Serializable Equity Option. More...

#include <ored/portfolio/equityoption.hpp>

Inheritance diagram for EquityOption:

Public Member Functions
	EquityOption ()
	Default constructor.
	EquityOption (Envelope &env, OptionData option, EquityUnderlying equityUnderlying, string currency, QuantLib::Real quantity, TradeStrike tradeStrike)
	Constructor.
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine.
std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override
	Add underlying Equity names.
Inspectors
const string &	equityName () const
const string &	strikeCurrency () const
Public Member Functions inherited from VanillaOptionTrade
void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine.
void	setNotionalAndCurrencies ()
QuantLib::Real	notional () const override
	Trade interface.
string	notionalCurrency () const override
const OptionData &	option () const
const string &	asset () const
const string &	currency () const
TradeStrike	strike () const
double	quantity () const
const QuantLib::Date	forwardDate () const
const QuantLib::Date	paymentDate () const
Public Member Functions inherited from Trade
	Trade ()
	Default constructor.
	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor.
virtual	~Trade ()
	Default destructor.
virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const
const RequiredFixings &	requiredFixings () const
void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade.
void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values.
string &	id ()
	Set the trade id.
void	setId (const std::string &id)
void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info.
void	setAdditionalData (const std::map< std::string, QuantLib::ext::any > &additionalData)
TradeActions &	tradeActions ()
	Set the trade actions.
const string &	id () const
const string &	tradeType () const
const Envelope &	envelope () const
const set< string > &	portfolioIds () const
const TradeActions &	tradeActions () const
const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const
const std::vector< QuantLib::Leg > &	legs () const
const std::vector< string > &	legCurrencies () const
const std::vector< bool > &	legPayers () const
const std::map< size_t, LegCashflowInclusion > &	legCashflowInclusion () const
const string &	npvCurrency () const
const Date &	maturity () const
const string &	maturityType () const
virtual bool	isExpired (const Date &d) const
const string &	issuer () const
template<typename T>
T	additionalDatum (const std::string &tag) const
	returns any additional datum.
virtual const std::map< std::string, QuantLib::ext::any > &	additionalData () const
	returns all additional data returned by the trade once built
const std::string &	sensitivityTemplate () const
const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &	productModelEngine () const
void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set.
boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing.
std::size_t	getNumberOfPricings () const
	Get number of pricings.
void	addProductModelEngine (const EngineBuilder &builder)
void	addProductModelEngine (const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &productModelEngine)
void	setSensitivityTemplate (const EngineBuilder &builder)
void	setSensitivityTemplate (const std::string &id)
virtual std::vector< TradeCashflowReportData >	cashflows (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &configuration, const bool includePastCashflows) const
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString () const
	Parse from XML string.
std::string	toXMLStringUnformatted () const

Serialisation
EquityUnderlying	equityUnderlying_
string	strikeCurrency_
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
enum class	LegCashflowInclusion { IfNoEngineCashflows , Never , Always }
	VanillaOptionTrade (AssetClass assetClassUnderlying)
	VanillaOptionTrade (const Envelope &env, AssetClass assetClassUnderlying, OptionData option, string assetName, string currency, double quantity, TradeStrike strike, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="", QuantLib::Date forwardDate=QuantLib::Date())
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const string &discountCurve, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)
void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const
void	updateProductModelEngineAdditionalData ()
AssetClass	assetClassUnderlying_
OptionData	option_
string	assetName_
string	currency_
Currency	underlyingCurrency_
double	quantity_
TradeStrike	strike_
QuantLib::ext::shared_ptr< QuantLib::Index >	index_
	An index is needed if the option is to be automatically exercised on expiry.
std::string	indexName_
	Hold the external index name if needed e.g. in the case of an FX index.
QuantLib::Date	expiryDate_
	Store the option expiry date.
QuantLib::Date	forwardDate_
	Store the (optional) forward date.
QuantLib::Date	paymentDate_
	Store the (optional) payment date.
QuantLib::ext::shared_ptr< Trade >	delegatingBuilderTrade_
	Delegating engine builder.
string	tradeType_
QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_
std::vector< QuantLib::Leg >	legs_
std::vector< string >	legCurrencies_
std::vector< bool >	legPayers_
std::map< std::size_t, LegCashflowInclusion >	legCashflowInclusion_
string	npvCurrency_
QuantLib::Real	notional_
string	notionalCurrency_
Date	maturity_
string	maturityType_
string	issuer_
string	sensitivityTemplate_
bool	sensitivityTemplateSet_ = false
std::set< std::tuple< std::set< std::string >, std::string, std::string > >	productModelEngine_
Date	lastRelevantDate_ = Null<Date>()
std::size_t	savedNumberOfPricings_ = 0
boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0
RequiredFixings	requiredFixings_
std::map< std::string, QuantLib::ext::any >	additionalData_

Detailed Description

Serializable Equity Option.

Member Function Documentation

◆ build()

void build ( const QuantLib::ext::shared_ptr< EngineFactory > & )

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine.

Implements Trade.

◆ underlyingIndices()

std::map< AssetClass, std::set< std::string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager = nullptr ) const

overridevirtual

Add underlying Equity names.

Reimplemented from Trade.

◆ fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

◆ toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ build()

◆ underlyingIndices()

◆ fromXML()

◆ toXML()