ConvertibleBondTrsUnderlyingBuilder Struct Reference

#include <ored/portfolio/convertiblebond.hpp>

Inheritance diagram for ConvertibleBondTrsUnderlyingBuilder:

Collaboration diagram for ConvertibleBondTrsUnderlyingBuilder:

Public Member Functions
void	build (const std::string &parentId, const QuantLib::ext::shared_ptr< Trade > &underlying, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const std::string &fundingCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, QuantLib::ext::shared_ptr< QuantLib::Index > &underlyingIndex, Real &underlyingMultiplier, std::map< std::string, double > &indexQuantities, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices, Real &initialPrice, std::string &assetCurrency, std::string &creditRiskCurrency, std::map< std::string, SimmCreditQualifierMapping > &creditQualifierMapping, Date &maturity, const std::function< QuantLib::ext::shared_ptr< QuantExt::FxIndex >(const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices)> &getFxIndex, const std::string &underlyingDerivativeId, RequiredFixings &fixings, std::vector< Leg > &returnLegs) const override
void	updateUnderlying (const QuantLib::ext::shared_ptr< ReferenceDataManager > &refData, QuantLib::ext::shared_ptr< Trade > &underlying, const std::string &parentId) const override
Public Member Functions inherited from TrsUnderlyingBuilder
virtual	~TrsUnderlyingBuilder ()
virtual void	build (const std::string &parentId, const QuantLib::ext::shared_ptr< Trade > &underlying, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const std::string &fundingCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, QuantLib::ext::shared_ptr< QuantLib::Index > &underlyingIndex, Real &underlyingMultiplier, std::map< std::string, double > &indexQuantities, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices, Real &initialPrice, std::string &assetCurrency, std::string &creditRiskCurrency, std::map< std::string, SimmCreditQualifierMapping > &creditQualifierMapping, Date &maturity, const std::function< QuantLib::ext::shared_ptr< QuantExt::FxIndex >(const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices)> &getFxIndex, const std::string &underlyingDerivativeId, RequiredFixings &fixings, std::vector< Leg > &returnLegs) const =0
virtual void	updateUnderlying (const QuantLib::ext::shared_ptr< ReferenceDataManager > &refData, QuantLib::ext::shared_ptr< Trade > &underlying, const std::string &parentId) const

Detailed Description

Definition at line 59 of file convertiblebond.hpp.

Member Function Documentation

build()

void build ( const std::string &  parentId, const QuantLib::ext::shared_ptr< Trade > &  underlying, const std::vector< Date > &  valuationDates, const std::vector< Date > &  paymentDates, const std::string &  fundingCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &  engineFactory, QuantLib::ext::shared_ptr< QuantLib::Index > &  underlyingIndex, Real &  underlyingMultiplier, std::map< std::string, double > &  indexQuantities, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &  fxIndices, Real &  initialPrice, std::string &  assetCurrency, std::string &  creditRiskCurrency, std::map< std::string, SimmCreditQualifierMapping > &  creditQualifierMapping, Date &  maturity, const std::function< QuantLib::ext::shared_ptr< QuantExt::FxIndex >(const QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &domestic, const std::string &foreign, std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &fxIndices)> &  getFxIndex, const std::string &  underlyingDerivativeId, RequiredFixings &  fixings, std::vector< Leg > &  returnLegs  ) const

overridevirtual

Implements TrsUnderlyingBuilder.

Definition at line 601 of file convertiblebond.cpp.

                                                                                                         {
    auto t = QuantLib::ext::dynamic_pointer_cast<ore::data::ConvertibleBond>(underlying);
    QL_REQUIRE(t, "could not cast to ore::data::Bond, this is unexpected");
    auto qlBond = QuantLib::ext::dynamic_pointer_cast<QuantLib::Bond>(underlying->instrument()->qlInstrument());
    QL_REQUIRE(qlBond, "expected QuantLib::Bond, could not cast");
 
    BondIndexBuilder bondIndexBuilder(t->bondData(), true, false, NullCalendar(), true, engineFactory);
    underlyingIndex = bondIndexBuilder.bondIndex();
 
    underlyingIndex = bondIndexBuilder.bondIndex();
    underlyingMultiplier = t->data().bondData().bondNotional();
 
    indexQuantities[underlyingIndex->name()] = underlyingMultiplier;
    if (initialPrice != Null<Real>())
        initialPrice = qlBond->notional(valuationDates.front()) * bondIndexBuilder.priceAdjustment(initialPrice);
 
    assetCurrency = t->data().bondData().currency();
    auto fxIndex = getFxIndex(engineFactory->market(), engineFactory->configuration(MarketContext::pricing),
                              assetCurrency, fundingCurrency, fxIndices);
    auto returnLeg =
        makeBondTRSLeg(valuationDates, paymentDates, bondIndexBuilder, initialPrice, fxIndex);
 
    // add required bond and fx fixings for bondIndex
    returnLegs.push_back(returnLeg);
    bondIndexBuilder.addRequiredFixings(fixings, returnLeg);
 
    creditRiskCurrency = t->data().bondData().currency();
    creditQualifierMapping[securitySpecificCreditCurveName(t->bondData().securityId(), t->bondData().creditCurveId())] =
        SimmCreditQualifierMapping(t->data().bondData().securityId(), t->data().bondData().creditGroup());
    creditQualifierMapping[t->bondData().creditCurveId()] =
        SimmCreditQualifierMapping(t->data().bondData().securityId(), t->data().bondData().creditGroup());
    // FIXME shouldn't we leave that empty and let TRS determine the maturity date based on valuation / funding dates?
    maturity = qlBond->maturityDate();
}

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updateUnderlying()

void updateUnderlying ( const QuantLib::ext::shared_ptr< ReferenceDataManager > &  refData, QuantLib::ext::shared_ptr< Trade > &  underlying, const std::string &  parentId  ) const

overridevirtual

Reimplemented from TrsUnderlyingBuilder.

Definition at line 648 of file convertiblebond.cpp.

                                                                                            {
 
    /* If the underlying is a bond, but the security id is actually pointing to reference data of a non-vanilla bond
       flavour like a convertible bond, callable bond, etc., we change the underlying to that non-vanilla bond flavour
       here on the fly. This way we can reference a bond from a TRS without knowing its flavour. */
 
    if (underlying->tradeType() == "Bond") {
        auto bond = QuantLib::ext::dynamic_pointer_cast<ore::data::Bond>(underlying);
        QL_REQUIRE(bond, "TRS::build(): internal error, could not cast underlying trade to bond");
        if (refData != nullptr &&
            refData->hasData(ConvertibleBondReferenceDatum::TYPE, bond->bondData().securityId())) {
            DLOG("Underlying trade type is bond, but security id '"
                 << bond->bondData().securityId()
                 << "' points to convertible bond in ref data, so we change the underlying trade type accordingly.");
            underlying = QuantLib::ext::make_shared<ConvertibleBond>(Envelope(), ConvertibleBondData(bond->bondData()));
            underlying->id() = parentId + "_underlying";
        }
    }
}