commoditydigitaloption.hpp

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/*
 Copyright (C) 2022 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/portfolio/commoditydigitaloption.hpp
    \brief Commodity digital option representation as call spread
    \ingroup tradedata
*/
 
#pragma once
 
#include <ored/portfolio/optiondata.hpp>
#include <ored/portfolio/vanillaoption.hpp>
 
namespace ore {
namespace data {
 
//! Commodity digital option trade representation as call spread
/*! \ingroup tradedata
 */
class CommodityDigitalOption : public ore::data::Trade {
public:
    //! Default constructor
    CommodityDigitalOption();
 
    //! Detailed constructor
    CommodityDigitalOption(const Envelope& env, const OptionData& optionData, const std::string& commodityName,
               const std::string& currency, QuantLib::Real strike, QuantLib::Real payoff,
               const boost::optional<bool>& isFuturePrice = boost::none,
               const QuantLib::Date& futureExpiryDate = QuantLib::Date());
 
    //! Build underlying instrument and link pricing engine
    void build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFactory) override;
 
    //! Add underlying Commodity names
    std::map<AssetClass, std::set<std::string>>
    underlyingIndices(const QuantLib::ext::shared_ptr<ReferenceDataManager>& referenceDataManager = nullptr) const override;
 
    //! \name Serialisation
    //@{
    virtual void fromXML(XMLNode* node) override;
    virtual XMLNode* toXML(XMLDocument& doc) const override;
    //@}
 
    //! \name Trade
    //@{
    bool hasCashflows() const override { return false; }
    //@}
 
    //! \name Inspectors
    //@{
    const boost::optional<bool>& isFuturePrice() const { return isFuturePrice_; }
    const QuantLib::Date& futureExpiryDate() const { return futureExpiryDate_; }
    //@}
 
private:
    OptionData optionData_;
    std::string name_;
    string currency_;
    Real strike_;
    Real payoff_;  
 
    /*! Indicates if the option underlying is a commodity future settlement price, \c true, or a spot price \c false.
        If not explicitly set, it is assumed to be \c true.
    */
    boost::optional<bool> isFuturePrice_;
 
    /*! An explicit expiry date for the underlying future contract. This can be used if the option trade references a
        future contract settlement price and the option's expiry date does not match the future contract expiry date.
    */
    QuantLib::Date futureExpiryDate_;
 
    //! An index is needed if the option is to be automatically exercised on expiry.
    QuantLib::ext::shared_ptr<QuantLib::Index> index_;
 
    //! Hold the external index name if needed e.g. in the case of an FX index.
    std::string indexName_;
 
    //! Store the option expiry date.
    QuantLib::Date expiryDate_;
 
    Date forwardDate_;
};
 
} // namespace data
} // namespace ore