fxswap.hpp

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/*
 Copyright (C) 2016 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 portfolio/fxswap.hpp
    \brief FX Swap data model and serialization
    \ingroup tradedata
*/
 
#pragma once
 
#include <ored/portfolio/trade.hpp>
 
namespace ore {
namespace data {
using std::string;
 
//! Serializable FX Swap
/*!
  \ingroup tradedata
*/
class FxSwap : public Trade {
public:
    //! Default constructor
    FxSwap()
        : Trade("FxSwap"), nearBoughtAmount_(0.0), nearSoldAmount_(0.0), farBoughtAmount_(0.0), farSoldAmount_(0.0) {}
    //! Constructor
    FxSwap(const Envelope& env, const string& nearDate, const string& farDate, const string& nearBoughtCurrency,
           double nearBoughtAmount, const string& nearSoldCurrency, double nearSoldAmount, double farBoughtAmount,
           double farSoldAmount, const string& settlement = "Physical")
        : Trade("FxSwap", env), nearDate_(nearDate), farDate_(farDate), nearBoughtCurrency_(nearBoughtCurrency),
          nearBoughtAmount_(nearBoughtAmount), nearSoldCurrency_(nearSoldCurrency), nearSoldAmount_(nearSoldAmount),
          farBoughtAmount_(farBoughtAmount), farSoldAmount_(farSoldAmount), settlement_(settlement) {}
    /*! Constructs a composite pricing engine of two FX forward pricing engines.
    One with the near amounts as notionals, the other with the far amounts.
    NPV is the total npv of these trades.
    */
 
    //! Build QuantLib/QuantExt instrument, link pricing engine
    void build(const QuantLib::ext::shared_ptr<EngineFactory>&) override;
    QuantLib::Real notional() const override;
    std::string notionalCurrency() const override;
 
    //! \name Inspectors
    //@{
    const string& nearDate() const { return nearDate_; }
    const string& farDate() const { return farDate_; }
    const string& nearBoughtCurrency() const { return nearBoughtCurrency_; }
    double nearBoughtAmount() const { return nearBoughtAmount_; }
    const string& nearSoldCurrency() const { return nearSoldCurrency_; }
    double nearSoldAmount() const { return nearSoldAmount_; }
    double farBoughtAmount() const { return farBoughtAmount_; }
    double farSoldAmount() const { return farSoldAmount_; }
    //! Settlement Type can be set to "Cash" for NDF. Default value is "Physical"
    const string& settlement() const { return settlement_; }
    //@}
 
    //! \name Serialisation
    //@{
    virtual void fromXML(XMLNode* node) override;
    virtual XMLNode* toXML(XMLDocument& doc) const override;
    //@}
private:
    string nearDate_;
    string farDate_;
    string nearBoughtCurrency_; // farBoughtCurrency==nearSoldCurrency
    double nearBoughtAmount_;
    string nearSoldCurrency_;
    double nearSoldAmount_;
    double farBoughtAmount_;
    double farSoldAmount_;
    string settlement_;
    QuantLib::ext::shared_ptr<QuantLib::Instrument> instNear_, instFar_;
};
} // namespace data
} // namespace ore