#include <ored/portfolio/trswrapper.hpp>

Inheritance diagram for TRSWrapper:

Collaboration diagram for TRSWrapper:

Classes
class	arguments

class	engine

class	results

Public Member Functions
	TRSWrapper (const std::vector< QuantLib::ext::shared_ptr< ore::data::Trade > > &underlying, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > &underlyingIndex, const std::vector< QuantLib::Real > underlyingMultiplier, const bool includeUnderlyingCashflowsInReturn, const QuantLib::Real initialPrice, const QuantLib::Currency &initialPriceCurrency, const std::vector< QuantLib::Currency > &assetCurrency, const QuantLib::Currency &returnCurrency, const std::vector< QuantLib::Date > &valuationSchedule, const std::vector< QuantLib::Date > &paymentSchedule, const std::vector< QuantLib::Leg > &fundingLegs, const std::vector< TRS::FundingData::NotionalType > &fundingNotionalTypes, const QuantLib::Currency &fundingCurrency, const QuantLib::Size fundingResetGracePeriod, const bool paysAsset, const bool paysFunding, const QuantLib::Leg &additionalCashflowLeg, const bool additionalCashflowLegPayer, const QuantLib::Currency &additionalCashflowCurrency, const std::vector< QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndexAsset, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndexReturn, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndexAdditionalCashflows, const std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &addFxindices)

Instrument interface
std::vector< QuantLib::ext::shared_ptr< ore::data::Trade > >	underlying_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > >	underlyingIndex_

std::vector< QuantLib::Real >	underlyingMultiplier_

bool	includeUnderlyingCashflowsInReturn_

QuantLib::Real	initialPrice_

const QuantLib::Currency	initialPriceCurrency_

const std::vector< QuantLib::Currency >	assetCurrency_

const QuantLib::Currency	returnCurrency_

std::vector< QuantLib::Date >	valuationSchedule_

std::vector< QuantLib::Date >	paymentSchedule_

std::vector< QuantLib::Leg >	fundingLegs_

std::vector< TRS::FundingData::NotionalType >	fundingNotionalTypes_

const QuantLib::Currency	fundingCurrency_

const QuantLib::Size	fundingResetGracePeriod_

bool	paysAsset_

bool	paysFunding_

QuantLib::Leg	additionalCashflowLeg_

bool	additionalCashflowLegPayer_

const QuantLib::Currency	additionalCashflowCurrency_

std::vector< QuantLib::ext::shared_ptr< QuantExt::FxIndex > >	fxIndexAsset_

QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndexReturn_

QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndexAdditionalCashflows_

std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > >	addFxIndices_

Date	lastDate_

bool	isExpired () const override

void	setupArguments (QuantLib::PricingEngine::arguments *) const override

void	fetchResults (const QuantLib::PricingEngine::results *) const override

Detailed Description

TRS Instrument Wrapper.

Definition at line 35 of file trswrapper.hpp.

Constructor & Destructor Documentation

◆ TRSWrapper()

TRSWrapper	(	const std::vector< QuantLib::ext::shared_ptr< ore::data::Trade > > &	underlying,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > &	underlyingIndex,
		const std::vector< QuantLib::Real >	underlyingMultiplier,
		const bool	includeUnderlyingCashflowsInReturn,
		const QuantLib::Real	initialPrice,
		const QuantLib::Currency &	initialPriceCurrency,
		const std::vector< QuantLib::Currency > &	assetCurrency,
		const QuantLib::Currency &	returnCurrency,
		const std::vector< QuantLib::Date > &	valuationSchedule,
		const std::vector< QuantLib::Date > &	paymentSchedule,
		const std::vector< QuantLib::Leg > &	fundingLegs,
		const std::vector< TRS::FundingData::NotionalType > &	fundingNotionalTypes,
		const QuantLib::Currency &	fundingCurrency,
		const QuantLib::Size	fundingResetGracePeriod,
		const bool	paysAsset,
		const bool	paysFunding,
		const QuantLib::Leg &	additionalCashflowLeg,
		const bool	additionalCashflowLegPayer,
		const QuantLib::Currency &	additionalCashflowCurrency,
		const std::vector< QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &	fxIndexAsset,
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndexReturn,
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndexAdditionalCashflows,
		const std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &	addFxindices
	)

Definition at line 37 of file trswrapper.cpp.

    : underlying_(underlying), underlyingIndex_(underlyingIndex), underlyingMultiplier_(underlyingMultiplier),
      includeUnderlyingCashflowsInReturn_(includeUnderlyingCashflowsInReturn), initialPrice_(initialPrice),
      initialPriceCurrency_(initialPriceCurrency), assetCurrency_(assetCurrency), returnCurrency_(returnCurrency),
      valuationSchedule_(valuationSchedule), paymentSchedule_(paymentSchedule), fundingLegs_(fundingLegs),
      fundingNotionalTypes_(fundingNotionalTypes), fundingCurrency_(fundingCurrency),
      fundingResetGracePeriod_(fundingResetGracePeriod), paysAsset_(paysAsset), paysFunding_(paysFunding),
      additionalCashflowLeg_(additionalCashflowLeg), additionalCashflowLegPayer_(additionalCashflowLegPayer),
      additionalCashflowCurrency_(additionalCashflowCurrency), fxIndexAsset_(fxIndexAsset),
      fxIndexReturn_(fxIndexReturn), fxIndexAdditionalCashflows_(fxIndexAdditionalCashflows),
      addFxIndices_(addFxIndices) {
 
    QL_REQUIRE(!paymentSchedule_.empty(), "TRSWrapper::TRSWrapper(): payment schedule must not be empty()");
 
    QL_REQUIRE(valuationSchedule_.size() == paymentSchedule_.size() + 1,
               "TRSWrapper::TRSWrapper(): valuation schedule size ("
                   << valuationSchedule_.size() << ") must be payment schedule size (" << paymentSchedule_.size()
                   << ") plus one");
 
    for (Size i = 0; i < valuationSchedule_.size() - 1; ++i) {
        QL_REQUIRE(valuationSchedule_[i] < valuationSchedule_[i + 1],
                   "TRSWrapper::TRSWrapper(): valuation schedule dates must be monotonic, at "
                       << i << ": " << valuationSchedule_[i] << ", " << valuationSchedule_[i + 1]);
    }
 
    for (Size i = 0; i < paymentSchedule_.size() - 1; ++i) {
        QL_REQUIRE(paymentSchedule_[i] < paymentSchedule_[i + 1],
                   "TRSWrapper::TRSWrapper(): payment schedule dates must be monotonic, at "
                       << i << ": " << paymentSchedule_[i] << ", " << paymentSchedule_[i + 1]);
    }
 
    for (Size i = 0; i < paymentSchedule_.size(); ++i) {
        QL_REQUIRE(paymentSchedule_[i] >= valuationSchedule_[i + 1], "TRSWrapper::TRSWrapper(): payment date at "
                                                                         << i << " (" << paymentSchedule_[i]
                                                                         << ") must be >= valuation date ("
                                                                         << valuationSchedule_[i + 1]);
    }
 
    QL_REQUIRE(fundingLegs_.size() == fundingNotionalTypes_.size(), "TRSWrapper::TRSWrapper(): number of funding legs ("
                                                                        << fundingLegs_.size()
                                                                        << ") must match funding notitional types ("
                                                                        << fundingNotionalTypes_.size() << ")");
 
    QL_REQUIRE(!underlying_.empty(), "TRSWrapper::TRSWrapper(): no underlying given, at least one is required");
    QL_REQUIRE(underlying.size() == underlyingIndex.size(),
               "TRSWrapper::TRSWrapper(): number of underlyings ("
                   << underlying.size() << ") does not match underlying index size (" << underlyingIndex.size() << ")");
    QL_REQUIRE(underlying.size() == underlyingMultiplier.size(), "TRSWrapper::TRSWrapper(): number of underlyings ("
                                                                     << underlying.size()
                                                                     << ") does not match underlying index size ("
                                                                     << underlyingMultiplier.size() << ")");
    QL_REQUIRE(underlying.size() == assetCurrency.size(),
               "TRSWrapper::TRSWrapper(): number of underlyings ("
                   << underlying.size() << ") does not match asset currency size (" << assetCurrency.size() << ")");
    QL_REQUIRE(underlying.size() == fxIndexAsset.size(),
               "TRSWrapper::TRSWrapper(): number of underlyings ("
                   << underlying.size() << ") does not match fx index asset  size (" << fxIndexAsset.size() << ")");
 
    for (Size i = 0; i < underlying_.size(); ++i) {
        registerWith(underlying_[i]->instrument()->qlInstrument());
        registerWith(underlyingIndex_[i]);
    }
 
    for (Size i = 0; i < fundingLegs_.size(); ++i) {
        for (Size j = 0; j < fundingLegs_[i].size(); ++j) {
            registerWith(fundingLegs_[i][j]);
        }
    }
 
    for (auto const& f : fxIndexAsset)
        registerWith(f);
    registerWith(fxIndexReturn);
    registerWith(fxIndexAdditionalCashflows);
 
    // compute last payment date, after this date the TRS is considered expired
 
    lastDate_ = Date::minDate();
    for (auto const& d : paymentSchedule_)
        lastDate_ = std::max(lastDate_, d);
    for (auto const& l : fundingLegs_)
        for (auto const& c : l)
            lastDate_ = std::max(lastDate_, c->date());
    for (auto const& c : additionalCashflowLeg_)
        lastDate_ = std::max(lastDate_, c->date());
}

Member Function Documentation

◆ isExpired()

bool isExpired ( ) const

override

Definition at line 134 of file trswrapper.cpp.

134{ return detail::simple_event(lastDate_).hasOccurred(); }

◆ setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments * ) const

override

Definition at line 136 of file trswrapper.cpp.

                                                                  {
    TRSWrapper::arguments* a = dynamic_cast<TRSWrapper::arguments*>(args);
    QL_REQUIRE(a != nullptr, "wrong argument type in TRSWrapper");
    a->underlying_ = underlying_;
    a->underlyingIndex_ = underlyingIndex_;
    a->underlyingMultiplier_ = underlyingMultiplier_;
    a->includeUnderlyingCashflowsInReturn_ = includeUnderlyingCashflowsInReturn_;
    a->initialPrice_ = initialPrice_;
    a->initialPriceCurrency_ = initialPriceCurrency_;
    a->assetCurrency_ = assetCurrency_;
    a->returnCurrency_ = returnCurrency_;
    a->valuationSchedule_ = valuationSchedule_;
    a->paymentSchedule_ = paymentSchedule_;
    a->fundingLegs_ = fundingLegs_;
    a->fundingNotionalTypes_ = fundingNotionalTypes_;
    a->fundingCurrency_ = fundingCurrency_;
    a->fundingResetGracePeriod_ = fundingResetGracePeriod_;
    a->paysAsset_ = paysAsset_;
    a->paysFunding_ = paysFunding_;
    a->additionalCashflowLeg_ = additionalCashflowLeg_;
    a->additionalCashflowLegPayer_ = additionalCashflowLegPayer_;
    a->additionalCashflowCurrency_ = additionalCashflowCurrency_;
    a->fxIndexAsset_ = fxIndexAsset_;
    a->fxIndexReturn_ = fxIndexReturn_;
    a->fxIndexAdditionalCashflows_ = fxIndexAdditionalCashflows_;
    a->addFxIndices_ = addFxIndices_;
}

◆ fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results * ) const

override

Definition at line 172 of file trswrapper.cpp.

172{ Instrument::fetchResults(r); }

Member Data Documentation

◆ underlying_

std::vector<QuantLib::ext::shared_ptr<ore::data::Trade> > underlying_

private

Definition at line 86 of file trswrapper.hpp.

◆ underlyingIndex_

std::vector<QuantLib::ext::shared_ptr<QuantLib::Index> > underlyingIndex_

private

Definition at line 87 of file trswrapper.hpp.

◆ underlyingMultiplier_

std::vector<QuantLib::Real> underlyingMultiplier_

private

Definition at line 88 of file trswrapper.hpp.

◆ includeUnderlyingCashflowsInReturn_

bool includeUnderlyingCashflowsInReturn_

private

Definition at line 89 of file trswrapper.hpp.

◆ initialPrice_

QuantLib::Real initialPrice_

private

Definition at line 90 of file trswrapper.hpp.

◆ initialPriceCurrency_

const QuantLib::Currency initialPriceCurrency_

private

Definition at line 91 of file trswrapper.hpp.

◆ assetCurrency_

const std::vector<QuantLib::Currency> assetCurrency_

private

Definition at line 92 of file trswrapper.hpp.

◆ returnCurrency_

const QuantLib::Currency returnCurrency_

private

Definition at line 93 of file trswrapper.hpp.

◆ valuationSchedule_

std::vector<QuantLib::Date> valuationSchedule_

private

Definition at line 94 of file trswrapper.hpp.

◆ paymentSchedule_

std::vector<QuantLib::Date> paymentSchedule_

private

Definition at line 94 of file trswrapper.hpp.

◆ fundingLegs_

std::vector<QuantLib::Leg> fundingLegs_

private

Definition at line 95 of file trswrapper.hpp.

◆ fundingNotionalTypes_

std::vector<TRS::FundingData::NotionalType> fundingNotionalTypes_

private

Definition at line 96 of file trswrapper.hpp.

◆ fundingCurrency_

const QuantLib::Currency fundingCurrency_

private

Definition at line 97 of file trswrapper.hpp.

◆ fundingResetGracePeriod_

const QuantLib::Size fundingResetGracePeriod_

private

Definition at line 98 of file trswrapper.hpp.

◆ paysAsset_

bool paysAsset_

private

Definition at line 99 of file trswrapper.hpp.

◆ paysFunding_

bool paysFunding_

private

Definition at line 99 of file trswrapper.hpp.

◆ additionalCashflowLeg_

QuantLib::Leg additionalCashflowLeg_

private

Definition at line 100 of file trswrapper.hpp.

◆ additionalCashflowLegPayer_

bool additionalCashflowLegPayer_

private

Definition at line 101 of file trswrapper.hpp.

◆ additionalCashflowCurrency_

const QuantLib::Currency additionalCashflowCurrency_

private

Definition at line 102 of file trswrapper.hpp.

◆ fxIndexAsset_

std::vector<QuantLib::ext::shared_ptr<QuantExt::FxIndex> > fxIndexAsset_

private

Definition at line 103 of file trswrapper.hpp.

◆ fxIndexReturn_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndexReturn_

private

Definition at line 104 of file trswrapper.hpp.

◆ fxIndexAdditionalCashflows_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndexAdditionalCashflows_

private

Definition at line 104 of file trswrapper.hpp.

◆ addFxIndices_

std::map<std::string, QuantLib::ext::shared_ptr<QuantExt::FxIndex> > addFxIndices_

private

Definition at line 105 of file trswrapper.hpp.

◆ lastDate_

Date lastDate_

private

Definition at line 107 of file trswrapper.hpp.

Classes

Public Member Functions

Instrument interface

Detailed Description

Constructor & Destructor Documentation

◆ TRSWrapper()

Member Function Documentation

◆ isExpired()

◆ setupArguments()

◆ fetchResults()

Member Data Documentation

◆ underlying_

◆ underlyingIndex_

◆ underlyingMultiplier_

◆ includeUnderlyingCashflowsInReturn_

◆ initialPrice_

◆ initialPriceCurrency_

◆ assetCurrency_

◆ returnCurrency_

◆ valuationSchedule_

◆ paymentSchedule_

◆ fundingLegs_

◆ fundingNotionalTypes_

◆ fundingCurrency_

◆ fundingResetGracePeriod_

◆ paysAsset_

◆ paysFunding_

◆ additionalCashflowLeg_

◆ additionalCashflowLegPayer_

◆ additionalCashflowCurrency_

◆ fxIndexAsset_

◆ fxIndexReturn_

◆ fxIndexAdditionalCashflows_

◆ addFxIndices_

◆ lastDate_