trsunderlyingbuilder.hpp

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/*
 Copyright (C) 2021 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.
*/
 
#pragma once
 
#include <ored/portfolio/enginefactory.hpp>
#include <ored/portfolio/simmcreditqualifiermapping.hpp>
#include <ored/portfolio/equityposition.hpp>
#include <ored/portfolio/commodityposition.hpp>
#include <ored/utilities/bondindexbuilder.hpp>
#include <qle/cashflows/trscashflow.hpp>
 
namespace ore {
namespace data {
 
struct 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 {}
};
 
class TrsUnderlyingBuilderFactory
    : public QuantLib::Singleton<TrsUnderlyingBuilderFactory, std::integral_constant<bool, true>> {
    map<std::string, QuantLib::ext::shared_ptr<TrsUnderlyingBuilder>> builders_;
    mutable boost::shared_mutex mutex_;
 
public:
    std::map<std::string, QuantLib::ext::shared_ptr<TrsUnderlyingBuilder>> getBuilders() const {
        boost::shared_lock<boost::shared_mutex> lock(mutex_);
        return builders_;
    }
    QuantLib::ext::shared_ptr<TrsUnderlyingBuilder> getBuilder(const std::string& tradeType) const;
    void addBuilder(const std::string& tradeType, const QuantLib::ext::shared_ptr<TrsUnderlyingBuilder>& builder,
                    const bool allowOverwrite = false);
};
 
struct BondTrsUnderlyingBuilder : public TrsUnderlyingBuilder {
    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;
};
 
struct ForwardBondTrsUnderlyingBuilder : public TrsUnderlyingBuilder {
    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;
};
 
template<class T>
struct AssetPositionTrsUnderlyingBuilder : public TrsUnderlyingBuilder {
    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 updateQuantities(std::map<std::string, double>& indexQuantities, const std::string& indexName,
                          const double qty) const;
 
    std::string getIndexCurrencyFromPosition(QuantLib::ext::shared_ptr<T> position, size_t i) const;
 
};
 
typedef AssetPositionTrsUnderlyingBuilder<ore::data::EquityPosition> EquityPositionTrsUnderlyingBuilder;
typedef AssetPositionTrsUnderlyingBuilder<ore::data::CommodityPosition> CommodityPositionTrsUnderlyingBuilder;
 
struct EquityOptionPositionTrsUnderlyingBuilder : public TrsUnderlyingBuilder {
    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;
};
 
 
struct BondPositionTrsUnderlyingBuilder : public TrsUnderlyingBuilder {
    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;
};
 
struct DerivativeTrsUnderlyingBuilder : public TrsUnderlyingBuilder {
    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;
};
 
// utility functions for bond TRS
void modifyBondTRSLeg(QuantLib::Leg& leg, QuantLib::Date issueDate);
Leg makeBondTRSLeg(const std::vector<Date>& valuationDates, const std::vector<Date>& paymentDates,
                   const BondIndexBuilder& bondIndexBuilder,
                   QuantLib::Real initialPrice = QuantLib::Null<QuantLib::Real>(),
                   QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex = nullptr);
 
} // namespace data
} // namespace ore