#include <ored/portfolio/rainbowoption.hpp>

Inheritance diagram for RainbowOption:

Collaboration diagram for RainbowOption:

Public Member Functions
	RainbowOption (const QuantLib::ext::shared_ptr< Conventions > &conventions=nullptr, const std::string &tradeType="RainbowOption")

	RainbowOption (const std::string &currency, const std::string &notional, const std::string &strike, const std::vector< QuantLib::ext::shared_ptr< Underlying > > &underlyings, const OptionData &optionData, const std::string &settlement)

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

void	setIsdaTaxonomyFields () 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 Member Functions
void	initIndices ()

Private Attributes
std::string	currency_

std::string	notional_

std::string	strike_

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

OptionData	optionData_

std::string	settlement_

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 34 of file rainbowoption.hpp.

Constructor & Destructor Documentation

◆ RainbowOption() [1/2]

RainbowOption	(	const QuantLib::ext::shared_ptr< Conventions > &	conventions = `nullptr`,
		const std::string &	tradeType = `"RainbowOption"`
	)

explicit

Definition at line 36 of file rainbowoption.hpp.

38 : ScriptedTrade(tradeType) {}

ore::data::ScriptedTrade::ScriptedTrade

ScriptedTrade(const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

Definition: scriptedtrade.hpp:205

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ RainbowOption() [2/2]

RainbowOption	(	const std::string &	currency,
		const std::string &	notional,
		const std::string &	strike,
		const std::vector< QuantLib::ext::shared_ptr< Underlying > > &	underlyings,
		const OptionData &	optionData,
		const std::string &	settlement
	)

Definition at line 39 of file rainbowoption.hpp.

        : currency_(currency), notional_(notional), strike_(strike), underlyings_(underlyings), optionData_(optionData),
          settlement_(settlement) {
        initIndices();
    }

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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 109 of file rainbowoption.cpp.

                                                                             {
 
    // set script parameters
 
    clear();
    initIndices();
 
    QL_REQUIRE(optionData_.exerciseDates().size() == 1, "expected exactly one exercise date");
    events_.emplace_back("Expiry", optionData_.exerciseDates().front());
    events_.emplace_back("Settlement", settlement_.empty() ? optionData_.exerciseDates().front() : settlement_);
 
    numbers_.emplace_back("Number", "Notional", notional_);
    numbers_.emplace_back("Number", "LongShort",
                          parsePositionType(optionData_.longShort()) == Position::Long ? "1" : "-1");
 
    currencies_.emplace_back("Currency", "PayCcy", currency_);
 
    numbers_.emplace_back("Number", "Strike", strike_);
 
    std::string scriptToUse;
    if (optionData_.payoffType() == "BestOfAssetOrCash") {
        scriptToUse = best_of_asset_or_cash_rainbow_option_script;
    } else if (optionData_.payoffType() == "WorstOfAssetOrCash") {
        scriptToUse = worst_of_asset_or_cash_rainbow_option_script;
    } else if (optionData_.payoffType() == "MaxRainbow") {
        scriptToUse = max_rainbow_option_script;
        numbers_.emplace_back("Number", "PutCall", parseOptionType(optionData_.callPut()) == Option::Call ? "1" : "-1");
    } else if (optionData_.payoffType() == "MinRainbow") {
        scriptToUse = min_rainbow_option_script;
        numbers_.emplace_back("Number", "PutCall", parseOptionType(optionData_.callPut()) == Option::Call ? "1" : "-1");
    } else {
        QL_FAIL("payoff type '" << optionData_.payoffType() << "' not recognised");
    }
 
    // set product tag
 
    productTag_ = "MultiAssetOption({AssetClass})";
 
    // set script
 
    script_ = {{"", ScriptedTradeScriptData(scriptToUse, "Option",
                                            {{"currentNotional", "currentNotional"},
                                             {"notionalCurrency", "PayCcy"},
                                             {"expectedUnderlyingValue", "expUnderValue"}},
                                            {})}};
 
    // build trade
 
    ScriptedTrade::build(factory);
}

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◆ setIsdaTaxonomyFields()

void setIsdaTaxonomyFields ( )

overridevirtual

Reimplemented from ScriptedTrade.

Definition at line 160 of file rainbowoption.cpp.

                                          {
    ScriptedTrade::setIsdaTaxonomyFields();
 
    // ISDA taxonomy
    // asset class set in the base class already
    std::string assetClass = boost::any_cast<std::string>(additionalData_["isdaAssetClass"]);
    if (assetClass == "Equity") {
        additionalData_["isdaBaseProduct"] = string("Other");
        additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");  
    }
    else if (assetClass == "Commodity") {
        // isda taxonomy missing for this class, using the same as equity
        additionalData_["isdaBaseProduct"] = string("Other");
        additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");  
    }
    else if (assetClass == "Foreign Exchange") {
        additionalData_["isdaBaseProduct"] = string("Complex Exotic");
        additionalData_["isdaSubProduct"] = string("Generic");  
    }
    else {
        WLOG("ISDA taxonomy incomplete for trade " << id());
    }                
    additionalData_["isdaTransaction"] = string("Basket");  
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 196 of file rainbowoption.cpp.

                                         {
    Trade::fromXML(node);
    XMLNode* dataNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    QL_REQUIRE(dataNode, tradeType() + "Data node not found");
    currency_ = XMLUtils::getChildValue(dataNode, "Currency", true);
    notional_ = XMLUtils::getChildValue(dataNode, "Notional", true);
    strike_ = XMLUtils::getChildValue(dataNode, "Strike", true);
    auto underlyingsNode = XMLUtils::getChildNode(dataNode, "Underlyings");
    QL_REQUIRE(underlyingsNode, "No Underlyings node");
    auto underlyings = XMLUtils::getChildrenNodes(underlyingsNode, "Underlying");
    for (auto const& n : underlyings) {
        UnderlyingBuilder underlyingBuilder;
        underlyingBuilder.fromXML(n);
        underlyings_.push_back(underlyingBuilder.underlying());
    }
    optionData_.fromXML(XMLUtils::getChildNode(dataNode, "OptionData"));
    settlement_ = XMLUtils::getChildValue(dataNode, "Settlement");
    initIndices();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 216 of file rainbowoption.cpp.

                                                    {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* dataNode = doc.allocNode(tradeType() + "Data");
    XMLUtils::appendNode(node, dataNode);
    XMLUtils::addChild(doc, dataNode, "Currency", currency_);
    XMLUtils::addChild(doc, dataNode, "Notional", notional_);
    XMLUtils::addChild(doc, dataNode, "Strike", strike_);
    XMLNode* underlyingsNode = doc.allocNode("Underlyings");
    for (auto& n : underlyings_) {
        XMLUtils::appendNode(underlyingsNode, n->toXML(doc));
    }
    XMLUtils::appendNode(dataNode, underlyingsNode);
    XMLUtils::appendNode(dataNode, optionData_.toXML(doc));
    if (!settlement_.empty())
        XMLUtils::addChild(doc, dataNode, "Settlement", settlement_);
    return node;
}

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◆ initIndices()

void initIndices ( )

private

Definition at line 185 of file rainbowoption.cpp.

                                {
    std::vector<std::string> underlyings, weights;
    for (auto const& u : underlyings_) {
        underlyings.push_back(scriptedIndexName(u));
        QL_REQUIRE(u->weight() != Null<Real>(), "underlying '" << u->name() << "' has no weight");
        weights.push_back(boost::lexical_cast<std::string>(u->weight()));
    }
    indices_.emplace_back("Index", "Underlyings", underlyings);
    numbers_.emplace_back("Number", "Weights", weights);
}

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Member Data Documentation

◆ currency_

std::string currency_

private

Definition at line 53 of file rainbowoption.hpp.

◆ notional_

std::string notional_

private

Definition at line 53 of file rainbowoption.hpp.

◆ strike_

std::string strike_

private

Definition at line 53 of file rainbowoption.hpp.

◆ underlyings_

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

private

Definition at line 54 of file rainbowoption.hpp.

◆ optionData_

OptionData optionData_

private

Definition at line 55 of file rainbowoption.hpp.

◆ settlement_

std::string settlement_

private

Definition at line 56 of file rainbowoption.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ RainbowOption() [1/2]

◆ RainbowOption() [2/2]

Member Function Documentation

◆ build()

◆ setIsdaTaxonomyFields()

◆ fromXML()

◆ toXML()

◆ initIndices()

Member Data Documentation

◆ currency_

◆ notional_

◆ strike_

◆ underlyings_

◆ optionData_

◆ settlement_