Serializable Swap, Single and Cross Currency. More...

#include <ored/portfolio/swap.hpp>

Inheritance diagram for Swap:

Collaboration diagram for Swap:

Public Member Functions
	Swap (const string swapType="Swap")
	Default constructor. More...

	Swap (const Envelope &env, const string swapType="Swap")

	Swap (const Envelope &env, const vector< LegData > &legData, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with vector of LegData. More...

	Swap (const Envelope &env, const LegData &leg0, const LegData &leg1, const string swapType="Swap", const std::string settlement="Physical")
	Constructor with two legs. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...

virtual void	setIsdaTaxonomyFields ()

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

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying index names. More...

const string &	settlement () const
	Settlement Type can be set to "Cash" for NDF. Default value is "Physical". More...

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

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...

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
vector< LegData >	legData_

string	settlement_

bool	isXCCY_ = false

bool	isResetting_

Size	notionalTakenFromLeg_

const vector< LegData > &	legData () const

const std::map< std::string, boost::any > &	additionalData () const override
	returns all additional data returned by the trade once built More...

virtual QuantLib::ext::shared_ptr< LegData >	createLegData () const

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 Swap, Single and Cross Currency.

Definition at line 36 of file swap.hpp.

Constructor & Destructor Documentation

◆ Swap() [1/4]

Swap ( const string swapType = "Swap" )

Default constructor.

Definition at line 39 of file swap.hpp.

39: Trade(swapType) {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

◆ Swap() [2/4]

Swap	(	const Envelope &	env,
		const string	swapType = `"Swap"`
	)

Definition at line 41 of file swap.hpp.

41: Trade(swapType, env) {}

◆ Swap() [3/4]

Swap	(	const Envelope &	env,
		const vector< LegData > &	legData,
		const string	swapType = `"Swap"`,
		const std::string	settlement = `"Physical"`
	)

Constructor with vector of LegData.

Definition at line 44 of file swap.hpp.

46 : Trade(swapType, env), legData_(legData), settlement_(settlement) {}

ore::data::Swap::settlement_

string settlement_

Definition: swap.hpp:83

ore::data::Swap::legData_

vector< LegData > legData_

Definition: swap.hpp:82

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◆ Swap() [4/4]

Swap	(	const Envelope &	env,
		const LegData &	leg0,
		const LegData &	leg1,
		const string	swapType = `"Swap"`,
		const std::string	settlement = `"Physical"`
	)

Constructor with two legs.

Definition at line 49 of file swap.hpp.

51 : Trade(swapType, env), legData_({leg0, leg1}), settlement_(settlement) {}

Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Implements Trade.

Reimplemented in CrossCurrencySwap, EquitySwap, InflationSwap, and ForwardRateAgreement.

Definition at line 45 of file swap.cpp.

                                                                          {
    DLOG("Swap::build() called for trade " << id());
 
    setIsdaTaxonomyFields();
    
    QL_REQUIRE(legData_.size() >= 1, "Swap must have at least 1 leg");
    const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
 
    // allow minor currencies in case first leg is equity
    Currency currency = parseCurrencyWithMinors(legData_[0].currency());
    string ccy_str = currency.code();
 
    Size numLegs = legData_.size();
    legPayers_ = vector<bool>(numLegs);
    std::vector<QuantLib::Currency> currencies(numLegs);
    std::vector<QuantLib::Currency> currenciesForMcSimulation;
    legs_.resize(numLegs);
 
    isXCCY_ = false;
    isResetting_ = false;
 
    for (Size i = 0; i < numLegs; ++i) {
        // allow minor currencies for Equity legs as some exchanges trade in these, e.g LSE in pence - GBX or GBp
        // minor currencies on other legs will fail here
        if (legData_[i].legType() == "Equity")
            currencies[i] = parseCurrencyWithMinors(legData_[i].currency());
        else
            currencies[i] = parseCurrency(legData_[i].currency());
 
        if (currencies[i] != currency)
            isXCCY_ = true;
        isResetting_ = isResetting_ || (!legData_[i].isNotResetXCCY());
    }
 
    
    // Check if there is indexing is used, need to collect all underlying currrencies
    // for AMC simulations, such a trade needs to be treated a x-ccy swap with both leg paying
    // one currency.
    auto addUnique = [](vector<Currency>& currencies, Currency ccy) {
        if (std::find(currencies.begin(), currencies.end(), ccy) ==
            currencies.end()) {
            currencies.push_back(ccy);
        }
    };
    
    for (Size i = 0; i < numLegs; ++i) {
        addUnique(currenciesForMcSimulation, currencies[i]);
        vector<Indexing> indexings = legData_[i].indexing();
        if (!indexings.empty() && indexings.front().hasData()) {
            Indexing indexing = indexings.front();
            if (boost::starts_with(indexing.index(), "FX-")) {
                auto index = parseFxIndex(indexing.index());
                addUnique(currenciesForMcSimulation, index->targetCurrency());
                addUnique(currenciesForMcSimulation, index->sourceCurrency());
            }
        }
    }
    isXCCY_ = isXCCY_ || currenciesForMcSimulation.size() > 1;
    static std::set<std::string> eligibleForXbs = {"Fixed", "Floating"};
    bool useXbsCurves = true;
    for(Size i=0;i<numLegs;++i) {
        useXbsCurves = useXbsCurves && (eligibleForXbs.find(legData_[i].legType()) != eligibleForXbs.end());
    }
 
    // The npv currency, notional currency and current notional are taken from the first leg that
    // appears in the XML that has a notional. If no such leg exists the notional currency
    // and current notional are left empty and the npv currency is set to the first leg's currency
 
    notionalTakenFromLeg_ = 0;
    for (; notionalTakenFromLeg_ < legData_.size(); ++notionalTakenFromLeg_) {
        const LegData& d = legData_[notionalTakenFromLeg_];
        if (!d.notionals().empty())
            break;
    }
 
    if (notionalTakenFromLeg_ == legData_.size()) {
        ALOG("no suitable leg found to set notional, set to null and notionalCurrency to empty string");
        notional_ = Null<Real>();
        notionalCurrency_ = "";
        // parse for currency in case first leg is Equity, we only want the major currency for NPV
        npvCurrency_ = parseCurrencyWithMinors(legData_.front().currency()).code();
    } else {
        if (legData_[notionalTakenFromLeg_].schedule().hasData()) {
            Schedule schedule = makeSchedule(legData_[notionalTakenFromLeg_].schedule());
            auto notional =
                buildScheduledVectorNormalised(legData_[notionalTakenFromLeg_].notionals(),
                                               legData_[notionalTakenFromLeg_].notionalDates(), schedule, 0.0);
            Date today = Settings::instance().evaluationDate();
            auto d = std::upper_bound(schedule.dates().begin(), schedule.dates().end(), today);
            // forward starting => take first notional
            // on or after last schedule date => zero notional
            // in between => notional of current period
            if (d == schedule.dates().begin())
                notional_ = notional.at(0);
            else if (d == schedule.dates().end())
                notional_ = 0.0;
            else
                notional_ = notional.at(std::distance(schedule.dates().begin(), d) - 1);
        } else {
            notional_ = legData_[notionalTakenFromLeg_].notionals().at(0);
        }
        // parse for currency in case leg is Equity, we only want the major currency for NPV and Notional
        notionalCurrency_ = parseCurrencyWithMinors(legData_[notionalTakenFromLeg_].currency()).code();
        npvCurrency_ = parseCurrencyWithMinors(legData_[notionalTakenFromLeg_].currency()).code();
        DLOG("Notional is " << notional_ << " " << notionalCurrency_);
    }
 
    Currency npvCcy = parseCurrency(npvCurrency_);
    DLOG("npv currency is " << npvCurrency_);
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder =
        isXCCY_ ? engineFactory->builder("CrossCurrencySwap") : engineFactory->builder("Swap");
    auto configuration = builder->configuration(MarketContext::pricing);
 
    for (Size i = 0; i < numLegs; ++i) {
        legPayers_[i] = legData_[i].isPayer();
        auto legBuilder = engineFactory->legBuilder(legData_[i].legType());
        legs_[i] = legBuilder->buildLeg(legData_[i], engineFactory, requiredFixings_, configuration, Null<Date>(),
                                        useXbsCurves);
        DLOG("Swap::build(): currency[" << i << "] = " << currencies[i]);
 
        // add notional leg, if applicable
        auto leg = buildNotionalLeg(legData_[i], legs_[i], requiredFixings_, engineFactory->market(), configuration);
        applyIndexing(leg, legData_[i], engineFactory, requiredFixings_, Null<Date>(), useXbsCurves);
        if (!leg.empty()) {
            legs_.push_back(leg);
            legPayers_.push_back(legPayers_[i]);
            currencies.push_back(currencies[i]);
        }
    } // for legs
 
    if (isXCCY_) {
        QuantLib::ext::shared_ptr<QuantExt::CurrencySwap> swap(
            new QuantExt::CurrencySwap(legs_, legPayers_, currencies, settlement_ == "Physical", isResetting_));
        QuantLib::ext::shared_ptr<CrossCurrencySwapEngineBuilderBase> swapBuilder =
            QuantLib::ext::dynamic_pointer_cast<CrossCurrencySwapEngineBuilderBase>(builder);
        QL_REQUIRE(swapBuilder, "No Builder found for CrossCurrencySwap " << id());
        swap->setPricingEngine(swapBuilder->engine(currenciesForMcSimulation, npvCcy));
        setSensitivityTemplate(*swapBuilder);
        // take the first legs currency as the npv currency (arbitrary choice)
        instrument_.reset(new VanillaInstrument(swap));
    } else {
        QuantLib::ext::shared_ptr<QuantLib::Swap> swap(new QuantLib::Swap(legs_, legPayers_));
        QuantLib::ext::shared_ptr<SwapEngineBuilderBase> swapBuilder =
            QuantLib::ext::dynamic_pointer_cast<SwapEngineBuilderBase>(builder);
        QL_REQUIRE(swapBuilder, "No Builder found for Swap " << id());
        swap->setPricingEngine(swapBuilder->engine(npvCcy, envelope().additionalField("discount_curve", false),
                                                   envelope().additionalField("security_spread", false)));
        setSensitivityTemplate(*swapBuilder);
        instrument_.reset(new VanillaInstrument(swap));
    }
 
    DLOG("Set instrument wrapper");
 
    // set Leg Currencies
    legCurrencies_ = vector<string>(currencies.size());
    for (Size i = 0; i < currencies.size(); i++)
        legCurrencies_[i] = currencies[i].code();
 
    // set maturity
    maturity_ = Date::minDate();
    Date startDate = Date::maxDate();
    for (auto const& l : legs_) {
        if (!l.empty()) {
            maturity_ = std::max(maturity_, l.back()->date());
            startDate = std::min(startDate, l.front()->date());
            QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(l.front());
            if (coupon)
                startDate = std::min(startDate, coupon->accrualStartDate());                
        }
    }
 
    additionalData_["startDate"] = to_string(startDate);
}

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◆ setIsdaTaxonomyFields()

void setIsdaTaxonomyFields ( )

virtual

Reimplemented in EquitySwap, and InflationSwap.

Definition at line 220 of file swap.cpp.

                                 {
    // ISDA taxonomy
    additionalData_["isdaAssetClass"] = string("Interest Rate");
    additionalData_["isdaBaseProduct"] = string(isXCCY_ ? "Cross Currency" : "IR Swap");
    additionalData_["isdaSubProduct"] = isdaSubProductSwap(id(), legData_);
    additionalData_["isdaTransaction"] = string("");
}

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◆ notional()

QuantLib::Real notional ( ) const

overridevirtual

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

Reimplemented from Trade.

Definition at line 267 of file swap.cpp.

                                  {
    // try to get the notional from the additional results of the instrument
    try {
        return instrument_->qlInstrument(true)->result<Real>("currentNotional");
    } catch (const std::exception& e) {
        WLOG("swap engine does not provide current notional: " << e.what() << ", using fallback");
        // Try getting current notional from coupons
        if (notionalTakenFromLeg_ < legs_.size()) {
            Real n = currentNotional(legs_[notionalTakenFromLeg_]);
            if (fabs(n) > QL_EPSILON) {
                return n;
            }
        }
        // else return the face value
        WLOG("swap does not provide coupon notionals, using face value");
        return notional_;
    }
}

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◆ notionalCurrency()

std::string notionalCurrency ( ) const

overridevirtual

Reimplemented from Trade.

Definition at line 286 of file swap.cpp.

                                       {
    // try to get the notional ccy from the additional results of the instrument
    try {
        return instrument_->qlInstrument(true)->result<std::string>("notionalCurrency");
    } catch (const std::exception& e) {
        if (strcmp(e.what(), "notionalCurrency not provided"))
            WLOG("swap engine does not provide notional ccy: " << e.what() << ", using fallback");
        return notionalCurrency_;
    }
}

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◆ underlyingIndices()

map< AssetClass, set< string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager = nullptr ) const

overridevirtual

Add underlying index names.

Reimplemented from Trade.

Definition at line 298 of file swap.cpp.

                                                                                                     {
 
    map<AssetClass, set<string>> result;
    for (const auto& ld : legData_) {
        for (auto ind : ld.indices()) {
            // only handle equity and commodity for now
            if (ind.substr(0, 5) != "COMM-" && ind.substr(0, 3) != "EQ-")
                continue;
 
            QuantLib::ext::shared_ptr<Index> index = parseIndex(ind);
 
            if (auto ei = QuantLib::ext::dynamic_pointer_cast<EquityIndex2>(index)) {
                result[AssetClass::EQ].insert(ei->name());
            } else if (auto ci = QuantLib::ext::dynamic_pointer_cast<QuantExt::CommodityIndex>(index)) {
                result[AssetClass::COM].insert(ci->name());
            }
        }
    }
 
    if (auto s = envelope().additionalField("security_spread", false); !s.empty())
        result[AssetClass::BOND] = {s};
 
    return result;
}

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◆ settlement()

const string & settlement ( ) const

Settlement Type can be set to "Cash" for NDF. Default value is "Physical".

Definition at line 64 of file swap.hpp.

64{ return settlement_; }

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Reimplemented in ForwardRateAgreement.

Definition at line 361 of file swap.cpp.

                                {
    Trade::fromXML(node);
    legData_.clear();
    XMLNode* swapNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    // backwards compatibility
    if (swapNode == nullptr) {
        swapNode = XMLUtils::getChildNode(node, "SwapData");
    }
    QL_REQUIRE(swapNode, "Swap::fromXML(): expected '" << tradeType() << "Data'"
                                                       << (tradeType() == "Swap" ? "" : " or 'SwapData'"));
 
    settlement_ = XMLUtils::getChildValue(swapNode, "Settlement", false);
    if (settlement_ == "")
        settlement_ = "Physical";
 
    vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(swapNode, "LegData");
    for (Size i = 0; i < nodes.size(); i++) {
        auto ld = createLegData();
        ld->fromXML(nodes[i]);
        legData_.push_back(*QuantLib::ext::static_pointer_cast<LegData>(ld));
    }
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Reimplemented in ForwardRateAgreement.

Definition at line 386 of file swap.cpp.

                                           {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* swapNode = doc.allocNode(tradeType() + "Data");
    XMLUtils::appendNode(node, swapNode);
 
    if (settlement_ == "Cash")
        XMLUtils::addChild(doc, swapNode, "Settlement", settlement_);
    for (Size i = 0; i < legData_.size(); i++)
        XMLUtils::appendNode(swapNode, legData_[i].toXML(doc));
    return node;
}

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◆ legData()

const vector< LegData > & legData ( ) const

Definition at line 74 of file swap.hpp.

74{ return legData_; }

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◆ additionalData()

const std::map< std::string, boost::any > & additionalData ( ) const

overridevirtual

returns all additional data returned by the trade once built

Reimplemented from Trade.

Definition at line 228 of file swap.cpp.

                                                             {
    Size numLegs = legData_.size();
    // use the build time as of date to determine current notionals
    QuantLib::ext::shared_ptr<QuantLib::Swap> swap = QuantLib::ext::dynamic_pointer_cast<QuantLib::Swap>(instrument_->qlInstrument());
    QuantLib::ext::shared_ptr<QuantExt::CurrencySwap> cswap = QuantLib::ext::dynamic_pointer_cast<QuantExt::CurrencySwap>(instrument_->qlInstrument());
    std::map<std::string, Real> legNpv; // by currency
    for (Size i = 0; i < numLegs; ++i) {
        string legID = to_string(i+1);
        additionalData_["legType[" + legID + "]"] = legData_[i].legType();
        additionalData_["isPayer[" + legID + "]"] = legData_[i].isPayer();
        additionalData_["notionalCurrency[" + legID + "]"] = legData_[i].currency();
        if (!isXCCY_) {
            if (swap)
                additionalData_["legNPV[" + legID + "]"] = swap->legNPV(i);
            else
                ALOG("single currency swap underlying instrument not set, skip leg npv reporting");
        } 
        else {
            if (cswap) {
                // The currency swap has more legs than the swap wrapper (additional notional legs), so aggregate by currency
                Real legNpv = 0;
                Real legNpvInCcy = 0;
                for (Size j = 0; j < cswap->legs().size(); ++j) {
                    if (cswap->legCurrency(j).code() == legData_[i].currency()) {
                        legNpv += cswap->legNPV(j);
                        legNpvInCcy += cswap->inCcyLegNPV(j);
                    }
                }
                additionalData_["legNPV[" + legID + "]"] = legNpv;
                additionalData_["legNPVCCY[" + legID + "]"] = legNpvInCcy;
            }
            else 
                ALOG("cross currency swap underlying instrument not set, skip leg npv reporting");
        }
        setLegBasedAdditionalData(i);
    }
    return additionalData_;
}

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◆ createLegData()

QuantLib::ext::shared_ptr< LegData > createLegData ( ) const

protectedvirtual

Definition at line 384 of file swap.cpp.

384{ return QuantLib::ext::make_shared<LegData>(); }

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Member Data Documentation

◆ legData_

vector<LegData> legData_

protected

Definition at line 82 of file swap.hpp.

◆ settlement_

string settlement_

protected

Definition at line 83 of file swap.hpp.

◆ isXCCY_

bool isXCCY_ = false

protected

Definition at line 84 of file swap.hpp.

◆ isResetting_

bool isResetting_

private

Definition at line 87 of file swap.hpp.

◆ notionalTakenFromLeg_

Size notionalTakenFromLeg_

private

Definition at line 88 of file swap.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Swap() [1/4]

◆ Swap() [2/4]

◆ Swap() [3/4]

◆ Swap() [4/4]

Member Function Documentation

◆ build()

◆ setIsdaTaxonomyFields()

◆ notional()

◆ notionalCurrency()

◆ underlyingIndices()

◆ settlement()

◆ fromXML()

◆ toXML()

◆ legData()

◆ additionalData()

◆ createLegData()

Member Data Documentation

◆ legData_

◆ settlement_

◆ isXCCY_

◆ isResetting_

◆ notionalTakenFromLeg_