#include <ored/portfolio/varianceswap.hpp>

Inheritance diagram for VarSwap:

Collaboration diagram for VarSwap:

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

const string &	longShort ()

const std::string &	name () const

const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying () const

const string &	currency ()

double	strike ()

double	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

const string &	startDate ()

const string &	endDate ()

const string &	calendar ()

AssetClass	assetClassUnderlying ()

const string &	momentType ()

const bool	addPastDividends ()

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (ore::data::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

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...

Protected Member Functions
	VarSwap (AssetClass assetClassUnderlying)

	VarSwap (ore::data::Envelope &env, string longShort, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, string currency, double strike, double notional, string startDate, string endDate, AssetClass assetClassUnderlying, string momentType, bool addPastDividends)

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
AssetClass	assetClassUnderlying_

QuantLib::ext::shared_ptr< ore::data::Underlying >	underlying_

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_

Private Member Functions
void	initIndexName ()

Private Attributes
string	longShort_

string	currency_

double	strike_

double	notional_

string	startDate_

string	endDate_

string	calendar_

string	momentType_

bool	addPastDividends_

QuantLib::Date	start_

QuantLib::Calendar	cal_

std::string	indexName_

bool	oldXml_

Detailed Description

Definition at line 35 of file varianceswap.hpp.

Constructor & Destructor Documentation

◆ VarSwap() [1/2]

VarSwap ( AssetClass assetClassUnderlying )

protected

Definition at line 57 of file varianceswap.hpp.

58 : Trade("VarSwap"), assetClassUnderlying_(assetClassUnderlying), oldXml_(false) {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

ore::data::VarSwap::assetClassUnderlying

AssetClass assetClassUnderlying()

Definition: varianceswap.hpp:49

ore::data::VarSwap::assetClassUnderlying_

AssetClass assetClassUnderlying_

Definition: varianceswap.hpp:68

ore::data::VarSwap::oldXml_

bool oldXml_

Definition: varianceswap.hpp:95

◆ VarSwap() [2/2]

VarSwap	(	ore::data::Envelope &	env,
		string	longShort,
		const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying,
		string	currency,
		double	strike,
		double	notional,
		string	startDate,
		string	endDate,
		AssetClass	assetClassUnderlying,
		string	momentType,
		bool	addPastDividends
	)

protected

Definition at line 59 of file varianceswap.hpp.

        : Trade("VarSwap", env), assetClassUnderlying_(assetClassUnderlying), underlying_(underlying),
          longShort_(longShort), currency_(currency), strike_(strike), notional_(notional), startDate_(startDate),
          endDate_(endDate), momentType_(momentType), addPastDividends_(addPastDividends), oldXml_(false) {
        initIndexName();
    }

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Member Function Documentation

◆ build()

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

override

Definition at line 36 of file varianceswap.cpp.

                                                                                    {
    Currency ccy = ore::data::parseCurrency(currency_);
    Position::Type longShort = ore::data::parsePositionType(longShort_);
    start_ = ore::data::parseDate(startDate_);
    Date endDate = ore::data::parseDate(endDate_);
    cal_ = ore::data::parseCalendar(calendar_);
    MomentType momentType = parseMomentType(momentType_);
 
    // ISDA taxonomy
    if (assetClassUnderlying_ == AssetClass::FX) {
        additionalData_["isdaAssetClass"] = string("Foreign Exchange");
        additionalData_["isdaBaseProduct"] = string("Simple Exotic");
        additionalData_["isdaSubProduct"] = string("Vol/Var");
    } else if (assetClassUnderlying_ == AssetClass::EQ) {
        additionalData_["isdaAssetClass"] = string("Equity");
        additionalData_["isdaBaseProduct"] = string("Swap");
        if (momentType == MomentType::Variance)
            additionalData_["isdaSubProduct"] = string("Parameter Return Variance");
        else
            additionalData_["isdaSubProduct"] = string("Parameter Return Volatility");
    } else if (assetClassUnderlying_ == AssetClass::COM) {
        // guessing, that we should treat Commodities as Equities
        additionalData_["isdaAssetClass"] = string("Commodity");
        additionalData_["isdaBaseProduct"] = string("Swap");
        MomentType momentType = parseMomentType(momentType_);
        if (momentType == MomentType::Variance)
            additionalData_["isdaSubProduct"] = string("Parameter Return Variance");
        else
            additionalData_["isdaSubProduct"] = string("Parameter Return Volatility");
    } else {
        WLOG("ISDA taxonomy not set for trade " << id());
    }
    // skip the transaction level mapping for now
    additionalData_["isdaTransaction"] = string("");  
 
    if (cal_.empty()) {
        cal_ = ore::data::parseCalendar(ccy.code());
    }
 
    QL_REQUIRE(strike_ > 0 && !close_enough(strike_, 0.0),
               "VarSwap::build() strike must be positive (" << strike_ << ")");
    QL_REQUIRE(notional_ > 0 || close_enough(notional_, 0.0),
               "VarSwap::build() notional must be non-negative (" << notional_ << ")");
 
    // Input strike is annualised Vol
    // The quantlib strike and notional are in terms of variance, not volatility, so we convert here.
    Real varianceStrike = strike_ * strike_;
    Real varianceNotional = notional_ / (2 * 100 * strike_);
 
    QuantLib::ext::shared_ptr<QuantExt::VarianceSwap2> varSwap(new QuantExt::VarianceSwap2(
        longShort, varianceStrike, momentType == MomentType::Variance ? varianceNotional : notional_, start_, endDate,
        cal_, addPastDividends_));
 
    // Pricing Engine
    QuantLib::ext::shared_ptr<ore::data::EngineBuilder> builder = engineFactory->builder(tradeType_);
    QL_REQUIRE(builder, "No builder found for " << tradeType_);
    QuantLib::ext::shared_ptr<VarSwapEngineBuilder> varSwapBuilder = QuantLib::ext::dynamic_pointer_cast<VarSwapEngineBuilder>(builder);
 
    varSwap->setPricingEngine(varSwapBuilder->engine(name(), ccy, assetClassUnderlying_, momentType));
    setSensitivityTemplate(*varSwapBuilder);
 
    // set up other Trade details
    instrument_ = QuantLib::ext::shared_ptr<ore::data::InstrumentWrapper>(new ore::data::VanillaInstrument(varSwap));
 
    npvCurrency_ = currency_;
    notionalCurrency_ = currency_;
    maturity_ = endDate;
 
    // add required fixings
    for (Date d = cal_.advance(start_, -1 * Days); d <= endDate; d = cal_.advance(d, 1 * Days)) {
        requiredFixings_.addFixingDate(d, indexName_, varSwap->maturityDate());
    }
}

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◆ longShort()

const string & longShort ( )

Definition at line 39 of file varianceswap.hpp.

39{ return longShort_; }

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◆ name()

const std::string & name ( ) const

Definition at line 40 of file varianceswap.hpp.

40{ return underlying_->name(); }

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◆ underlying()

const QuantLib::ext::shared_ptr< ore::data::Underlying > & underlying ( ) const

Definition at line 41 of file varianceswap.hpp.

41{ return underlying_; }

◆ currency()

const string & currency ( )

Definition at line 42 of file varianceswap.hpp.

42{ return currency_; }

◆ strike()

double strike ( )

Definition at line 43 of file varianceswap.hpp.

43{ return strike_; }

◆ 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 110 of file varianceswap.cpp.

                                     {
    MomentType momentType = parseMomentType(momentType_);
    if (momentType == MomentType::Variance) {
        Real varianceNotional = notional_ / (2 * 100 * strike_);
        return varianceNotional * 10000;
    } else
        return notional_ * 100;
}

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◆ startDate()

const string & startDate ( )

Definition at line 46 of file varianceswap.hpp.

46{ return startDate_; }

◆ endDate()

const string & endDate ( )

Definition at line 47 of file varianceswap.hpp.

47{ return endDate_; }

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◆ calendar()

const string & calendar ( )

Definition at line 48 of file varianceswap.hpp.

48{ return calendar_; }

◆ assetClassUnderlying()

AssetClass assetClassUnderlying ( )

Definition at line 49 of file varianceswap.hpp.

49{ return assetClassUnderlying_; }

◆ momentType()

const string & momentType ( )

Definition at line 50 of file varianceswap.hpp.

50{ return momentType_; }

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◆ addPastDividends()

const bool addPastDividends ( )

Definition at line 51 of file varianceswap.hpp.

51{ return addPastDividends_; }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 119 of file varianceswap.cpp.

                                   {
    Trade::fromXML(node);
    XMLNode* vNode = XMLUtils::getChildNode(node, tradeType() + "Data");
    if (!vNode) {
        vNode = XMLUtils::getChildNode(node, "VarianceSwapData");
        oldXml_ = true;
    }
    startDate_ = XMLUtils::getChildValue(vNode, "StartDate", true);
    endDate_ = XMLUtils::getChildValue(vNode, "EndDate", true);
    currency_ = XMLUtils::getChildValue(vNode, "Currency", true);
 
    XMLNode* tmp = XMLUtils::getChildNode(vNode, "Underlying");
    if (!tmp) {
        tmp = XMLUtils::getChildNode(vNode, "Name");
        QL_REQUIRE(tmp, "Must provide a valid Underlying or Name node");
    }
    UnderlyingBuilder underlyingBuilder;
    underlyingBuilder.fromXML(tmp);
    underlying_ = underlyingBuilder.underlying();
 
    longShort_ = XMLUtils::getChildValue(vNode, "LongShort", true);
    strike_ = XMLUtils::getChildValueAsDouble(vNode, "Strike", true);
    notional_ = XMLUtils::getChildValueAsDouble(vNode, "Notional", true);
    calendar_ = XMLUtils::getChildValue(vNode, "Calendar", true);
    momentType_ = XMLUtils::getChildValue(vNode, "MomentType", false);
    if (momentType_ == "")
        momentType_ = "Variance";
    string addPastDividendsStr = XMLUtils::getChildValue(vNode, "AddPastDividends", false);
    if (addPastDividendsStr == "")
        addPastDividends_ = false;
    else
        addPastDividends_ = parseBool(addPastDividendsStr);
    initIndexName();
}

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◆ toXML()

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

overridevirtual

Reimplemented from Trade.

Definition at line 154 of file varianceswap.cpp.

                                                     {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* vNode;
    if (oldXml_) {
        vNode = doc.allocNode("VarianceSwapData");
    } else {
        vNode = doc.allocNode(tradeType() + "Data");
    }
    XMLUtils::appendNode(node, vNode);
    XMLUtils::addChild(doc, vNode, "StartDate", startDate_);
    XMLUtils::addChild(doc, vNode, "EndDate", endDate_);
    XMLUtils::addChild(doc, vNode, "Currency", currency_);
    XMLUtils::appendNode(vNode, underlying_->toXML(doc));
    XMLUtils::addChild(doc, vNode, "LongShort", longShort_);
    XMLUtils::addChild(doc, vNode, "Strike", strike_);
    XMLUtils::addChild(doc, vNode, "Notional", notional_);
    XMLUtils::addChild(doc, vNode, "Calendar", calendar_);
    XMLUtils::addChild(doc, vNode, "MomentType", momentType_);
    XMLUtils::addChild(doc, vNode, "AddPastDividends", addPastDividends_);
    return node;
}

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◆ initIndexName()

void initIndexName ( )

private

Definition at line 176 of file varianceswap.cpp.

                            {
    if (assetClassUnderlying_ == AssetClass::FX)
        indexName_ = "FX-" + name();
    else if (assetClassUnderlying_ == AssetClass::EQ)
        indexName_ = "EQ-" + name();
    else if (assetClassUnderlying_ == AssetClass::COM)
        indexName_ = "COM-" + name();
    else {
        QL_FAIL("asset class " << assetClassUnderlying_ << " not supported.");
    }
}

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Member Data Documentation

◆ assetClassUnderlying_

AssetClass assetClassUnderlying_

protected

Definition at line 68 of file varianceswap.hpp.

◆ underlying_

QuantLib::ext::shared_ptr<ore::data::Underlying> underlying_

protected

Definition at line 71 of file varianceswap.hpp.

◆ longShort_

string longShort_

private

Definition at line 75 of file varianceswap.hpp.

◆ currency_

string currency_

private

Definition at line 76 of file varianceswap.hpp.

◆ strike_

double strike_

private

Definition at line 77 of file varianceswap.hpp.

◆ notional_

double notional_

private

Definition at line 78 of file varianceswap.hpp.

◆ startDate_

string startDate_

private

Definition at line 79 of file varianceswap.hpp.

◆ endDate_

string endDate_

private

Definition at line 80 of file varianceswap.hpp.

◆ calendar_

string calendar_

private

Definition at line 81 of file varianceswap.hpp.

◆ momentType_

string momentType_

private

Definition at line 82 of file varianceswap.hpp.

◆ addPastDividends_

bool addPastDividends_

private

Definition at line 83 of file varianceswap.hpp.

◆ start_

QuantLib::Date start_

private

Definition at line 86 of file varianceswap.hpp.

◆ cal_

QuantLib::Calendar cal_

private

Definition at line 87 of file varianceswap.hpp.

◆ indexName_

std::string indexName_

private

The index name. Not sure why the index was not just used in the trade XML. This is set to "FX-" + name for FX and left as name for the others for the moment.

Definition at line 92 of file varianceswap.hpp.

◆ oldXml_

bool oldXml_

private

Definition at line 95 of file varianceswap.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ VarSwap() [1/2]

◆ VarSwap() [2/2]

Member Function Documentation

◆ build()

◆ longShort()

◆ name()

◆ underlying()

◆ currency()

◆ strike()

◆ notional()

◆ startDate()

◆ endDate()

◆ calendar()

◆ assetClassUnderlying()

◆ momentType()

◆ addPastDividends()

◆ fromXML()

◆ toXML()

◆ initIndexName()

Member Data Documentation

◆ assetClassUnderlying_

◆ underlying_

◆ longShort_

◆ currency_

◆ strike_

◆ notional_

◆ startDate_

◆ endDate_

◆ calendar_

◆ momentType_

◆ addPastDividends_

◆ start_

◆ cal_

◆ indexName_

◆ oldXml_