwiseVarianceSwap", env), assetClassUnderlyings_(assetClassUnderlyings), underlyings_(underlyings),
          longShort_(longShort), underlyingStrikes_(underlyingStrikes), underlyingNotionals_(underlyingNotionals),
          basketNotional_(basketNotional), basketStrike_(basketStrike), payoffLimit_(payoffLimit), cap_(cap),
          floor_(floor), accrualLag_(accrualLag), settlementDate_(settlementDate), currency_(currency) {
 
        for (const auto& u : underlyings_) {
            indexNames_.push_back(assetClassUnderlyings_ == AssetClass::FX ? "FX-" + u->name() : u->name());
        }
    }

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 36 of file pairwisevarianceswap.cpp.

                                                                                            {
 
    // Build schedules
    ScheduleBuilder scheduleBuilder;
 
    Schedule valuationSchedule;
    scheduleBuilder.add(valuationSchedule, valuationSchedule_);
 
    Schedule laggedValuationSchedule;
    ScheduleData laggedValuationScheduleData =
        laggedValuationSchedule_.hasData()
            ? laggedValuationSchedule_
            : ScheduleData(ScheduleDerived(valuationSchedule_.name(), "NullCalendar", "Unadjusted", "1D"));
    scheduleBuilder.add(laggedValuationSchedule, laggedValuationScheduleData);
 
    scheduleBuilder.makeSchedules();
 
    // For the PairwiseVarSwap::toXML() to return an entry for LaggedValuationSchedule
    laggedValuationSchedule_ = laggedValuationScheduleData;
 
    const Currency ccy = parseCurrency(currency_);
    const Position::Type longShort = parsePositionType(longShort_);
 
    QL_REQUIRE(valuationSchedule.dates().size() == laggedValuationSchedule.dates().size(),
               "Trade " << id()
                        << " ValuationSchedule and LaggedValuationSchedule must have the same number of dates.");
 
    const Date settlementDate = parseDate(settlementDate_);
 
    QL_REQUIRE(basketStrike_ > 0 && !close_enough(basketStrike_, 0.0),
               "Trade " << id() << ": PairwiseVarSwap::build() basket strike must be positive (" << basketStrike_
                        << ")");
    QL_REQUIRE(basketNotional_ >= 0.0,
               "Trade " << id() << ": PairwiseVarSwap::build() basket notional must be non-negative (" << notional_
                        << ")");
 
    QuantLib::ext::shared_ptr<QuantExt::PairwiseVarianceSwap> pairwiseVarSwap(new QuantExt::PairwiseVarianceSwap(
        longShort, underlyingStrikes_[0], underlyingStrikes_[1], basketStrike_, underlyingNotionals_[0],
        underlyingNotionals_[1], basketNotional_, cap_, floor_, payoffLimit_, accrualLag_, valuationSchedule,
        laggedValuationSchedule, settlementDate));
 
    // Pricing Engine
    QuantLib::ext::shared_ptr<ore::data::EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<PairwiseVarSwapEngineBuilder> pairwiseVarSwapBuilder =
        QuantLib::ext::dynamic_pointer_cast<PairwiseVarSwapEngineBuilder>(builder);
 
    pairwiseVarSwap->setPricingEngine(pairwiseVarSwapBuilder->engine(
        name(0), name(1), ccy, laggedValuationSchedule.dates().back(), assetClassUnderlyings()));
    setSensitivityTemplate(*pairwiseVarSwapBuilder);
 
    // set up other Trade details
    instrument_ = QuantLib::ext::shared_ptr<ore::data::InstrumentWrapper>(new ore::data::VanillaInstrument(pairwiseVarSwap));
 
    npvCurrency_ = currency_;
    notionalCurrency_ = currency_;
    maturity_ = settlementDate;
 
    // add required fixings
    requiredFixings_.addFixingDates(valuationSchedule.dates(), indexNames_[0], maturity_);
    requiredFixings_.addFixingDates(laggedValuationSchedule.dates(), indexNames_[0], maturity_);
    requiredFixings_.addFixingDates(valuationSchedule.dates(), indexNames_[1], maturity_);
    requiredFixings_.addFixingDates(laggedValuationSchedule.dates(), indexNames_[1], maturity_);
}

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◆ longShort()

const string & longShort ( )

Definition at line 39 of file pairwisevarianceswap.hpp.

39{ return longShort_; }

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◆ underlyings()

const vector< QuantLib::ext::shared_ptr< Underlying > > & underlyings ( ) const

Definition at line 40 of file pairwisevarianceswap.hpp.

40{ return underlyings_; }

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◆ name()

const string & name ( int idx ) const

Definition at line 41 of file pairwisevarianceswap.hpp.

41{ return underlyings_[idx]->name(); }

◆ currency()

const string & currency ( )

Definition at line 42 of file pairwisevarianceswap.hpp.

42{ return currency_; }

◆ basketStrike()

double basketStrike ( )

Definition at line 43 of file pairwisevarianceswap.hpp.

43{ return basketStrike_; }

◆ basketNotional()

double basketNotional ( )

Definition at line 44 of file pairwisevarianceswap.hpp.

44{ return basketNotional_; }

◆ notional() [1/2]

double notional ( int idx )

Definition at line 46 of file pairwisevarianceswap.hpp.

46{ return underlyingNotionals_[idx]; };

◆ strike()

double strike ( int idx )

Definition at line 47 of file pairwisevarianceswap.hpp.

47{ return underlyingStrikes_[idx]; };

◆ assetClassUnderlyings()

AssetClass & assetClassUnderlyings ( )

Definition at line 48 of file pairwisevarianceswap.hpp.

48{ return assetClassUnderlyings_; }

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 101 of file pairwisevarianceswap.cpp.

                                           {
    Trade::fromXML(node);
    XMLNode* vNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    longShort_ = XMLUtils::getChildValue(vNode, "LongShort", true);
 
    XMLNode* underlyingsNode = XMLUtils::getChildNode(vNode, "Underlyings");
    QL_REQUIRE(underlyingsNode, "Trade " << id() << ": Must provide an Underlyings node");
 
    // We use "Value" sub-nodes here for backward compatibility with the scripted pairwise variance swap
    const string underlyingNodeName = "Value";
    auto underlyings = XMLUtils::getChildrenNodes(underlyingsNode, underlyingNodeName);
    QL_REQUIRE(underlyings.size() == 2,
               "Trade " << id() << ": Must provide two \"Value\" sub-nodes in the Underlyings node");
 
    // Build underlyings - not using the usual UnderlyingBuilder here again for compatibility with the scripted version
    string uVal, uName, acString;
    vector<AssetClass> assetClasses;
    AssetClass ac;
    for (auto const& u : underlyings) {
        uVal = XMLUtils::getNodeValue(u);
        if (boost::starts_with(uVal, "COMM-")) {
            ac = AssetClass::COM;
            acString = "Commodity";
            uName = uVal.substr(5);
        } else if (boost::starts_with(uVal, "EQ-")) {
            ac = AssetClass::EQ;
            acString = "Equity";
            uName = uVal.substr(3);
        } else if (boost::starts_with(uVal, "FX-")) {
            ac = AssetClass::FX;
            acString = "FX";
            uName = uVal.substr(3);
        } else {
            QL_FAIL("Unsupported underlying type for " << uVal);
        }
 
        indexNames_.push_back(uVal);
        QuantLib::ext::shared_ptr<ore::data::Underlying> underlying(new ore::data::Underlying(acString, uName, 1.0));
        assetClasses.push_back(ac);
        underlyings_.push_back(underlying);
    }
 
    QL_REQUIRE(assetClasses[0] == assetClasses[1],
               "Trade " << id() << ": Both underlyings must belong to the same asset class.");
    assetClassUnderlyings_ = assetClasses[0];
 
    underlyingStrikes_ = XMLUtils::getChildrenValuesAsDoubles(vNode, "UnderlyingStrikes", "Value", true);
    underlyingNotionals_ = XMLUtils::getChildrenValuesAsDoubles(vNode, "UnderlyingNotionals", "Value", true);
    basketNotional_ = XMLUtils::getChildValueAsDouble(vNode, "BasketNotional", true);
    basketStrike_ = XMLUtils::getChildValueAsDouble(vNode, "BasketStrike", true);
    settlementDate_ = XMLUtils::getChildValue(vNode, "SettlementDate", true);
    currency_ = XMLUtils::getChildValue(vNode, "PayCcy", true);
 
    // Optional parameters
    accrualLag_ = XMLUtils::getChildValueAsInt(vNode, "AccrualLag", false, 1);
    payoffLimit_ = XMLUtils::getChildValueAsDouble(vNode, "PayoffLimit", false, 0.0);
    cap_ = XMLUtils::getChildValueAsDouble(vNode, "Cap", false, 0.0);
    floor_ = XMLUtils::getChildValueAsDouble(vNode, "Floor", false, 0.0);
 
    XMLNode* valuationSchedule = XMLUtils::getChildNode(vNode, "ValuationSchedule");
    QL_REQUIRE(valuationSchedule, "Trade " << id() << ": Must provide a \"ValuationSchedule\" node");
    valuationSchedule_.fromXML(valuationSchedule);
 
    // If valuation schedule is derived (from lagged valuation schedule), the offset must be negative
    if (valuationSchedule_.hasDerived()) {
        for (const ScheduleDerived& s : laggedValuationSchedule_.derived()) {
            QL_REQUIRE(parsePeriod(s.shift()) <= -1 * Days,
                       "Trade " << id() << " Shift value for ValutionSchedule must be at least -1D or less");
        }
    }
 
    XMLNode* laggedValuationSchedule = XMLUtils::getChildNode(vNode, "LaggedValuationSchedule");
    if (laggedValuationSchedule) {
        laggedValuationSchedule_.fromXML(laggedValuationSchedule);
        // If lagged valuation schedule is derived (from valuation schedule), the offset must be positive
        if (laggedValuationSchedule_.hasDerived()) {
            for (const ScheduleDerived& s : laggedValuationSchedule_.derived()) {
                QL_REQUIRE(parsePeriod(s.shift()) >= 1 * Days,
                           "Trade " << id()
                                    << " Shift value for LaggedValuationSchedule must be at least 1D or greater");
            }
        }
    } else {
        // Defaulting will be dealt with later in PairwiseVarSwap::build()
        laggedValuationSchedule_ = ScheduleData();
    }
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 189 of file pairwisevarianceswap.cpp.

                                                             {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* vNode = doc.allocNode(tradeType() + "Data");
 
    XMLUtils::appendNode(node, vNode);
    XMLUtils::addChild(doc, vNode, "LongShort", longShort_);
    XMLNode* underlyingsNode = doc.allocNode("Underlyings");
    XMLNode* underlyingStrikesNode = doc.allocNode("UnderlyingStrikes");
    XMLNode* underlyingNotionalsNode = doc.allocNode("UnderlyingNotionals");
    for (int i = 0; i < 2; i++) {
        XMLUtils::addChild(doc, underlyingsNode, "Value", indexNames_[i]);
        XMLUtils::addChild(doc, underlyingStrikesNode, "Value", underlyingStrikes_[i]);
        XMLUtils::addChild(doc, underlyingNotionalsNode, "Value", underlyingNotionals_[i]);
    }
    XMLUtils::appendNode(vNode, underlyingsNode);
    XMLUtils::appendNode(vNode, underlyingStrikesNode);
    XMLUtils::appendNode(vNode, underlyingNotionalsNode);
    XMLUtils::addChild(doc, vNode, "BasketNotional", basketNotional_);
    XMLUtils::addChild(doc, vNode, "BasketStrike", basketStrike_);
    XMLNode* valuationSchedule = valuationSchedule_.toXML(doc);
    XMLUtils::appendNode(vNode, valuationSchedule);
    XMLUtils::setNodeName(doc, valuationSchedule, "ValuationSchedule");
    XMLNode* laggedValuationSchedule = laggedValuationSchedule_.toXML(doc);
    XMLUtils::appendNode(vNode, laggedValuationSchedule);
    XMLUtils::setNodeName(doc, laggedValuationSchedule, "LaggedValuationSchedule");
    XMLUtils::addChild(doc, vNode, "AccrualLag", accrualLag_);
    XMLUtils::addChild(doc, vNode, "PayoffLimit", payoffLimit_);
    XMLUtils::addChild(doc, vNode, "Cap", cap_);
    XMLUtils::addChild(doc, vNode, "Floor", floor_);
    XMLUtils::addChild(doc, vNode, "SettlementDate", settlementDate_);
    XMLUtils::addChild(doc, vNode, "PayCcy", currency_);
 
    return node;
}

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◆ notional() [2/2]

virtual QuantLib::Real notional ( ) const

virtual

Return the current notional in npvCurrency. See individual sub-classes for the precise definition.

Reimplemented from Trade.

Definition at line 153 of file trade.hpp.

153{ return notional_; }

Member Data Documentation

◆ assetClassUnderlyings_

AssetClass assetClassUnderlyings_

protected

Definition at line 71 of file pairwisevarianceswap.hpp.

◆ underlyings_

vector<QuantLib::ext::shared_ptr<Underlying> > underlyings_

protected

Definition at line 74 of file pairwisevarianceswap.hpp.

◆ longShort_

string longShort_

private

Definition at line 77 of file pairwisevarianceswap.hpp.

◆ underlyingStrikes_

vector<Real> underlyingStrikes_

private

Definition at line 78 of file pairwisevarianceswap.hpp.

◆ underlyingNotionals_

vector<Real> underlyingNotionals_

private

Definition at line 78 of file pairwisevarianceswap.hpp.

◆ basketNotional_

Real basketNotional_

private

Definition at line 79 of file pairwisevarianceswap.hpp.

◆ basketStrike_

Real basketStrike_

private

Definition at line 79 of file pairwisevarianceswap.hpp.

◆ payoffLimit_

Real payoffLimit_

private

Definition at line 79 of file pairwisevarianceswap.hpp.

◆ cap_

Real cap_

private

Definition at line 79 of file pairwisevarianceswap.hpp.

◆ floor_

Real floor_

private

Definition at line 79 of file pairwisevarianceswap.hpp.

◆ accrualLag_

int accrualLag_

private

Definition at line 80 of file pairwisevarianceswap.hpp.

◆ valuationSchedule_

ScheduleData valuationSchedule_

private

Definition at line 81 of file pairwisevarianceswap.hpp.

◆ laggedValuationSchedule_

ScheduleData laggedValuationSchedule_

private

Definition at line 81 of file pairwisevarianceswap.hpp.

◆ settlementDate_

string settlementDate_

private

Definition at line 82 of file pairwisevarianceswap.hpp.

◆ currency_

string currency_

private

Definition at line 82 of file pairwisevarianceswap.hpp.

◆ indexNames_

vector<string> indexNames_

private

The index name. Not sure why the index was not just used in the trade XML. This is set to "FX-" + name for FX and left as name for the others for the moment.

Definition at line 87 of file pairwisevarianceswap.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ PairwiseVarSwap() [1/2]

◆ PairwiseVarSwap() [2/2]

Member Function Documentation

◆ build()

◆ longShort()

◆ underlyings()

◆ name()

◆ currency()

◆ basketStrike()

◆ basketNotional()

◆ notional() [1/2]

◆ strike()

◆ assetClassUnderlyings()

◆ fromXML()

◆ toXML()

◆ notional() [2/2]

Member Data Documentation

◆ assetClassUnderlyings_

◆ underlyings_

◆ longShort_

◆ underlyingStrikes_

◆ underlyingNotionals_

◆ basketNotional_

◆ basketStrike_

◆ payoffLimit_

◆ cap_

◆ floor_

◆ accrualLag_

◆ valuationSchedule_

◆ laggedValuationSchedule_

◆ settlementDate_

◆ currency_

◆ indexNames_