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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "7fa47714f3" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "832d001ed1" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents 5a582a7 + 832d001 commit e384b33

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Lines changed: 328 additions & 376 deletions

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‎Docs/UserGuide/tradedata/indexcdsoption.tex‎

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Original file line numberDiff line numberDiff line change
@@ -3,10 +3,6 @@ \subsubsection{Index Credit Default Swap Option}
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An index CDS option, trade type \lstinline!IndexCreditDefaultSwapOption!, is an option to enter into an index CDS at a specified strike spread or strike price. The Index CDS Option is set up using an \lstinline!IndexCreditDefaultSwapOptionData! node as shown in Listing \ref{lst:indexcdsoptiondata}. Its child nodes have the following meanings:
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\begin{itemize}
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\item
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\lstinline!KnockOut!: A boolean node that determines whether front end protection is included or not. When this node evaluates to \lstinline!false!, front end protection is included. When this node evaluates to \lstinline!true!, front end protection is not included.
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Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}.
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\item
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\lstinline!IndexTerm! [Optional]: An optional node giving the term of the underlying index CDS e.g.\ 3Y, 5Y, 7Y, 10Y etc. The main function of this node is to allow for different index CDS option volatility structures for different terms of the same index series e.g.\ a CDX HY Series 34 5Y volatility structure and a CDX HY Series 34 10Y volatility structure. If this node is omitted, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! node under \lstinline!IndexCreditDefaultSwapData!. There will generally be one \lstinline!CreditCurveId! for each index CDS series e.g.\ \lstinline!CDXHYS34V1! for CDX HY Series 34 Version 1. Consequently, there can only be one CDS volatility surface for this index CDS series. When \lstinline!IndexTerm! is populated with the underlying index term, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! node with suffix \lstinline!-[IndexTerm]!. For example, if the \lstinline!CreditCurveId! node on an index CDS option trade is \lstinline!CDXHYS34V1! and the \lstinline!IndexTerm! node is populated with \lstinline!5Y!, the market will be searched for a CDS volatility surface with ID \lstinline!CDXHYS34V1-5Y! and this will be used in the trade valuation. In this way, different volatility surfaces can be used to value different terms of the same CDS index series.
@@ -83,7 +79,6 @@ \subsubsection{Index Credit Default Swap Option}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<IndexCreditDefaultSwapOptionData>
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<KnockOut>N</KnockOut>
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<IndexTerm>5Y</IndexTerm>
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<OptionData>
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<LongShort>Long</LongShort>

‎Examples/Example_40/Input/portfolio.xml‎

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@@ -267,7 +267,6 @@
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</Envelope>
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<IndexCreditDefaultSwapOptionData>
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<Strike>0.0060</Strike>
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<KnockOut>N</KnockOut>
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<OptionData>
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<LongShort>Long</LongShort>
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<OptionType>Call</OptionType>

‎OREData/ored/portfolio/indexcreditdefaultswapoption.cpp‎

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@@ -43,13 +43,13 @@ namespace ore {
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namespace data {
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IndexCreditDefaultSwapOption::IndexCreditDefaultSwapOption()
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: Trade("IndexCreditDefaultSwapOption"), strike_(Null<Real>()), knockOut_(false) {}
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: Trade("IndexCreditDefaultSwapOption"), strike_(Null<Real>()) {}
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IndexCreditDefaultSwapOption::IndexCreditDefaultSwapOption(const Envelope& env, const IndexCreditDefaultSwapData& swap,
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const OptionData& option, Real strike, bool knockOut,
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const OptionData& option, Real strike,
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const string& indexTerm, const string& strikeType,
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const Date& tradeDate, const Date& fepStartDate)
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: Trade("IndexCreditDefaultSwapOption", env), swap_(swap), option_(option), strike_(strike), knockOut_(knockOut),
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: Trade("IndexCreditDefaultSwapOption", env), swap_(swap), option_(option), strike_(strike),
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indexTerm_(indexTerm), strikeType_(strikeType), tradeDate_(tradeDate), fepStartDate_(fepStartDate) {}
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void IndexCreditDefaultSwapOption::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
@@ -308,7 +308,7 @@ void IndexCreditDefaultSwapOption::build(const boost::shared_ptr<EngineFactory>&
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// Build the option
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auto option = boost::make_shared<QuantExt::IndexCdsOption>(cds, exercise, effectiveStrike_, strikeType, settleType,
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notionals_.tradeDate, notionals_.realisedFep, knockOut_,
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notionals_.tradeDate, notionals_.realisedFep,
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effectiveIndexTerm_);
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// the vol curve id is the credit curve id stripped by a term, if the credit curve id should contain one
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auto p = splitCurveIdWithTenor(swap_.creditCurveId());
@@ -372,7 +372,6 @@ void IndexCreditDefaultSwapOption::fromXML(XMLNode* node) {
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XMLNode* iCdsOptionData = XMLUtils::getChildNode(node, "IndexCreditDefaultSwapOptionData");
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QL_REQUIRE(iCdsOptionData, "Expected IndexCreditDefaultSwapOptionData node on trade " << id() << ".");
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strike_ = XMLUtils::getChildValueAsDouble(iCdsOptionData, "Strike", false, Null<Real>());
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knockOut_ = XMLUtils::getChildValueAsBool(iCdsOptionData, "KnockOut", false, false);
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indexTerm_ = XMLUtils::getChildValue(iCdsOptionData, "IndexTerm", false);
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strikeType_ = XMLUtils::getChildValue(iCdsOptionData, "StrikeType", false);
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tradeDate_ = Date();
@@ -402,7 +401,6 @@ XMLNode* IndexCreditDefaultSwapOption::toXML(XMLDocument& doc) const {
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XMLNode* iCdsOptionData = doc.allocNode("IndexCreditDefaultSwapOptionData");
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if (strike_ != Null<Real>())
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XMLUtils::addChild(doc, iCdsOptionData, "Strike", strike_);
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XMLUtils::addChild(doc, iCdsOptionData, "KnockOut", knockOut_);
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if (!indexTerm_.empty())
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XMLUtils::addChild(doc, iCdsOptionData, "IndexTerm", indexTerm_);
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if (strikeType_ != "")
@@ -427,8 +425,6 @@ const OptionData& IndexCreditDefaultSwapOption::option() const { return option_;
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const std::string& IndexCreditDefaultSwapOption::indexTerm() const { return indexTerm_; }
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bool IndexCreditDefaultSwapOption::knockOut() const { return knockOut_; }
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Real IndexCreditDefaultSwapOption::strike() const { return strike_; }
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const string& IndexCreditDefaultSwapOption::strikeType() const { return strikeType_; }

‎OREData/ored/portfolio/indexcreditdefaultswapoption.hpp‎

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@@ -34,7 +34,7 @@ class IndexCreditDefaultSwapOption : public Trade {
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//! Detailed constructor
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IndexCreditDefaultSwapOption(const ore::data::Envelope& env, const IndexCreditDefaultSwapData& swap,
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const ore::data::OptionData& option, QuantLib::Real strike, bool knockOut = false,
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const ore::data::OptionData& option, QuantLib::Real strike,
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const std::string& indexTerm = "", const std::string& strikeType = "Spread",
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const QuantLib::Date& tradeDate = Date(), const QuantLib::Date& fepStartDate = Date());
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@@ -55,7 +55,6 @@ class IndexCreditDefaultSwapOption : public Trade {
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const IndexCreditDefaultSwapData& swap() const;
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const ore::data::OptionData& option() const;
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const std::string& indexTerm() const;
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bool knockOut() const;
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QuantLib::Real strike() const;
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const std::string& strikeType() const;
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const QuantLib::Date& tradeDate() const;
@@ -74,7 +73,6 @@ class IndexCreditDefaultSwapOption : public Trade {
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IndexCreditDefaultSwapData swap_;
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ore::data::OptionData option_;
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QuantLib::Real strike_;
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bool knockOut_;
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std::string indexTerm_;
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std::string strikeType_;
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QuantLib::Date tradeDate_;

‎OREData/ored/portfolio/legdata.cpp‎

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@@ -1840,7 +1840,7 @@ Leg makeYoYLeg(const LegData& data, const boost::shared_ptr<InflationIndex>& ind
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boost::dynamic_pointer_cast<CapFlooredYoYLegEngineBuilder>(builder);
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string indexname = yoyLegData->index();
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boost::shared_ptr<InflationCouponPricer> couponPricer =
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cappedFlooredYoYBuilder->engine(indexname.replace(indexname.find(" ", 0), 1, ""));
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cappedFlooredYoYBuilder->engine(IndexNameTranslator::instance().oreName(indexname));
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// set coupon pricer for the leg
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@@ -1893,7 +1893,7 @@ Leg makeYoYLeg(const LegData& data, const boost::shared_ptr<InflationIndex>& ind
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boost::dynamic_pointer_cast<CapFlooredNonStandardYoYLegEngineBuilder>(builder);
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string indexname = zcIndex->name();
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boost::shared_ptr<InflationCouponPricer> couponPricer =
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cappedFlooredYoYBuilder->engine(indexname.replace(indexname.find(" ", 0), 1, ""));
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cappedFlooredYoYBuilder->engine(IndexNameTranslator::instance().oreName(indexname));
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// set coupon pricer for the leg
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