#include <ored/portfolio/barrieroptionwrapper.hpp>

Inheritance diagram for SingleBarrierOptionWrapper:

Collaboration diagram for SingleBarrierOptionWrapper:

Public Member Functions
	SingleBarrierOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const bool isPhysicalDelivery, const QuantLib::ext::shared_ptr< QuantLib::Instrument > &undInst, Barrier::Type barrierType, Handle< Quote > spot, Real barrier, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

bool	checkBarrier (Real spot, bool isTouchingOnly) const override

bool	exercise () const override

Public Member Functions inherited from BarrierOptionWrapper
	BarrierOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const bool isPhysicalDelivery, const QuantLib::ext::shared_ptr< QuantLib::Instrument > &undInst, Barrier::Type barrierType, Handle< Quote > spot, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...

virtual bool	checkBarrier (Real, bool) const =0

Public Member Functions inherited from OptionWrapper
	OptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDate, const bool isPhysicalDelivery, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &undInst, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
	Constructor. More...

void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid. More...

void	reset () override
	reset is called every time a new path is about to be priced. More...

QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...

Real	multiplier2 () const override

const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...

void	updateQlInstruments () override
	call update on enclosed instrument(s) More...

bool	isOption () override
	is it an Option? More...

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	underlyingInstruments () const
	return the underlying instruments More...

const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	activeUnderlyingInstrument (const bool calculate=false) const

bool	isLong () const
	return true if option is long, false if option is short More...

bool	isExercised () const
	return true if option is exercised More...

bool	isPhysicalDelivery () const
	return true for physical delivery, false for cash settlement More...

Real	underlyingMultiplier () const
	the underlying multiplier More...

const QuantLib::Date &	exerciseDate () const
	the (actual) date the option was exercised More...

void	enableExercise ()
	disable exercise decisions More...

void	disableExercise ()
	enable exercise decisions More...

Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper ()

	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

virtual	~InstrumentWrapper ()

virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid. More...

virtual void	reset ()=0
	reset is called every time a new path is about to be priced. More...

virtual QuantLib::Real	NPV () const =0
	Return the NPV of this instrument. More...

virtual const std::map< std::string, boost::any > &	additionalResults () const =0
	Return the additional results of this instrument. More...

QuantLib::Real	additionalInstrumentsNPV () const

virtual void	updateQlInstruments ()
	call update on enclosed instrument(s) More...

virtual bool	isOption ()
	is it an Option? More...

QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors. More...

Real	multiplier () const

virtual Real	multiplier2 () const

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const

const std::vector< Real > &	additionalMultipliers () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

void	resetPricingStats () const
	Reset pricing statistics. More...

Protected Attributes
Real	barrier_

Protected Attributes inherited from BarrierOptionWrapper
Handle< Quote >	spot_

Barrier::Type	barrierType_

Real	rebate_

const QuantLib::Currency	ccy_

const QuantLib::Date	startDate_

QuantLib::ext::shared_ptr< QuantLib::Index >	index_

QuantLib::Calendar	calendar_

Protected Attributes inherited from OptionWrapper
bool	isLong_

bool	isPhysicalDelivery_

std::vector< QuantLib::Date >	contractExerciseDates_

std::vector< QuantLib::Date >	effectiveExerciseDates_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	underlyingInstruments_

QuantLib::ext::shared_ptr< QuantLib::Instrument >	activeUnderlyingInstrument_

Real	undMultiplier_

bool	exercised_

bool	exercisable_

QuantLib::Date	exerciseDate_

Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_

Real	multiplier_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_

std::vector< Real >	additionalMultipliers_

std::size_t	numberOfPricings_ = 0

boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Additional Inherited Members
Protected Member Functions inherited from BarrierOptionWrapper
QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...

Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Detailed Description

Definition at line 77 of file barrieroptionwrapper.hpp.

Constructor & Destructor Documentation

◆ SingleBarrierOptionWrapper()

SingleBarrierOptionWrapper	(	const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	inst,
		const bool	isLongOption,
		const QuantLib::Date &	exerciseDate,
		const bool	isPhysicalDelivery,
		const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	undInst,
		Barrier::Type	barrierType,
		Handle< Quote >	spot,
		Real	barrier,
		Real	rebate,
		const QuantLib::Currency	ccy,
		const QuantLib::Date &	startDate,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	index,
		const QuantLib::Calendar &	calendar,
		const Real	multiplier = `1.0`,
		const Real	undMultiplier = `1.0`,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments = `std::vector<QuantLib::ext::shared_ptr<QuantLib::Instrument>>()`,
		const std::vector< Real > &	additionalMultipliers = `std::vector<Real>()`
	)

Definition at line 79 of file barrieroptionwrapper.hpp.

        : BarrierOptionWrapper(inst, isLongOption, exerciseDate, isPhysicalDelivery, undInst, barrierType, spot, rebate,
                               ccy, startDate, index, calendar, multiplier, undMultiplier, additionalInstruments, additionalMultipliers),
          barrier_(barrier) {}

Member Function Documentation

◆ checkBarrier()

bool checkBarrier	(	Real	spot,
		bool	isTouchingOnly
	)		const

overridevirtual

Implements BarrierOptionWrapper.

Definition at line 104 of file barrieroptionwrapper.cpp.

                                                                                  {
    if (isTouchingOnly)
        return close_enough(spot, barrier_);
    else {
        switch (barrierType_) {
        case Barrier::DownIn:
        case Barrier::DownOut:    
            return spot <= barrier_;
        case Barrier::UpIn:
        case Barrier::UpOut:
            return spot >= barrier_;
        default:
            QL_FAIL("unknown barrier type " << barrierType_);
        }
    }
}

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◆ exercise()

bool exercise ( ) const

overridevirtual

Implements OptionWrapper.

Definition at line 121 of file barrieroptionwrapper.cpp.

                                                {
    bool trigger = false;
    Date today = Settings::instance().evaluationDate();
 
    // check historical fixings - only check if the instrument is not calculated
    // really only needs to be checked if evaluation date changed
    if (!instrument_->isCalculated()) {
        if (startDate_ != Date() && startDate_ < today) {
            QL_REQUIRE(index_, "no index provided");
            QL_REQUIRE(calendar_ != Calendar(), "no calendar provided");
 
            QuantLib::ext::shared_ptr<QuantExt::EqFxIndexBase> eqfxIndex =
                QuantLib::ext::dynamic_pointer_cast<QuantExt::EqFxIndexBase>(index_);
 
            if (eqfxIndex) {
                Date d = calendar_.adjust(startDate_);
                while (d < today && !trigger) {
                    Real fixing = eqfxIndex->pastFixing(d);
                    if (fixing == Null<Real>()) {
                        StructuredMessage(
                            StructuredMessage::Category::Error, StructuredMessage::Group::Fixing,
                            "Missing fixing for index " + index_->name() + " on " + ore::data::to_string(d) +
                                ", Skipping this date, assuming no trigger",
                            std::map<std::string, std::string>({{"exceptionType", "Invalid or missing fixings"}}))
                            .log();
                    } else {
                        // This is so we can use pastIndex and not fail on a missing fixing to be
                        // consistent with previous implemention, however maybe we should use fixing
                        // and be strict on needed fixings being present
                        auto fxInd = QuantLib::ext::dynamic_pointer_cast<QuantExt::FxIndex>(eqfxIndex);
                        const bool isTouchingOnly = false;
                        trigger = checkBarrier(fixing, isTouchingOnly);
                        if (trigger)
                            exerciseDate_ = d;
                    }
                    d = calendar_.advance(d, 1, Days);
                }
            }
        }
    }
 
    // check todays spot, if triggered today set the exerciseDate, may have to pay a rebate
    if (!trigger) {
        const bool isTouchingOnly = false;
        trigger = checkBarrier(spot_->value(), isTouchingOnly);
        if (trigger)
            exerciseDate_ = today;
    }
 
    exercised_ = trigger;
    return trigger;
}

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Member Data Documentation

◆ barrier_

Real barrier_

protected

Definition at line 100 of file barrieroptionwrapper.hpp.

Public Member Functions

Protected Attributes

Additional Inherited Members