QPR-11556 Handle Capfloor Proxy Configuration for XVA/Exposure

Author: sebastien.bouvard

OREAnalytics/orea/engine/dependencymarket.cpp

@@ -36,6 +36,7 @@
 #include <qle/termstructures/pricecurve.hpp>
 #include <qle/termstructures/zeroinflationcurveobservermoving.hpp>
 #include <qle/termstructures/yoyinflationcurveobservermoving.hpp>
+#include <qle/termstructures/proxyoptionletvolatility.hpp>
 
 #include <ql/currencies/europe.hpp>
 #include <ql/indexes/ibor/eonia.hpp>
@@ -407,17 +408,29 @@ Handle<OptionletVolatilityStructure> DependencyMarket::capFloorVol(const string&
     addMarketObject(MarketObject::CapFloorVol, name, config);
     // ensure that the dependent ibor indiex is captured
     iborIndex(capFloorVolIndexBase(name, config).first, config);
-    return flatRateCvs();
+    Handle<OptionletVolatilityStructure> handleflatRateCvs = flatRateCvs();
+    if (curveConfigs_ && curveConfigs_->hasCapFloorVolCurveConfig(name)) {
+        auto cc = curveConfigs_->capFloorVolCurveConfig(name);
+        if (!cc->proxyTargetIndex().empty()){
+            QuantLib::ext::shared_ptr<ProxyOptionletVolatility> capletVol = QuantLib::ext::make_shared<ProxyOptionletVolatility>(handleflatRateCvs, parseIborIndex(cc->proxySourceIndex()), 
+                                                                                  parseIborIndex(cc->proxyTargetIndex()), cc->proxySourceRateComputationPeriod(), 
+                                                                                  cc->proxyTargetRateComputationPeriod(), cc->proxyScalingFactor());
+            return Handle<OptionletVolatilityStructure>(capletVol);
+        }
+    }
+    return handleflatRateCvs;
 }
 
 std::pair<string, QuantLib::Period> DependencyMarket::capFloorVolIndexBase(const string& name,
                                                                            const string& config) const {
     if (curveConfigs_ && curveConfigs_->hasCapFloorVolCurveConfig(name)) {
         auto cc = curveConfigs_->capFloorVolCurveConfig(name);
-        if (!cc->proxyTargetIndex().empty())
+        if (!cc->proxyTargetIndex().empty()){
             return std::make_pair(cc->proxyTargetIndex(), cc->proxyTargetRateComputationPeriod());
-        else
+        }
+        else{
             return std::make_pair(cc->index(), cc->rateComputationPeriod());
+        }  
     }
     QuantLib::ext::shared_ptr<IborIndex> index;
     if (tryParseIborIndex(name, index)) {

OREAnalytics/orea/simulation/fixingmanager.cpp

@@ -70,10 +70,13 @@ void FixingManager::initialise(const QuantLib::ext::shared_ptr<Portfolio>& portf
         auto r = t->requiredFixings();
         r.unsetPayDates();
         for (auto const& [name, fixingDates] : r.fixingDatesIndices(QuantLib::Date::maxDate())) {
+            std::cout<<"name = "<<name<<std::endl;
             std::set<Date> dates;
             for (const auto& [d, _] : fixingDates) {
+                std::cout<<d<<"|";
                 dates.insert(d);
             }
+            std::cout<<std::endl;
             try {
                 auto rawIndex = parseIndex(name);
                 if (auto index = QuantLib::ext::dynamic_pointer_cast<EquityIndex2>(rawIndex)) {

OREData/ored/portfolio/capfloor.cpp

@@ -548,7 +548,7 @@ void CapFloor::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFacto
         QuantLib::ext::make_shared<VanillaInstrument>(qlInstrument, multiplier, additionalInstruments, additionalMultipliers);
 
     // axdd required fixings
-    auto fdg = QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_);
+    auto fdg = QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_, engineFactory->market());
     for (auto const& l : legs_)
         addToRequiredFixings(l, fdg);
 

OREData/ored/portfolio/fixingdates.cpp

@@ -57,6 +57,8 @@
 #include <qle/indexes/fallbackovernightindex.hpp>
 #include <qle/indexes/genericindex.hpp>
 #include <qle/indexes/offpeakpowerindex.hpp>
+#include <qle/termstructures/proxyoptionletvolatility.hpp>
+#include <qle/termstructures/dynamicoptionletvolatilitystructure.hpp>
 
 using namespace QuantLib;
 using namespace QuantExt;
@@ -631,7 +633,22 @@ void FixingDateGetter::visit(QuantExt::OvernightIndexedCoupon& c) {
     requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(indexName), c.date());
 }
 
-void FixingDateGetter::visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) { c.underlying()->accept(*this); }
+void FixingDateGetter::visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) { 
+    c.underlying()->accept(*this);
+    if(market_){
+        Handle<OptionletVolatilityStructure> ovs = market_->capFloorVol(IndexNameTranslator::instance().oreName(c.index()->name()));
+        QuantLib::ext::shared_ptr<DynamicOptionletVolatilityStructure> capletVol =
+                                QuantLib::ext::dynamic_pointer_cast<DynamicOptionletVolatilityStructure>(ovs.currentLink());
+        if(capletVol){
+            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> source = capletVol->getSource();
+            QuantLib::ext::shared_ptr<ProxyOptionletVolatility> pov = QuantLib::ext::dynamic_pointer_cast<ProxyOptionletVolatility>(source);
+            if(pov){
+                QuantLib::ext::shared_ptr<QuantLib::IborIndex> baseIndex = pov->getBaseIndex();
+                requiredFixings_.addFixingDates(c.underlying()->fixingDates(), IndexNameTranslator::instance().oreName(baseIndex->name()), c.date());
+            }
+        }
+    }
+}
 
 void FixingDateGetter::visit(AverageBMACoupon& c) {
     requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.index()->name()),

OREData/ored/portfolio/fixingdates.hpp

@@ -276,7 +276,8 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
 
 public:
     //! Constructor
-    FixingDateGetter(RequiredFixings& requiredFixings) : requiredFixings_(requiredFixings) {}
+    FixingDateGetter(RequiredFixings& requiredFixings, const QuantLib::ext::shared_ptr<ore::data::Market>& market = nullptr) : 
+                        requiredFixings_(requiredFixings), market_(market) {}
 
     //! \name Visitor interface
     //@{
@@ -323,6 +324,7 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
 protected:
     std::string oreIndexName(const std::string& qlIndexName) const;
     RequiredFixings& requiredFixings_;
+    QuantLib::ext::shared_ptr<ore::data::Market> market_;
 
 private:
     // flag to indicate if coupon start date fixings are always required, even if initial prices provided

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.cpp

@@ -22,7 +22,7 @@ namespace QuantExt {
 DynamicOptionletVolatilityStructure::DynamicOptionletVolatilityStructure(
     const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source, Natural settlementDays, const Calendar& calendar,
     ReactionToTimeDecay decayMode)
-    : OptionletVolatilityStructure(settlementDays, calendar, source->businessDayConvention(), source->dayCounter()),
+    : OptionletVolatilityStructure(source->referenceDate(), calendar, source->businessDayConvention(), source->dayCounter()),
       source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()),
       volatilityType_(source->volatilityType()), displacement_(source->displacement()) {
     QL_REQUIRE(decayMode_ != ForwardForwardVariance,
@@ -48,7 +48,9 @@ Date DynamicOptionletVolatilityStructure::maxDate() const {
     QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
 }
 
-void DynamicOptionletVolatilityStructure::update() { TermStructure::update(); }
+void DynamicOptionletVolatilityStructure::update() {
+    TermStructure::update(); 
+}
 
 QuantLib::ext::shared_ptr<SmileSection> DynamicOptionletVolatilityStructure::smileSectionImpl(Time optionTime) const {
     return source_->smileSection(optionTime);

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.hpp

@@ -45,6 +45,8 @@ class DynamicOptionletVolatilityStructure : public OptionletVolatilityStructure
     DynamicOptionletVolatilityStructure(const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source,
                                         Natural settlementDays, const Calendar& calendar,
                                         ReactionToTimeDecay decayMode = ConstantVariance);
+    
+    QuantLib::ext::shared_ptr<OptionletVolatilityStructure> getSource() { return source_; }
 
 protected:
     //! \name OptionletVolatilityStructure interface

QuantExt/qle/termstructures/proxyoptionletvolatility.cpp

@@ -52,7 +52,6 @@ ProxyOptionletVolatility::ProxyOptionletVolatility(const Handle<OptionletVolatil
     : OptionletVolatilityStructure(baseVol->businessDayConvention(), baseVol->dayCounter()), baseVol_(baseVol),
       baseIndex_(baseIndex), targetIndex_(targetIndex), baseRateComputationPeriod_(baseRateComputationPeriod),
       targetRateComputationPeriod_(targetRateComputationPeriod), scalingFactor_(scalingFactor) {
-
     QL_REQUIRE(baseIndex != nullptr, "ProxyOptionletVolatility: no base index given.");
     QL_REQUIRE(targetIndex != nullptr, "ProxyOptionletVolatility: no target index given.");
     QL_REQUIRE((!isOis(targetIndex_) && !isBMA(targetIndex)) || targetRateComputationPeriod != 0 * Days,

QuantExt/qle/termstructures/proxyoptionletvolatility.hpp

@@ -43,6 +43,8 @@ class ProxyOptionletVolatility : public QuantLib::OptionletVolatilityStructure {
     VolatilityType volatilityType() const override { return baseVol_->volatilityType(); }
     Real displacement() const override { return baseVol_->displacement(); }
     Calendar calendar() const override { return baseVol_->calendar(); }
+    QuantLib::ext::shared_ptr<QuantLib::IborIndex> getBaseIndex() const { return baseIndex_; }
+    QuantLib::ext::shared_ptr<QuantLib::IborIndex> getTargetIndex() const { return targetIndex_; }
 
 private:
     QuantLib::ext::shared_ptr<QuantLib::SmileSection> smileSectionImpl(const QuantLib::Date& optionDate) const override;