Engine Builder for Pairwise Variance Swaps. More...

#include <ored/portfolio/builders/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarSwapEngineBuilder:

Collaboration diagram for PairwiseVarSwapEngineBuilder:

Public Member Functions
	PairwiseVarSwapEngineBuilder ()

Public Member Functions inherited from CachingEngineBuilder< T, U, Args >
	CachingEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)

QuantLib::ext::shared_ptr< U >	engine (Args... params)
	Return a PricingEngine or a FloatingRateCouponPricer. More...

void	reset () override
	reset the builder (e.g. clear cache) More...

Public Member Functions inherited from EngineBuilder
	EngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)

virtual	~EngineBuilder ()
	Virtual destructor. More...

const string &	model () const
	Return the model name. More...

const string &	engine () const
	Return the engine name. More...

const set< string > &	tradeTypes () const
	Return the possible trade types. More...

const string &	configuration (const MarketContext &key)
	Return a configuration (or the default one if key not found) More...

virtual void	reset ()
	reset the builder (e.g. clear cache) More...

void	init (const QuantLib::ext::shared_ptr< Market > market, const map< MarketContext, string > &configurations, const map< string, string > &modelParameters, const map< string, string > &engineParameters, const std::map< std::string, std::string > &globalParameters={})
	Initialise this Builder with the market and parameters to use. More...

const set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &	modelBuilders () const
	return model builders More...

std::string	engineParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const

std::string	modelParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const

Protected Member Functions
virtual string	keyImpl (const string &underlyingName1, const string &underlyingName2, const Currency &ccy, const Date &accrEndDate, const AssetClass &assetClassUnderlyings) override

virtual QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const string &underlyingName1, const string &underlyingName2, const Currency &ccy, const Date &accrEndDate, const AssetClass &assetClassUnderlyings) override

Protected Member Functions inherited from CachingEngineBuilder< T, U, Args >
virtual T	keyImpl (Args...)=0

virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

Additional Inherited Members
Protected Attributes inherited from CachingEngineBuilder< T, U, Args >
map< T, QuantLib::ext::shared_ptr< U > >	engines_

Protected Attributes inherited from EngineBuilder
string	model_

string	engine_

set< string >	tradeTypes_

QuantLib::ext::shared_ptr< Market >	market_

map< MarketContext, string >	configurations_

map< string, string >	modelParameters_

map< string, string >	engineParameters_

std::map< std::string, std::string >	globalParameters_

set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_

Detailed Description

Engine Builder for Pairwise Variance Swaps.

Pricing engines are cached by equity/currency

Definition at line 52 of file pairwisevarianceswap.hpp.

Constructor & Destructor Documentation

◆ PairwiseVarSwapEngineBuilder()

PairwiseVarSwapEngineBuilder ( )

Definition at line 56 of file pairwisevarianceswap.hpp.

57 : CachingEngineBuilder("BlackScholes", "PairwiseVarianceSwapEngine",

58 {"EquityPairwiseVarianceSwap", "FxPairwiseVarianceSwap"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

CachingEngineBuilder(const string &model, const string &engine, const set< string > &tradeTypes)

Definition: cachingenginebuilder.hpp:58

Member Function Documentation

◆ keyImpl()

virtual string keyImpl	(	const string &	underlyingName1,
		const string &	underlyingName2,
		const Currency &	ccy,
		const Date &	accrEndDate,
		const AssetClass &	assetClassUnderlyings
	)

overrideprotectedvirtual

Definition at line 61 of file pairwisevarianceswap.hpp.

                                                                                                      {
        return underlyingName1 + "/" + underlyingName2 + "/" + ccy.code();
    }

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const string &	underlyingName1,
		const string &	underlyingName2,
		const Currency &	ccy,
		const Date &	accrEndDate,
		const AssetClass &	assetClassUnderlyings
	)

overrideprotectedvirtual

Definition at line 66 of file pairwisevarianceswap.hpp.

                                                                                                          {
        QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess> gbsp1, gbsp2;
        QuantLib::ext::shared_ptr<Index> index1, index2;
        if (assetClassUnderlyings == AssetClass::EQ) {
            gbsp1 = QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
                market_->equitySpot(underlyingName1, configuration(ore::data::MarketContext::pricing)),
                market_->equityDividendCurve(underlyingName1, configuration(ore::data::MarketContext::pricing)),
                market_->equityForecastCurve(underlyingName1, configuration(ore::data::MarketContext::pricing)),
                market_->equityVol(underlyingName1, configuration(ore::data::MarketContext::pricing)));
            index1 = market_->equityCurve(underlyingName1).currentLink();
            gbsp2 = QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
                market_->equitySpot(underlyingName2, configuration(ore::data::MarketContext::pricing)),
                market_->equityDividendCurve(underlyingName2, configuration(ore::data::MarketContext::pricing)),
                market_->equityForecastCurve(underlyingName2, configuration(ore::data::MarketContext::pricing)),
                market_->equityVol(underlyingName2, configuration(ore::data::MarketContext::pricing)));
            index2 = market_->equityCurve(underlyingName2).currentLink();
        } else if (assetClassUnderlyings == AssetClass::FX) {
            const auto fxIndex1 = market_->fxIndex("FX-" + underlyingName1);
            const auto fxIndex2 = market_->fxIndex("FX-" + underlyingName2);
            const string& ccyPairCode1 = fxIndex1->sourceCurrency().code() + fxIndex1->targetCurrency().code();
            const string& ccyPairCode2 = fxIndex2->sourceCurrency().code() + fxIndex2->targetCurrency().code();
            gbsp1 = QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
                market_->fxSpot(ccyPairCode1, configuration(ore::data::MarketContext::pricing)),
                fxIndex1->targetCurve(), fxIndex1->sourceCurve(),
                market_->fxVol(ccyPairCode1, configuration(ore::data::MarketContext::pricing)));
            gbsp2 = QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
                market_->fxSpot(ccyPairCode2, configuration(ore::data::MarketContext::pricing)),
                fxIndex2->targetCurve(), fxIndex2->sourceCurve(),
                market_->fxVol(ccyPairCode2, configuration(ore::data::MarketContext::pricing)));
            index1 = fxIndex1.currentLink();
            index2 = fxIndex2.currentLink();
            
        } else {
            QL_FAIL("Asset class of " + underlyingName1 + " and " + underlyingName2 + " not recognized.");
        }
 
        QuantLib::Handle<QuantExt::CorrelationTermStructure> corrCurve(
            QuantLib::ext::make_shared<QuantExt::FlatCorrelation>(0, NullCalendar(), 0.0, Actual365Fixed()));
        Handle<Quote> correlation(
            QuantLib::ext::make_shared<QuantExt::CorrelationValue>(corrCurve, corrCurve->timeFromReference(accrEndDate)));
 
        try {
            corrCurve =
                market_->correlationCurve(index1->name(), index2->name(), configuration(MarketContext::pricing));
        } catch (...) {
            WLOG("no correlation curve for " << index1->name() << ", " << index2->name()
                                             << " found, fall back to zero correlation");
        }
 
        return QuantLib::ext::make_shared<QuantExt::PairwiseVarianceSwapEngine>(
            index1, index2, gbsp1, gbsp2,
            market_->discountCurve(ccy.code(), configuration(ore::data::MarketContext::pricing)), correlation);
    }

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Public Member Functions