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Merge branch 'feature/QPR-13662_clean' into 'master'
QPR-13662 ScriptedTrade ARC Option Closes QPR-13662 See merge request qs/oreplus!3045
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‎Docs/UserGuide/tradedata/scriptedtrades.tex‎

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@@ -1103,6 +1103,110 @@ \subsubsection{Floating Strike Forward Starting Option}
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Allowable values: See Table \ref{tab:currency} for allowable currency codes.
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\end{itemize}
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\subsubsection{ACR Option}
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% we only have a scripted trade representation for this at the moment
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An ACR Option is represented as {\em acr option}, refer to Section
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\ref{app:scriptedtrade} for an introduction.
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Trade id="ArcOption">
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<TradeType>ScriptedTrade</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<ArcOptionData>
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<LongShort type="longShort">Short</LongShort>
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<SettlementDate type="event">2020-07-20</SettlementDate>
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<Notional type="number">100000000</Notional>
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<StrikeFactor type="number">0.9950</StrikeFactor>
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<BarrierFactor type="number">0.9840</StrikeFactor>
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<CapRate type="number">0.02</CapRate>
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<Offset type="number">0.0628</Offset>
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<ValuationSchedule type="event">
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<ScheduleData>
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<Rules>
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<StartDate>2020-01-15</StartDate>
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<EndDate>2020-07-10</EndDate>
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<Tenor>1M</Tenor>
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<Calendar>US</Calendar>
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<Convention>Following</Convention>
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<TermConvention>Following</TermConvention>
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<Rule>Forward</Rule>
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</Rules>
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</ScheduleData>
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</ValuationSchedule>
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<Underlying type="index">FX-ECB-JPY-USD</Underlying>
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<PayCcy type="currency">JPY</PayCcy>
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<Expiry type="event">2020-07-15</Expiry>
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</ArcOptionData>
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</Trade>
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\end{minted}
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The script referenced in the trade above is shown in Listing \ref{lst:arc_option}.
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\begin{listing}[hbt]
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\begin{minted}[fontsize=\footnotesize]{Basic}
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NUMBER d, effectiveExchangeRate, netAccAmount, currPrice, pay;
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NUMBER payoff, strike, sr1, sr2, sr3, itm, K, expectedN, settlementAmount;
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netAccAmount = 0;
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FOR d IN (2, SIZE(ValuationSchedule), 1) DO
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sr2 = Underlying(ValuationSchedule[d]);
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sr1 = Underlying(ValuationSchedule[d-1]);
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K = sr1*StrikeFactor;
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IF sr2 < sr1*BarrierFactor THEN
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itm = Notional*((1/sr2)-(1/K));
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ELSE
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itm = 0;
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END;
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netAccAmount = netAccAmount + itm;
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END;
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expectedN = SIZE(ValuationSchedule) - 1;
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sr3 = Underlying(ValuationSchedule[expectedN]);
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effectiveExchangeRate = Notional / ((Notional/sr3)-netAccAmount);
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IF effectiveExchangeRate >= CapRate THEN
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settlementAmount = Notional/(CapRate + Offset);
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ELSE
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settlementAmount = Notional/(effectiveExchangeRate + Offset);
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END;
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pay = PAY(settlementAmount, Expiry, SettlementDate, PayCcy);
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Option = pay;
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\end{minted}
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\caption{Payoff script for an Arc Option.}
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\label{lst:arc_option}
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\end{listing}
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The meanings and allowable values in the \lstinline!ArcOptionData! node below.
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\begin{itemize}
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\item{}[index] \lstinline!Underlying!: Underlying index. \\
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Allowable values: See Section \ref{data_index} for allowable values.
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\item{}[longShort] \lstinline!LongShort!: Own party position in the option. \\
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Allowable values: \emph{Long, Short}.
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\item{}[number] \lstinline!StrikeFactor!: The strike factor used within ITM computation.
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\item{}[number] \lstinline!BarrierFactor!: The barrier factor used within the condition for the ITM computation.
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\item{}[number] \lstinline!Notional!: Notional amount. \\
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Allowable values: Any non-negative number.
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\item{}[number] \lstinline!CapRate!: Rate used to compute the settlement amount.
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\item{}[number] \lstinline!Offset!: Offset used to compute the settlement amount.
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\item{}[event] \lstinline!SettlementDate!: Settlement date. \\
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item{}[currency] \lstinline!SettlementCurrency!: The payment currency. For FX, where the underlying is provided
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in the form \lstinline!FX-SOURCE-CCY1-CCY2! (see Table \ref{tab:fxindex_data}) this should
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be \lstinline!CCY2!. If \lstinline!CCY1! or the currency of the underlying (for EQ and
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COMM underlyings), this will result in a quanto payoff. Notice section \ref{sss:payccy_st}. \\
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Allowable values: See Table \ref{tab:currency} for allowable currency codes.
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\end{itemize}
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\subsubsection{Forward Starting Swaption}
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% we only have a scripted trade representation for this at the moment

‎xsd/instruments.xsd‎

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<xs:element type="swapData" name="SwapData"/>
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<xs:element type="swapData" name="EquitySwapData"/>
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<xs:element type="callableSwapData" name="CallableSwapData"/>
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<xs:element type="arcOptionData" name="ArcOptionData"/>
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<xs:element type="swaptionData" name="SwaptionData"/>
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<xs:element type="varianceSwapData" name="VarianceSwapData"/>
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<xs:element type="varianceSwapData" name="EquityVarianceSwapData"/>
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</xs:all>
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</xs:complexType>
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<xs:complexType name="arcOptionData">
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<xs:all>
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<xs:element type="stFreeStyleLongShort" name="LongShort"/>
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<xs:element type="stFreeStyleIndex" name="Underlying"/>
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<xs:element type="stFreeStyleEventSchedule" name="ValuationSchedule"/>
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<xs:element type="stFreeStyleNumber" name="StrikeFactor"/>
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<xs:element type="stFreeStyleNumber" name="BarrierFactor"/>
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<xs:element type="stFreeStyleNumber" name="CapRate"/>
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<xs:element type="stFreeStyleNumber" name="Offset"/>
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<xs:element type="stFreeStyleNumber" name="Notional"/>
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<xs:element type="stFreeStyleEvent" name="Expiry"/>
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<xs:element type="stFreeStyleCurrency" name="PayCcy"/>
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<xs:element type="stFreeStyleEvent" name="SettlementDate"/>
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</xs:all>
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</xs:complexType>
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<xs:complexType name="extendedFxForwardSwapData">
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<xs:all>
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<xs:element type="stFreeStyleCurrency" name="Currency"/>

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