flexiswap.hpp

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/*
 Copyright (C) 2018 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/flexiswap.hpp
    \brief Flexi-Swap data model and serialization
    \ingroup tradedata
*/
 
#pragma once
 
#include <ored/portfolio/legdata.hpp>
#include <ored/portfolio/trade.hpp>
 
namespace ore {
namespace data {
 
//! Serializable Flexi-Swap
/*!
  \ingroup tradedata
*/
class FlexiSwap : public ore::data::Trade {
public:
    FlexiSwap() : Trade("FlexiSwap") {}
 
    /*! the optionality is described by lower notional bounds */
    FlexiSwap(const ore::data::Envelope& env, const std::vector<ore::data::LegData>& swap,
              const std::vector<double>& lowerNotionalBounds, const std::vector<std::string>& lowerNotionalBoundsDates,
              const std::string& optionLongShort)
        : Trade("FlexiSwap", env), swap_(swap), lowerNotionalBounds_(lowerNotionalBounds),
          lowerNotionalBoundsDates_(lowerNotionalBoundsDates), optionLongShort_(optionLongShort) {}
 
    /*! the optionality is described by exercise dates / types and values */
    FlexiSwap(const ore::data::Envelope& env, const std::vector<ore::data::LegData>& swap,
              const std::string& noticePeriod, const std::string& noticeCalendar, const std::string& noticeConvention,
              const std::vector<std::string>& exerciseDates, const std::vector<std::string>& exerciseTypes,
              const std::vector<double>& exerciseValues, const std::string& optionLongShort)
        : Trade("FlexiSwap", env), swap_(swap), noticePeriod_(noticePeriod), noticeCalendar_(noticeCalendar),
          noticeConvention_(noticeConvention), exerciseDates_(exerciseDates), exerciseTypes_(exerciseTypes),
          exerciseValues_(exerciseValues), optionLongShort_(optionLongShort) {
        QL_REQUIRE(exerciseDates_.size() == exerciseTypes.size(), "exercise dates (" << exerciseDates_.size()
                                                                                     << ") must match exercise types ("
                                                                                     << exerciseTypes.size() << ")");
        QL_REQUIRE(exerciseDates_.size() == exerciseValues.size(),
                   "exercise dates (" << exerciseDates_.size() << ") must match exercise values ("
                                      << exerciseTypes.size() << ")");
    }
 
    void build(const QuantLib::ext::shared_ptr<ore::data::EngineFactory>&) override;
 
    //! \name Inspectors
    //@{
    const std::vector<ore::data::LegData>& swap() const { return swap_; }
    // optionality described by lower notional bounds
    const std::vector<double>& lowerNotionalBounds() const { return lowerNotionalBounds_; }
    const std::vector<std::string>& lowerNotionalBoundsDates() const { return lowerNotionalBoundsDates_; }
    // optionality described by exercise dates, types, values
    const std::string& noticePeriod() const { return noticePeriod_; }
    const std::string& noticeCalendar() const { return noticeCalendar_; }
    const std::string& noticeConvention() const { return noticeConvention_; }
    const std::vector<std::string>& exerciseDates() const { return exerciseDates_; }
    const std::vector<std::string>& exerciseTypes() const { return exerciseTypes_; }
    const std::vector<double>& exerciseValues() const { return exerciseValues_; }
    // option long / short flag
    const std::string& optionLongShort() const { return optionLongShort_; }
    //@}
 
    //! \name Serialisation
    //@{
    virtual void fromXML(ore::data::XMLNode* node) override;
    virtual ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
    //@}
private:
    std::vector<ore::data::LegData> swap_;
    // optionality given by lower notional boudns
    std::vector<double> lowerNotionalBounds_;
    std::vector<std::string> lowerNotionalBoundsDates_;
    // optionality given by exercise dates, types and values
    std::string noticePeriod_, noticeCalendar_, noticeConvention_;
    std::vector<std::string> exerciseDates_, exerciseTypes_;
    std::vector<double> exerciseValues_;
    // long or short option
    std::string optionLongShort_;
 
    //! Store the name of the floating leg index
    std::string floatingIndex_;
};
 
} // namespace data
} // namespace ore