#include <qle/instruments/riskparticipationagreement.hpp>

Inheritance diagram for RiskParticipationAgreement:

Collaboration diagram for RiskParticipationAgreement:

Classes
class	arguments

class	engine

class	results

Public Member Functions
	RiskParticipationAgreement (const std::vector< Leg > &underlying, const std::vector< bool > &underlyingPayer, const std::vector< std::string > &underlyingCcys, const std::vector< Leg > &protectionFee, const bool protectionFeePayer, const std::vector< std::string > &protectionFeeCcys, const Real participationRate, const Date &protectionStart, const Date &protectionEnd, const bool settlesAccrual, const Real fixedRecoveryRate=Null< Real >(), const QuantLib::ext::shared_ptr< QuantLib::Exercise > &exercise=nullptr, const bool exerciseIsLong=false, const std::vector< QuantLib::ext::shared_ptr< CashFlow > > &premium=std::vector< QuantLib::ext::shared_ptr< CashFlow > >(), const bool nakedOption=false)

bool	isExpired () const override
	Instrument interface. More...

const std::vector< Leg > &	underlying () const
	Inspectors. More...

const std::vector< bool > &	underlyingPayer () const

const std::vector< std::string > &	underlyingCcys () const

const std::vector< Leg > &	protectionFee () const

bool	protectionFeePayer () const

const std::vector< std::string > &	protectionFeeCcys () const

Real	participationRate () const

const Date &	protectionStart () const

const Date &	protectionEnd () const

bool	settlesAccrual () const

Real	fixedRecoveryRate () const

const QuantLib::ext::shared_ptr< Exercise > &	exercise () const

const bool	nakedOption () const

const Date &	maturity () const

const Date &	underlyingMaturity () const

Private Member Functions
void	setupArguments (QuantLib::PricingEngine::arguments *) const override

void	setupExpired () const override

void	fetchResults (const QuantLib::PricingEngine::results *) const override

Private Attributes
const std::vector< Leg >	underlying_

const std::vector< bool >	underlyingPayer_

const std::vector< std::string >	underlyingCcys_

const std::vector< Leg >	protectionFee_

const bool	protectionFeePayer_

const std::vector< std::string >	protectionFeeCcys_

const Real	participationRate_

const Date	protectionStart_

const Date	protectionEnd_

const bool	settlesAccrual_

const Real	fixedRecoveryRate_

const QuantLib::ext::shared_ptr< Exercise >	exercise_

const bool	exerciseIsLong_

const std::vector< QuantLib::ext::shared_ptr< CashFlow > >	premium_

const bool	nakedOption_

Date	maturity_

Date	underlyingMaturity_

Date	optionRepresentationReferenceDate_

std::vector< std::tuple< Date, Date, Date > >	optionRepresentationPeriods_

std::vector< QuantLib::ext::shared_ptr< Instrument > >	optionRepresentation_

std::vector< Real >	optionMultiplier_

Detailed Description

Definition at line 35 of file riskparticipationagreement.hpp.

Constructor & Destructor Documentation

◆ RiskParticipationAgreement()

RiskParticipationAgreement	(	const std::vector< Leg > &	underlying,
		const std::vector< bool > &	underlyingPayer,
		const std::vector< std::string > &	underlyingCcys,
		const std::vector< Leg > &	protectionFee,
		const bool	protectionFeePayer,
		const std::vector< std::string > &	protectionFeeCcys,
		const Real	participationRate,
		const Date &	protectionStart,
		const Date &	protectionEnd,
		const bool	settlesAccrual,
		const Real	fixedRecoveryRate = `Null<Real>()`,
		const QuantLib::ext::shared_ptr< QuantLib::Exercise > &	exercise = `nullptr`,
		const bool	exerciseIsLong = `false`,
		const std::vector< QuantLib::ext::shared_ptr< CashFlow > > &	premium = `std::vector<QuantLib::ext::shared_ptr<CashFlow>>()`,
		const bool	nakedOption = `false`
	)

Definition at line 26 of file riskparticipationagreement.cpp.

    : underlying_(underlying), underlyingPayer_(underlyingPayer), underlyingCcys_(underlyingCcys),
      protectionFee_(protectionFee), protectionFeePayer_(protectionFeePayer), protectionFeeCcys_(protectionFeeCcys),
      participationRate_(participationRate), protectionStart_(protectionStart), protectionEnd_(protectionEnd),
      settlesAccrual_(settlesAccrual), fixedRecoveryRate_(fixedRecoveryRate), exercise_(exercise),
      exerciseIsLong_(exerciseIsLong), premium_(premium), nakedOption_(nakedOption) {
 
    QL_REQUIRE(underlying_.size() == underlyingPayer_.size(),
               "underlying size (" << underlying_.size() << ") must match underlying payer size ("
                                   << underlyingPayer_.size() << ")");
    QL_REQUIRE(underlying_.size() == underlyingCcys_.size(),
               "underlying size (" << underlying_.size() << ") must match underlying ccys size ("
                                   << underlyingCcys_.size() << ")");
    QL_REQUIRE(!underlying_.empty(), "underlying is empty");
    QL_REQUIRE(protectionFee_.size() == protectionFeeCcys_.size(),
               "protection fee size (" << protectionFee_.size() << ") must match protecttion fee ccys size ("
                                       << protectionFeeCcys_.size() << ")");
    QL_REQUIRE(participationRate_ > 0.0 || close_enough(participationRate_, 0.0),
               "participation rate must be non-negative (" << participationRate_ << ")");
    QL_REQUIRE(protectionEnd_ > protectionStart_,
               "protection end (" << protectionEnd_ << ") must be greater than protection start " << protectionStart_);
 
    // the maturity is the maximum of the protection end date and the last fee cashflow payment date
    maturity_ = protectionEnd_;
    for (auto const& p : protectionFee) {
        if (!p.empty())
            maturity_ = std::max(maturity_, CashFlows::maturityDate(p));
    }
 
    // the underlying maturity is the maturity over the underlying legs
    underlyingMaturity_ = Date::minDate();
    for (auto const& l : underlying)
        underlyingMaturity_ = std::max(underlyingMaturity_, CashFlows::maturityDate(l));
 
    for (auto const& l : underlying) {
        for (auto const& c : l) {
            registerWith(c);
            if (auto lazy = QuantLib::ext::dynamic_pointer_cast<LazyObject>(c))
                lazy->alwaysForwardNotifications();
        }
    }
 
    for (auto const& l : protectionFee) {
        for (auto const& c : l) {
            registerWith(c);
            if (auto lazy = QuantLib::ext::dynamic_pointer_cast<LazyObject>(c))
                lazy->alwaysForwardNotifications();
        }
    }
}

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Member Function Documentation

◆ isExpired()

bool isExpired ( ) const

override

Instrument interface.

Definition at line 82 of file riskparticipationagreement.cpp.

82{ return detail::simple_event(maturity()).hasOccurred(); }

QuantExt::RiskParticipationAgreement::maturity

const Date & maturity() const

Definition: riskparticipationagreement.hpp:66

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◆ underlying()

const std::vector< Leg > & underlying ( ) const

Inspectors.

Definition at line 52 of file riskparticipationagreement.hpp.

52{ return underlying_; }

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◆ underlyingPayer()

const std::vector< bool > & underlyingPayer ( ) const

Definition at line 53 of file riskparticipationagreement.hpp.

53{ return underlyingPayer_; }

◆ underlyingCcys()

const std::vector< std::string > & underlyingCcys ( ) const

Definition at line 54 of file riskparticipationagreement.hpp.

54{ return underlyingCcys_; }

◆ protectionFee()

const std::vector< Leg > & protectionFee ( ) const

Definition at line 55 of file riskparticipationagreement.hpp.

55{ return protectionFee_; }

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◆ protectionFeePayer()

bool protectionFeePayer ( ) const

Definition at line 56 of file riskparticipationagreement.hpp.

56{ return protectionFeePayer_; }

◆ protectionFeeCcys()

const std::vector< std::string > & protectionFeeCcys ( ) const

Definition at line 57 of file riskparticipationagreement.hpp.

57{ return protectionFeeCcys_; }

◆ participationRate()

Real participationRate ( ) const

Definition at line 58 of file riskparticipationagreement.hpp.

58{ return participationRate_; }

◆ protectionStart()

const Date & protectionStart ( ) const

Definition at line 59 of file riskparticipationagreement.hpp.

59{ return protectionStart_; }

◆ protectionEnd()

const Date & protectionEnd ( ) const

Definition at line 60 of file riskparticipationagreement.hpp.

60{ return protectionEnd_; }

◆ settlesAccrual()

bool settlesAccrual ( ) const

Definition at line 61 of file riskparticipationagreement.hpp.

61{ return settlesAccrual_; }

◆ fixedRecoveryRate()

Real fixedRecoveryRate ( ) const

Definition at line 62 of file riskparticipationagreement.hpp.

62{ return fixedRecoveryRate_; }

◆ exercise()

const QuantLib::ext::shared_ptr< Exercise > & exercise ( ) const

Definition at line 63 of file riskparticipationagreement.hpp.

63{ return exercise_; }

◆ nakedOption()

const bool nakedOption ( ) const

Definition at line 64 of file riskparticipationagreement.hpp.

64{ return nakedOption_; }

◆ maturity()

const Date & maturity ( ) const

Definition at line 66 of file riskparticipationagreement.hpp.

66{ return maturity_; }

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◆ underlyingMaturity()

const Date & underlyingMaturity ( ) const

Definition at line 67 of file riskparticipationagreement.hpp.

67{ return underlyingMaturity_; }

◆ setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments * args ) const

overrideprivate

Definition at line 92 of file riskparticipationagreement.cpp.

                                                                                          {
    RiskParticipationAgreement::arguments* arguments = dynamic_cast<RiskParticipationAgreement::arguments*>(args);
    QL_REQUIRE(arguments, "RiskParticipationAgreement::setupArguments(): wrong argument type");
    arguments->underlying = underlying_;
    arguments->underlyingPayer = underlyingPayer_;
    arguments->underlyingCcys = underlyingCcys_;
    arguments->protectionFee = protectionFee_;
    arguments->protectionFeePayer = protectionFeePayer_;
    arguments->protectionFeeCcys = protectionFeeCcys_;
    arguments->participationRate = participationRate_;
    arguments->protectionStart = protectionStart_;
    arguments->protectionEnd = protectionEnd_;
    arguments->underlyingMaturity = underlyingMaturity_;
    arguments->settlesAccrual = settlesAccrual_;
    arguments->fixedRecoveryRate = fixedRecoveryRate_;
    arguments->exercise = exercise_;
    arguments->exerciseIsLong = exerciseIsLong_;
    arguments->premium = premium_;
    arguments->nakedOption = nakedOption_;
    // provide previously computed option representation, if this is available
    arguments->optionRepresentation = optionRepresentation_;
    arguments->optionMultiplier = optionMultiplier_;
    arguments->optionRepresentationPeriods = optionRepresentationPeriods_;
    arguments->optionRepresentationReferenceDate = optionRepresentationReferenceDate_;
}

◆ setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 84 of file riskparticipationagreement.cpp.

                                                    {
    Instrument::setupExpired();
    optionRepresentation_.clear();
    optionMultiplier_.clear();
    optionRepresentationPeriods_.clear();
    optionRepresentationReferenceDate_ = Date();
}

◆ fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results * ) const

overrideprivate

Definition at line 118 of file riskparticipationagreement.cpp.

                                                                                 {
    Instrument::fetchResults(r);
    const RiskParticipationAgreement::results* results = dynamic_cast<const RiskParticipationAgreement::results*>(r);
    QL_REQUIRE(results, "RiskParticipationAgreement::fetchResults(): wrong result type");
    // might be empty / null if engine does not provide these
    optionRepresentation_ = results->optionRepresentation;
    optionMultiplier_ = results->optionMultiplier;
    optionRepresentationPeriods_ = results->optionRepresentationPeriods;
    optionRepresentationReferenceDate_ = results->optionRepresentationReferenceDate;
}