Serializable risk participation agreement. More...

#include <ored/portfolio/riskparticipationagreement.hpp>

Inheritance diagram for RiskParticipationAgreement:

Collaboration diagram for RiskParticipationAgreement:

Public Member Functions
	RiskParticipationAgreement ()

	RiskParticipationAgreement (const ore::data::Envelope &env, const std::vector< ore::data::LegData > &underlying, const std::vector< ore::data::LegData > &protectionFee, const Real participationRate, const Date &protectionStart, const Date &protectionEnd, const std::string &creditCurveId, const std::string &issuerId="", const bool settlesAccrual=true, const Real fixedRecoveryRate=Null< Real >(), const boost::optional< ore::data::OptionData > &optionData=boost::none)
	Leg-based constructur, i.e. with Swap underyling. More...

	RiskParticipationAgreement (const ore::data::Envelope &env, const ore::data::TreasuryLockData &tlockData, const std::vector< ore::data::LegData > &protectionFee, const Real participationRate, const Date &protectionStart, const Date &protectionEnd, const std::string &creditCurveId, const std::string &issuerId="", const bool settlesAccrual=true, const Real fixedRecoveryRate=Null< Real >())

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...

Inspectors
std::vector< ore::data::LegData >	underlying_

ore::data::TreasuryLockData	tlockData_

std::vector< ore::data::LegData >	protectionFee_

Real	participationRate_

Date	protectionStart_

Date	protectionEnd_

std::string	creditCurveId_

std::string	issuerId_

bool	settlesAccrual_

Real	fixedRecoveryRate_

boost::optional< ore::data::OptionData >	optionData_

bool	nakedOption_

const std::vector< ore::data::LegData > &	underlying () const

const boost::optional< ore::data::OptionData > &	optionData () const

const ore::data::TreasuryLockData &	tlockData () const

const std::vector< ore::data::LegData > &	protectionFee () const

Real	participationRate () const

const Date &	protectionStart () const

const Date &	protectionEnd () const

const std::string &	creditCurveId () const

const std::string &	issuerId () const

bool	settlesAccrual () const

Real	fixedRecoveryRate () const

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

virtual void	fromXML (ore::data::XMLNode *node) override

virtual ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

void	buildWithSwapUnderlying (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory)

void	buildWithTlockUnderlying (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory)

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

Serializable risk participation agreement.

Definition at line 42 of file riskparticipationagreement.hpp.

Constructor & Destructor Documentation

◆ RiskParticipationAgreement() [1/3]

RiskParticipationAgreement ( )

Definition at line 44 of file riskparticipationagreement.hpp.

44: Trade("RiskParticipationAgreement") {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ RiskParticipationAgreement() [2/3]

RiskParticipationAgreement	(	const ore::data::Envelope &	env,
		const std::vector< ore::data::LegData > &	underlying,
		const std::vector< ore::data::LegData > &	protectionFee,
		const Real	participationRate,
		const Date &	protectionStart,
		const Date &	protectionEnd,
		const std::string &	creditCurveId,
		const std::string &	issuerId = `""`,
		const bool	settlesAccrual = `true`,
		const Real	fixedRecoveryRate = `Null<Real>()`,
		const boost::optional< ore::data::OptionData > &	optionData = `boost::none`
	)

Leg-based constructur, i.e. with Swap underyling.

Definition at line 46 of file riskparticipationagreement.hpp.

        : Trade("RiskParticipationAgreement", env), underlying_(underlying), tlockData_(ore::data::TreasuryLockData()),
          protectionFee_(protectionFee), participationRate_(participationRate), protectionStart_(protectionStart),
          protectionEnd_(protectionEnd), creditCurveId_(creditCurveId), issuerId_(issuerId),
          settlesAccrual_(settlesAccrual), fixedRecoveryRate_(fixedRecoveryRate), optionData_(optionData) {}

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◆ RiskParticipationAgreement() [3/3]

RiskParticipationAgreement	(	const ore::data::Envelope &	env,
		const ore::data::TreasuryLockData &	tlockData,
		const std::vector< ore::data::LegData > &	protectionFee,
		const Real	participationRate,
		const Date &	protectionStart,
		const Date &	protectionEnd,
		const std::string &	creditCurveId,
		const std::string &	issuerId = `""`,
		const bool	settlesAccrual = `true`,
		const Real	fixedRecoveryRate = `Null<Real>()`
	)

Definition at line 57 of file riskparticipationagreement.hpp.

        : Trade("RiskParticipationAgreement", env), tlockData_(tlockData), protectionFee_(protectionFee),
          participationRate_(participationRate), protectionStart_(protectionStart), protectionEnd_(protectionEnd),
          creditCurveId_(creditCurveId), issuerId_(issuerId), settlesAccrual_(settlesAccrual),
          fixedRecoveryRate_(fixedRecoveryRate) {}

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Member Function Documentation

◆ underlying()

const std::vector< ore::data::LegData > & underlying ( ) const

Definition at line 69 of file riskparticipationagreement.hpp.

69{ return underlying_; }

◆ optionData()

const boost::optional< ore::data::OptionData > & optionData ( ) const

Definition at line 70 of file riskparticipationagreement.hpp.

70{ return optionData_; }

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◆ tlockData()

const ore::data::TreasuryLockData & tlockData ( ) const

Definition at line 71 of file riskparticipationagreement.hpp.

71{ return tlockData_; }

◆ protectionFee()

const std::vector< ore::data::LegData > & protectionFee ( ) const

Definition at line 72 of file riskparticipationagreement.hpp.

72{ return protectionFee_; }

◆ participationRate()

Real participationRate ( ) const

Definition at line 73 of file riskparticipationagreement.hpp.

73{ return participationRate_; }

◆ protectionStart()

const Date & protectionStart ( ) const

Definition at line 74 of file riskparticipationagreement.hpp.

74{ return protectionStart_; }

◆ protectionEnd()

const Date & protectionEnd ( ) const

Definition at line 75 of file riskparticipationagreement.hpp.

75{ return protectionEnd_; }

◆ creditCurveId()

const std::string & creditCurveId ( ) const

Definition at line 76 of file riskparticipationagreement.hpp.

76{ return creditCurveId_; }

◆ issuerId()

const std::string & issuerId ( ) const

Definition at line 77 of file riskparticipationagreement.hpp.

77{ return issuerId_; }

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◆ settlesAccrual()

bool settlesAccrual ( ) const

Definition at line 78 of file riskparticipationagreement.hpp.

78{ return settlesAccrual_; }

◆ fixedRecoveryRate()

Real fixedRecoveryRate ( ) const

Definition at line 79 of file riskparticipationagreement.hpp.

79{ return fixedRecoveryRate_; }

◆ build()

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

override

Definition at line 37 of file riskparticipationagreement.cpp.

                                                                                                {
 
    LOG("RiskParticipationAgreement::build() for id \"" << id() << "\" called.");
 
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string("Exotic");
    additionalData_["isdaSubProduct"] = string("");  
    additionalData_["isdaTransaction"] = string("");  
 
    // do some checks
 
    QL_REQUIRE(!protectionFee_.empty(), "protection fees must not be empty");
 
    QL_REQUIRE(underlying_.empty() || tlockData_.empty(),
               "RiskParticipationAgreement::build(): both LegData and TreasuryLockData given in Underlying node.");
 
    if (!underlying_.empty())
        buildWithSwapUnderlying(engineFactory);
    else if (!tlockData_.empty())
        buildWithTlockUnderlying(engineFactory);
    else {
        QL_FAIL("RiskParticipationAgreement::build(): Underlying node must not be empty, LegData or TreasuryLockData "
                "required as subnode");
    }
 
    // set start date
    additionalData_["startDate"] = to_string(protectionStart_);
}

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◆ fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 298 of file riskparticipationagreement.cpp.

                                                      {
    Trade::fromXML(node);
    XMLNode* n = XMLUtils::getChildNode(node, "RiskParticipationAgreementData");
    QL_REQUIRE(n, "RiskParticipationAgreement::fromXML(): RiskParticipationAgreementData not found");
    participationRate_ = XMLUtils::getChildValueAsDouble(n, "ParticipationRate", true);
    protectionStart_ = parseDate(XMLUtils::getChildValue(n, "ProtectionStart", true));
    protectionEnd_ = parseDate(XMLUtils::getChildValue(n, "ProtectionEnd", true));
    creditCurveId_ = XMLUtils::getChildValue(n, "CreditCurveId", true);
    issuerId_ = XMLUtils::getChildValue(n, "IssuerId", false);                         // defaults to empty string
    settlesAccrual_ = XMLUtils::getChildValueAsBool(n, "SettlesAccrual", false);       // defaults to true
    tryParseReal(XMLUtils::getChildValue(n, "FixedRecoveryRate"), fixedRecoveryRate_); // defaults to null
 
    underlying_.clear();
    XMLNode* u = XMLUtils::getChildNode(n, "Underlying");
    QL_REQUIRE(u, "RiskParticipationAgreement::fromXML(): Underlying not found");
 
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(u, "LegData");
    for (auto const n : nodes) {
        LegData ld;
        ld.fromXML(n);
        underlying_.push_back(ld);
    }
 
    if (auto tmp = XMLUtils::getChildNode(u, "OptionData")) {
        optionData_ = OptionData();
        (*optionData_).fromXML(tmp);
    }
 
    nakedOption_ = XMLUtils::getChildValueAsBool(u, "NakedOption", false, false);
 
    if (auto tmp = XMLUtils::getChildNode(u, "TreasuryLockData")) {
        tlockData_.fromXML(tmp);
    }
 
    protectionFee_.clear();
    XMLNode* p = XMLUtils::getChildNode(n, "ProtectionFee");
    QL_REQUIRE(p, "RiskParticipationAgreement::fromXML(): ProtectionFee not found");
    vector<XMLNode*> nodes2 = XMLUtils::getChildrenNodes(p, "LegData");
    for (auto const n : nodes2) {
        LegData ld; // we do not allow ORE+ leg types anyway
        ld.fromXML(n);
        protectionFee_.push_back(ld);
    }
}

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◆ toXML()

XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 343 of file riskparticipationagreement.cpp.

                                                                 {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* n = doc.allocNode("RiskParticipationAgreementData");
    XMLUtils::appendNode(node, n);
    XMLUtils::addChild(doc, n, "ParticipationRate", participationRate_);
    XMLUtils::addChild(doc, n, "ProtectionStart", ore::data::to_string(protectionStart_));
    XMLUtils::addChild(doc, n, "ProtectionEnd", ore::data::to_string(protectionEnd_));
    XMLUtils::addChild(doc, n, "CreditCurveId", creditCurveId_);
    XMLUtils::addChild(doc, n, "IssuerId", issuerId_);
    XMLUtils::addChild(doc, n, "SettlesAccrual", settlesAccrual_);
    if (fixedRecoveryRate_ != Null<Real>())
        XMLUtils::addChild(doc, n, "FixedRecoveryRate", fixedRecoveryRate_);
    XMLNode* p = doc.allocNode("ProtectionFee");
    XMLNode* u = doc.allocNode("Underlying");
    XMLUtils::appendNode(n, p);
    XMLUtils::appendNode(n, u);
    if (optionData_)
        XMLUtils::appendNode(u, (*optionData_).toXML(doc));
    if (nakedOption_)
        XMLUtils::addChild(doc, n, "NakedOption", nakedOption_);
    for (auto& l : protectionFee_)
        XMLUtils::appendNode(p, l.toXML(doc));
    for (auto& l : underlying_)
        XMLUtils::appendNode(u, l.toXML(doc));
    if (!tlockData_.empty()) {
        XMLUtils::appendNode(u, tlockData_.toXML(doc));
    }
    return node;
}

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◆ buildWithSwapUnderlying()

void buildWithSwapUnderlying ( const QuantLib::ext::shared_ptr< ore::data::EngineFactory > & engineFactory )

private

Definition at line 67 of file riskparticipationagreement.cpp.

                                                                                                                  {
    npvCurrency_ = notionalCurrency_ = underlying_.front().currency();
 
    bool isXccy = false;
    for (auto const& u : underlying_) {
        isXccy = isXccy || u.currency() != npvCurrency_;
    }
 
    for (auto const& p : protectionFee_)
        QL_REQUIRE(p.isPayer() == protectionFee_.front().isPayer(),
                   "the protection fee legs must all be pay or all receive");
 
    /* determine product variant used to retrieve engine builder
 
       RiskParticipationAgreement_Vanilla:
       - exactly one fixed and one floating leg with opposite payer flags
       - only fixed, ibor, ois (comp, avg) coupons allowed, no cap / floors, no in arrears fixings for ibor
 
       RiskParticipationAgreement_Structured:
       - arbitrary number of fixed, floating, cashflow legs
       - only fixed, ibor coupons, ois (comp, avg), simple cashflows allowed, but possibly capped / floored,
         as naked option, with in arrears fixing for ibor
       - with optionData (i.e. callable underlying), as naked option (i.e. swaption)
 
       RiskParticipationAgreement_Vanilla_XCcy:
       - two legs in different currencies with arbitrary coupons allowed, no optionData though
    */
 
    std::set<std::string> legTypes;
    std::set<bool> legPayers;
    bool hasCapFloors = false, hasIborInArrears = false;
    for (auto const& l : underlying_) {
        QL_REQUIRE(l.legType() == "Fixed" || l.legType() == "Floating" || l.legType() == "Cashflow",
                   "RiskParticipationAgreement: leg type " << l.legType()
                                                           << " not supported, expected Fixed, Floating, Cashflow");
        legTypes.insert(l.legType());
        legPayers.insert(l.isPayer());
        if (auto c = QuantLib::ext::dynamic_pointer_cast<FloatingLegData>(l.concreteLegData())) {
            hasCapFloors = hasCapFloors || !c->caps().empty();
            hasCapFloors = hasCapFloors || !c->floors().empty();
            hasIborInArrears = hasIborInArrears || (c->isInArrears() && !isOvernightIndex(c->index()));
        }
    }
 
    std::string productVariant;
    if (isXccy) {
        productVariant = "RiskParticipationAgreement_Vanilla_XCcy";
        QL_REQUIRE(!optionData_, "XCcy Risk Participation Agreement does not allow for OptionData");
    } else if (underlying_.size() == 2 &&
               (legTypes == std::set<std::string>{"Fixed", "Floating"} ||
                legTypes == std::set<std::string>{"Cashflow", "Floating"}) &&
               legPayers == std::set<bool>{false, true} && !hasCapFloors && !hasIborInArrears && !optionData_) {
        productVariant = "RiskParticipationAgreement_Vanilla";
    } else {
        productVariant = "RiskParticipationAgreement_Structured";
    }
 
    // get engine builder
 
    DLOG("get engine builder for product variant " << productVariant);
    auto builder = QuantLib::ext::dynamic_pointer_cast<RiskParticipationAgreementEngineBuilderBase>(
        engineFactory->builder(productVariant));
    QL_REQUIRE(builder, "wrong builder, expected RiskParticipationAgreementEngineBuilderBase");
    auto configuration = builder->configuration(MarketContext::pricing);
 
    // build underlying legs and protection fee legs
 
    std::vector<Leg> underlyingLegs, protectionFeeLegs;
    std::vector<bool> underlyingPayer, protectionPayer;
    std::vector<string> underlyingCcys, protectionCcys;
    for (auto const& l : underlying_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        underlyingLegs.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        underlyingPayer.push_back(l.isPayer());
        underlyingCcys.push_back(l.currency());
        auto leg = buildNotionalLeg(l, underlyingLegs.back(), requiredFixings_, engineFactory->market(), configuration);
        if (!leg.empty()) {
            underlyingLegs.push_back(leg);
            underlyingPayer.push_back(l.isPayer());
            underlyingCcys.push_back(l.currency());
        }
    }
    for (auto const& l : protectionFee_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        protectionFeeLegs.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        protectionPayer.push_back(l.isPayer());
        protectionCcys.push_back(protectionFeeLegs.back().empty() ? npvCurrency_ : l.currency());
    }
 
    // build exercise, if option data is present
 
    QuantLib::ext::shared_ptr<QuantLib::Exercise> exercise;
    bool exerciseIsLong = true;
    std::vector<QuantLib::ext::shared_ptr<CashFlow>> vectorPremium;
    if (optionData_) {
        ExerciseBuilder eb(*optionData_, underlyingLegs);
        exercise = eb.exercise();
        exerciseIsLong = parsePositionType((*optionData_).longShort()) == QuantLib::Position::Long;      
        for (const auto& premium : (*optionData_).premiumData().premiumData()) {
            QL_REQUIRE((premium.ccy == underlyingCcys[0]) && (premium.ccy == underlyingCcys[1]),
                           "premium currency must be the same than the swaption legs");
            vectorPremium.push_back(QuantLib::ext::make_shared<SimpleCashFlow>(premium.amount, premium.payDate));
        }
    }
 
    // build ql instrument
 
    auto qleInstr = QuantLib::ext::make_shared<QuantExt::RiskParticipationAgreement>(
        underlyingLegs, underlyingPayer, underlyingCcys, protectionFeeLegs, protectionPayer.front(), protectionCcys,
        participationRate_, protectionStart_, protectionEnd_, settlesAccrual_, fixedRecoveryRate_, exercise,
        exerciseIsLong, vectorPremium, nakedOption_);
 
    // wrap instrument
 
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(qleInstr);
 
    // set trade members
 
    notional_ = 0.0;
    for (Size i = 0; i < underlyingLegs.size(); ++i) {
        notional_ = std::max(notional_, currentNotional(underlyingLegs[i]) *
                                            engineFactory->market()
                                                ->fxRate(underlyingCcys[i] + notionalCurrency_,
                                                         engineFactory->configuration(MarketContext::pricing))
                                                ->value());
    }
    legs_ = underlyingLegs;
    legCurrencies_ = underlyingCcys;
    legPayers_ = underlyingPayer;
    legs_.insert(legs_.end(), protectionFeeLegs.begin(), protectionFeeLegs.end());
    legCurrencies_.insert(legCurrencies_.end(), protectionCcys.begin(), protectionCcys.end());
    legPayers_.insert(legPayers_.end(), protectionPayer.begin(), protectionPayer.end());
    maturity_ = qleInstr->maturity();
 
    // set pricing engine
    qleInstr->setPricingEngine(builder->engine(id(), this));
    setSensitivityTemplate(*builder);
}

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◆ buildWithTlockUnderlying()

void buildWithTlockUnderlying ( const QuantLib::ext::shared_ptr< ore::data::EngineFactory > & engineFactory )

private

Definition at line 220 of file riskparticipationagreement.cpp.

                                                                                                                   {
    std::string productVariant = "RiskParticipationAgreement_TLock";
 
    // get bond reference data and build bond
 
    tlockData_.bondData() = tlockData_.originalBondData();
    tlockData_.bondData().populateFromBondReferenceData(engineFactory->referenceData());
    ore::data::Bond tmp(Envelope(), tlockData_.bondData());
    tmp.build(engineFactory);
    auto bond = QuantLib::ext::dynamic_pointer_cast<QuantLib::Bond>(tmp.instrument()->qlInstrument());
    QL_REQUIRE(bond != nullptr, "RiskParticipationAgreement: could not build tlock underlying, cast failed (internal "
                                "error that dev needs to look at)");
 
    // set currency and notional
 
    npvCurrency_ = notionalCurrency_ = tlockData_.bondData().currency();
    notional_ = tlockData_.bondData().bondNotional();
 
    // checks
 
    for (auto const& p : protectionFee_)
        QL_REQUIRE(p.isPayer() == protectionFee_.front().isPayer(),
                   "the protection fee legs must all be pay or all receive");
 
    // get engine builder
 
    DLOG("get engine builder for product variant " << productVariant);
    auto builder = QuantLib::ext::dynamic_pointer_cast<RiskParticipationAgreementEngineBuilderBase>(
        engineFactory->builder(productVariant));
    QL_REQUIRE(builder, "wrong builder, expected RiskParticipationAgreementEngineBuilderBase");
    auto configuration = builder->configuration(MarketContext::pricing);
 
    // build ql instrument and set the pricing engine
 
    bool payer = tlockData_.payer();
    Real referenceRate = tlockData_.referenceRate();
    DayCounter dayCounter =
        tlockData_.dayCounter().empty() ? getDayCounter(bond->cashflows()) : parseDayCounter(tlockData_.dayCounter());
    Date terminationDate = parseDate(tlockData_.terminationDate());
    Size paymentGap = tlockData_.paymentGap();
    Calendar paymentCalendar = parseCalendar(tlockData_.paymentCalendar());
 
    std::vector<Leg> protectionFeeLegs;
    std::vector<bool> protectionPayer;
    std::vector<string> protectionCcys;
    for (auto const& l : protectionFee_) {
        auto legBuilder = engineFactory->legBuilder(l.legType());
        protectionFeeLegs.push_back(legBuilder->buildLeg(l, engineFactory, requiredFixings_, configuration));
        protectionPayer.push_back(l.isPayer());
        protectionCcys.push_back(protectionFeeLegs.back().empty() ? npvCurrency_ : l.currency());
    }
 
    Date paymentDate = paymentCalendar.advance(terminationDate, paymentGap * Days);
    auto qleInstr = QuantLib::ext::make_shared<QuantExt::RiskParticipationAgreementTLock>(
        bond, notional_, payer, referenceRate, dayCounter, terminationDate, paymentDate, protectionFeeLegs,
        protectionPayer.front(), protectionCcys, participationRate_, protectionStart_, protectionEnd_, settlesAccrual_,
        fixedRecoveryRate_);
 
    // wrap instrument
 
    instrument_ = QuantLib::ext::make_shared<VanillaInstrument>(qleInstr);
 
    // set trade members
 
    legs_ = {bond->cashflows()};
    legCurrencies_ = {npvCurrency_};
    legPayers_ = {payer};
    legs_.insert(legs_.end(), protectionFeeLegs.begin(), protectionFeeLegs.end());
    legCurrencies_.insert(legCurrencies_.end(), protectionCcys.begin(), protectionCcys.end());
    legPayers_.insert(legPayers_.end(), protectionPayer.begin(), protectionPayer.end());
    maturity_ = qleInstr->maturity();
 
    // set pricing engine
 
    qleInstr->setPricingEngine(builder->engine(id(), this));
    setSensitivityTemplate(*builder);
}

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Member Data Documentation

◆ underlying_

std::vector<ore::data::LegData> underlying_

private

Definition at line 90 of file riskparticipationagreement.hpp.

◆ tlockData_

ore::data::TreasuryLockData tlockData_

private

Definition at line 91 of file riskparticipationagreement.hpp.

◆ protectionFee_

std::vector<ore::data::LegData> protectionFee_

private

Definition at line 92 of file riskparticipationagreement.hpp.

◆ participationRate_

Real participationRate_

private

Definition at line 93 of file riskparticipationagreement.hpp.

◆ protectionStart_

Date protectionStart_

private

Definition at line 94 of file riskparticipationagreement.hpp.

◆ protectionEnd_

Date protectionEnd_

private

Definition at line 94 of file riskparticipationagreement.hpp.

◆ creditCurveId_

std::string creditCurveId_

private

Definition at line 95 of file riskparticipationagreement.hpp.

◆ issuerId_

std::string issuerId_

private

Definition at line 95 of file riskparticipationagreement.hpp.

◆ settlesAccrual_

bool settlesAccrual_

private

Definition at line 96 of file riskparticipationagreement.hpp.

◆ fixedRecoveryRate_

Real fixedRecoveryRate_

private

Definition at line 97 of file riskparticipationagreement.hpp.

◆ optionData_

boost::optional<ore::data::OptionData> optionData_

private

Definition at line 98 of file riskparticipationagreement.hpp.

◆ nakedOption_

bool nakedOption_

private

Definition at line 99 of file riskparticipationagreement.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ RiskParticipationAgreement() [1/3]

◆ RiskParticipationAgreement() [2/3]

◆ RiskParticipationAgreement() [3/3]

Member Function Documentation

◆ underlying()

◆ optionData()

◆ tlockData()

◆ protectionFee()

◆ participationRate()

◆ protectionStart()

◆ protectionEnd()

◆ creditCurveId()

◆ issuerId()

◆ settlesAccrual()

◆ fixedRecoveryRate()

◆ build()

◆ fromXML()

◆ toXML()

◆ buildWithSwapUnderlying()

◆ buildWithTlockUnderlying()

Member Data Documentation

◆ underlying_

◆ tlockData_

◆ protectionFee_

◆ participationRate_

◆ protectionStart_

◆ protectionEnd_

◆ creditCurveId_

◆ issuerId_

◆ settlesAccrual_

◆ fixedRecoveryRate_

◆ optionData_

◆ nakedOption_