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‎Docker/.env‎

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TAG=latest
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QL_TAG=1.25_fbc86b31
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QL_TAG=1.25_62dbd76ae
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BOOST_TAG=1.72.0
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BOOST_DIR=1_72_0
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NUM_CORES=16

‎Docs/UserGuide/tradecomponents/commodityfloatingleg.tex‎

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\lstinline!Tag! [Optional]: This node takes any string and can be used to link the floating leg with a fixed leg that has not explicitly provided its own quantities. This can be useful in situations where the quantities on the floating leg are specified with a \lstinline!CommodityQuantityFrequency! that is not simply \lstinline!PerCalculationPeriod!. The fixed leg does not have the \lstinline!CommodityQuantityFrequency! field. In these cases, the fixed leg can omit its \lstinline!Quantities! node and take the quantities from the floating leg. This \lstinline!Tag! node allows the fixed leg to link to a specific floating leg if there is more than one floating leg on the trade i.e.\ the fixed leg must just have the same \lstinline!Tag!. The link is also used to set the payment dates of the fixed leg if CommodityPayRelativeTo is set to FutureExpiryDate.
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\item
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\lstinline!DailyExpiryOffset! [Optional]: This node allows any non-negative integer value. It only has effect if \lstinline!IsAveraged! is set to \emph{true}, and the underlying commodity \lstinline!Name! is not being averaged and has a daily contract frequency. I.e. for an averaging leg on an underlying that is not averaging.
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If this node is omitted, it defaults to zero. This node indicates which future contract is being referenced on each \textit{Pricing Date} in the averaging period by acting as a business day offset, using the commodity \lstinline!Name!'s expiry calendar, from the \textit{Pricing Date}. It is useful in the base metals market where the future contract being averaged on each \textit{Pricing Date} is the cash contract on that \textit{Pricing Date} i.e.\ the contract with expiry date two business days after the \textit{Pricing Date}. In this case, the \lstinline!DailyExpiryOffset! would be set to \lstinline!2!.
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\lstinline!DailyExpiryOffset! [Optional]: This node allows any non-negative integer value. It only has effect the
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underlying commodity \lstinline!Name! is not being averaged and has a daily contract frequency.
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If this node is omitted, it defaults to zero. This node indicates which future contract is being referenced on each
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\textit{Pricing Date} by acting as a business day offset, using the commodity \lstinline!Name!'s expiry calendar, from
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the \textit{Pricing Date}. It is useful e.g. in the base metals market where a future contract on each \textit{Pricing
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Date} is the cash contract on that \textit{Pricing Date} i.e.\ the contract with expiry date two business days after
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the \textit{Pricing Date}. In this case, the \lstinline!DailyExpiryOffset! would be set to \lstinline!2!.
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\item \lstinline!FXIndex! [Optional]: If \lstinline!IsAveraged! is \emph{true} this node allows the fx conversion to be applied daily in the computation of averaged cash flows. It cannot be used with the \lstinline!Indexing! node.
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‎Docs/UserGuide/tradecomponents/floatinglegdata.tex‎

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For overnight coupons this is the number of business days by which the value dates are shifted into the past to get
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the fixing observation dates. In the context of RFRs the FixingDays parameter is sometimes also called
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``obervation lag''.
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The calendar used for the fixing gap, is the calendar associated with the floating index, as defined in the conventions for the index.
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Allowable values: A non-negative whole number. Defaults to the index's fixing days if blank or omitted. See defaults per index in Table \ref{tab:fixingdaysdefaults}.
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‎Docs/UserGuide/tradecomponents/underlying.tex‎

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\item \lstinline!Weight! [Optional]:
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The relative weight of the underlying if part of a basket. For a single underlying this can be omitted or set to 1.
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Allowable values: A number between -1 and 1. Defaults to 1 if left blank or omitted. \\
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Allowable values: A real number. Defaults to 1 if left blank or omitted. \\
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Notes on negative weights in the \emph{TotalReturnSwap} trade type: \\
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Negative weights for EquityOptionPositions are allowed, but not recommended. A negative weight for an EquityOptionPosition is equivalent to inverting the LongShort flag in the respective OptionData node. \\
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For EquityPositions a negative weight means that flows are in the opposite direction of the Payer flag on the return leg. A use case for negative weights is for a basket of EquityPositions that include both long and short positions.

‎Docs/UserGuide/tradedata/commodityoption.tex‎

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\subsubsection{Commodity Option}
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\label{ss:input_commodity_option}
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@@ -101,3 +100,61 @@ \subsubsection{Commodity Digital Option}
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\mbox{Digital Put} = \frac{\mbox{Payoff}}{\Delta} \times \left( \mbox{Put}(K+ \Delta/2) - \mbox{Put}(K- \Delta/2) \right)
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\end{align*}
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so that the long digital option has positive value in both cases. The strike spread $\Delta$ used here is set to 1\% of strike $K$.
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\subsubsection{Commodity Spread Option}
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\label{ss:input_commodity_spread_option}
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A commodity Spread Option is represented with trade type \emph{CommoditySpreadOption} and a corresponding
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\lstinline!CommoditySpreadOptionData! node.
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The \lstinline!CommoditySpreadOptionData! node is the trade data container for the \emph{CommoditySpreadOption} trade type.
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The structure of a \lstinline!CommoditySpreadOptionData! node for a commodity option is shown in Listing \ref{lst:com_s_option_data}.
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The \lstinline!CommoditySpreadOptionData! include exactly two \lstinline!LegData! nodes of type \emph{CommodityFloating}.
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Details on these are described in \ref{ss:commodityfloatingleg}.
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The resulting Legs must produce the same amount of cashflows (i.e.~the number of \emph{calculation period}s must be the same for the long and short positions).
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If the number of cashflows per leg is 1, this trade represents a vanilla commodity spread option.
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If is greater than 1, it represents a multi-period commodity spread option.
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The first one represents the long position on the relevant asset, and the \lstinline!isPayer! must be set to \emph{true}.
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The second one represents the short position on the relevant asset, and the \lstinline!isPayer! must be set to \emph{false}.
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Within the two \lstinline!LegData!, the \lstinline!Quantity! node has must be equal.
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If the underlying contracts are quoted using different units (e.g. barrels vs liters), the \lstinline!Gearing! node must be used to account for this difference.
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Other than the two legs, the following nodes complete the \lstinline!CommoditySpreadOptionData! container:
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\begin{itemize}
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\item \lstinline!ExerciseDate!: the exercise date. Allowable values: See Date in Table \ref{tab:allow_stand_data}.
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\item \lstinline!SpreadStrike!: The strike value for the spread. Allowable values: Any real number.
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\item \lstinline!OptionType! [Optional]: The allowable values are \emph{Call} or \emph{Put}. If not provided, default value is \emph{Call}.
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\item \lstinline!SettlementDate! [Optional]: A date in which the trade is settled.
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Allowable values: This should be a valid date as outlined in Table \ref{tab:allow_stand_data}. If not provided, it is assumed that the trade is settled on the \lstinline!ExerciseDate!.
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\item \lstinline!Currency!: The settlement currency for the trade. \\
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Allowable values: See \lstinline!Currency! in Table \ref{tab:allow_stand_data}.
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\end{itemize}
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<CommoditySpreadOptionData>
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<LegData>
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<LegType>CommodityFloating</LegType>
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<IsPayer>true<IsPayer>
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...
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</LegData>
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<LegData>
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<LegType>CommodityFloating</LegType>
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<IsPayer>false<IsPayer>
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...
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</LegData>
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<ExerciseDate>2022-12-25</ExerciseDate>
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<Quantity>1000</Quantity>
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<SpreadStrike>2.3</SpreadStrike>
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<OptionType>Call</OptionType>
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<SettlmentDate>2022-12-31</SettlementDate>
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<Currency>USD</Currency>
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</CommoditySpreadOptionData>
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\end{minted}
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\caption{Commodity Option data}
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\label{lst:com_s_option_data}
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\end{listing}

‎Docs/UserGuide/tradedata/creditdefaultswap.tex‎

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\subsubsection{Credit Default Swap}
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\subsubsection{Credit Default Swap / Quanto Credit Default Swap}
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A credit default swap, trade type \lstinline!CreditDefaultSwap!, is set up using a \lstinline!CreditDefaultSwapData! block as shown in listing \ref{lst:cdsdata} or \ref{lst:cdsdata_with_ref_info}. The \lstinline!CreditDefaultSwapData! block must include either a \lstinline!CreditCurveId! element or a \lstinline!ReferenceInformation! node.
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\caption{\lstinline!CreditDefaultSwapData! with \lstinline!ReferenceInformation!}
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\label{lst:cdsdata_with_ref_info}
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\end{listing}
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A quanto credit default swap is a credit default swap with different denomination and settlement currencies. Listing
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\ref{lst:quanto_cds} shows an Example: The trade has a notional of 50 million BRL and pays a $6\%$ premium. The premuim
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amounts are converted using the FX-TR20H-USD-BRL fixing two days before they are settled in USD. The hypothetical
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protection amounts computed for pricing purposes are converted to USD in a similar fashion.
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>true</Payer>
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<!-- This is the settlement currency -->
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<Currency>USD</Currency>
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<!-- This is the BRL notional -->
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<Notionals>
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<Notional>50000000</Notional>
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</Notionals>
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<!-- The FX index used to convert BRL amounts to the settlement ccy USD -->
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<Indexings>
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<Indexing>
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<Index>FX-TR20H-USD-BRL</Index>
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<FixingDays>2</FixingDays>
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<FixingCalendar>USD,BRL</FixingCalendar>
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<IsInArrears>true</IsInArrears>
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</Indexing>
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</Indexings>
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...
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<FixedLegData>
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<Rates>
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<Rate>0.06</Rate>
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</Rates>
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</FixedLegData>
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...
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</LegData>
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\end{minted}
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\caption{Quanto CDS CreditDefaultSwap Data}
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\label{lst:quanto_cds}
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\end{listing}

‎Docs/UserGuide/tradedata/fx_barrieroption.tex‎

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\begin{itemize}
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\item OptionData: This is a trade component sub-node outlined in section \ref{ss:option_data}.
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\item \lstinline!OptionData!: This is a trade component sub-node outlined in section \ref{ss:option_data}.
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The relevant fields in the \lstinline!OptionData! node for an FxBarrierOption are:
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\begin{itemize}
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\item \lstinline!Settlement! The allowable values are \emph{Cash} or \emph{Physical}.
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\item A \lstinline!PaymentData! [Optional] node can be added which defines the settlement of the option payoff.
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\item An \lstinline!ExerciseDates! node where exactly one ExerciseDate date element must be given.
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\item Premiums [Optional]: Option premium amounts paid by the option buyer to the option seller.
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\item \lstinline!Premiums! [Optional]: Option premium amounts paid by the option buyer to the option seller.
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Allowable values: See section \ref{ss:premiums}
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\end{itemize}
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\item BarrierData: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
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\item \lstinline!BarrierData!: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
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Level specified in BarrierData should be quoted as the amount in SoldCurrency per unit BoughtCurrency, with both currencies as defined in FxBarrierOptionData node.
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Changing the option from Call to Put or vice versa does not require switching the barrier level, i.e. the level stays quoted as SoldCurrency per unit BoughtCurrency, regardless of Put/Call.
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\item StartDate[Optional]: The start date for checking if a barrier has been breached prior to today's date. If omitted or left blank no check is made and it is assumed no barrier has been breached in the past. Has no impact if set to today's date or a date in the future.
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\item \lstinline!StartDate! [Optional]: The start date for checking if a barrier has been breached prior to today's date. If omitted or left blank no check is made and it is assumed no barrier has been breached in the past. Has no impact if set to today's date or a date in the future.
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item Calendar[Optional]: The calendar associated with the FX Index. Required if StartDate is set to a date prior to today's date, otherwise optional.
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\item \lstinline!Calendar! [Optional]: The calendar associated with the FX Index. Required if StartDate is set to a date prior to today's date, otherwise optional.
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Allowable values: See Table \ref{tab:calendar} Calendar.
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\item FXIndex[Optional]: A reference to an FX Index source to check if the barrier has been breached. Required if StartDate is set to a date prior to today's date, otherwise optional and can be omitted but not left blank.
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\item \lstinline!FXIndex! [Optional]: A reference to an FX Index source to check if the barrier has been breached. Required if StartDate is set to a date prior to today's date, otherwise optional and can be omitted but not left blank.
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Allowable values: The format of the FX Index is``FX-SOURCE-CCY1-CCY2'' as described in table \ref{tab:fxindex_data}.
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\item BoughtCurrency: The bought currency of the FX barrier option. See OptionData above for more details.
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\item \lstinline!BoughtCurrency!: The bought currency of the FX barrier option. See OptionData above for more details.
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Allowable values: See Table \ref{tab:currency} \lstinline!Currency!.
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\item BoughtAmount: The amount in the BoughtCurrency.
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\item \lstinline!BoughtAmount!: The amount in the BoughtCurrency.
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Allowable values: Any positive real number.
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\item SoldCurrency: The sold currency of the FX barrier option. See OptionData above for more details.
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\item \lstinline!SoldCurrency!: The sold currency of the FX barrier option. See OptionData above for more details.
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Allowable values: See Table \ref{tab:currency} \lstinline!Currency!.
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\item SoldAmount: The amount in the SoldCurrency.
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\item \lstinline!SoldAmount!: The amount in the SoldCurrency.
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Allowable values: Any positive real number.
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‎Docs/UserGuide/tradedata/fx_doublebarrieroption.tex‎

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\item \lstinline!Settlement! The allowable values are \emph{Cash} or \emph{Physical}.
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\item A \lstinline!PaymentData! [Optional] node can be added which defines the settlement of the option payoff.
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\item An \lstinline!ExerciseDates! node where exactly one ExerciseDate date element must be given.
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\item Premiums [Optional]: Option premium amounts paid by the option buyer to the option seller.
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\item \lstinline!Premiums! [Optional]: Option premium amounts paid by the option buyer to the option seller.
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Allowable values: See section \ref{ss:premiums}
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\end{itemize}
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\item BarrierData: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
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\item \lstinline!BarrierData!: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
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Levels specified in BarrierData should be quoted as the amount in SoldCurrnecy per unit BoughtCurrency, with both currencies as defined in FxDoubleBarrierOptionData node.
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Changing the option from Call to Put or vice versa does not require switching the barrier levels. Two levels in ascending order should be defined in \lstinline!Levels!. \lstinline!Type! should be \emph{KnockOut} or \emph{KnockIn}.
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\item StartDate[Optional]: The start date for checking if a barrier has been breached prior to today's date. If omitted or left blank no check is made and it is assumed no barrier has been breached in the past. Has no impact if set to today's date or a date in the future.
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\item \lstinline!StartDate! [Optional]: The start date for checking if a barrier has been breached prior to today's date. If omitted or left blank no check is made and it is assumed no barrier has been breached in the past. Has no impact if set to today's date or a date in the future.
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item Calendar[Optional]: The calendar associated with the FX Index. Required if StartDate is set to a date prior to today's date, otherwise optional.
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\item \lstinline!Calendar! [Optional]: The calendar associated with the FX Index. Required if StartDate is set to a date prior to today's date, otherwise optional.
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Allowable values: See Table \ref{tab:calendar} Calendar.
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\item FXIndex[Optional]: A reference to an FX Index source to check if the barrier has been breached. Required if StartDate is set to a date prior to today's date, otherwise optional and can be omitted but not left blank.
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\item \lstinline!FXIndex! [Optional]: A reference to an FX Index source to check if the barrier has been breached. Required if StartDate is set to a date prior to today's date, otherwise optional and can be omitted but not left blank.
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Allowable values: The format of the FX Index is``FX-SOURCE-CCY1-CCY2'' as described in table \ref{tab:fxindex_data}.
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\item BoughtCurrency: The bought currency of the FX barrier option. See OptionData above for more details.
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\item \lstinline!BoughtCurrency!: The bought currency of the FX barrier option. See OptionData above for more details.
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Allowable values: See Table \ref{tab:currency} \lstinline!Currency!.
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\item BoughtAmount: The amount in the BoughtCurrency.
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\item \lstinline!BoughtAmount!: The amount in the BoughtCurrency.
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Allowable values: Any positive real number.
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\item SoldCurrency: The sold currency of the FX barrier option. See OptionData above for more details.
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\item \lstinline!SoldCurrency!: The sold currency of the FX barrier option. See OptionData above for more details.
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Allowable values: See Table \ref{tab:currency} \lstinline!Currency!.
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\item SoldAmount: The amount in the SoldCurrency.
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\item \lstinline!SoldAmount!: The amount in the SoldCurrency.
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Allowable values: Any positive real number.
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