swaption.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/swaption.hpp
    \brief Swaption data model and serialization
    \ingroup tradedata
*/
 
#pragma once
 
#include <ored/portfolio/optiondata.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/portfolio/trade.hpp>
 
#include <ql/instruments/nonstandardswap.hpp>
 
namespace ore {
namespace data {
 
//! Serializable Swaption
/*!
  \ingroup tradedata
*/
class Swaption : public Trade {
public:
    Swaption() : Trade("Swaption") {}
    Swaption(const Envelope& env, const OptionData& optionData, const vector<LegData>& legData)
        : Trade("Swaption", env), optionData_(optionData), legData_(legData) {}
 
    void build(const QuantLib::ext::shared_ptr<EngineFactory>&) override;
 
    //! \name Inspectors
    //@{
    const OptionData& optionData() const { return optionData_; }
    const vector<LegData>& legData() { return legData_; }
    //@}
 
    //! \name Serialisation
    //@{
    virtual void fromXML(XMLNode* node) override;
    virtual XMLNode* toXML(XMLDocument& doc) const override;
    //@}
 
    QuantLib::Real notional() const override;
    const std::map<std::string, boost::any>& additionalData() const override;
    bool hasCashflows() const override { return false; }
 
    bool isExercised() const;
 
    std::map<AssetClass, std::set<std::string>>
    underlyingIndices(const QuantLib::ext::shared_ptr<ReferenceDataManager>& referenceDataManager = nullptr) const override;
 
private:
    OptionData optionData_;
    vector<LegData> legData_;
 
    //! build underlying swaps for exposure simulation
    std::vector<QuantLib::ext::shared_ptr<Instrument>> buildUnderlyingSwaps(const QuantLib::ext::shared_ptr<PricingEngine>&,
                                                                    const std::vector<Date>&);
 
    QuantLib::ext::shared_ptr<ore::data::Swap> underlying_;
    QuantLib::ext::shared_ptr<ExerciseBuilder> exerciseBuilder_;
    Position::Type positionType_;
    Exercise::Type exerciseType_;
    Settlement::Type settlementType_;
    Settlement::Method settlementMethod_;
};
 
} // namespace data
} // namespace ore