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Lapin

Equity/FX index

All,

I have always use QL for pricing primary market deals, meaning no need to follow trade life cycles.
Now I am faced with this dilemma for FX/Equity.
It looks to me that in order to keep the good work done in FI, we will need to create an index type for Equity and FX (for example in FX we could create a fixing type WMCO), but this will need to be passed in the constructor of the instrument (like in VanillaSwap for example).

This way, we should be able to follow the life cycle of the trade (like for range accruals or autocallable structures). It will come with the burden of redesigning the instruments already there.

Does it make sense, or is there any other way to do this life cycle for trade ex-FI?

Thanks

Peter Caspers-4

Re: Equity/FX index

Hi Guillaume,

I had the same need and so far came up with this (experimental and
inofficial) kind of thing

https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/experimental/fx/fxindex.hpp

used for example here

https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/experimental/fx/fxtarf.hpp#L100-L108

Is that what you are talking about ?

Best regards
Peter

On 24 August 2015 at 10:15, Lapin <[hidden email]> wrote:

> All,
>
> I have always use QL for pricing primary market deals, meaning no need to
> follow trade life cycles.
> Now I am faced with this dilemma for FX/Equity.
> It looks to me that in order to keep the good work done in FI, we will need
> to create an index type for Equity and FX (for example in FX we could create
> a fixing type WMCO), but this will need to be passed in the constructor of
> the instrument (like in VanillaSwap for example).
>
> This way, we should be able to follow the life cycle of the trade (like for
> range accruals or autocallable structures). It will come with the burden of
> redesigning the instruments already there.
>
> Does it make sense, or is there any other way to do this life cycle for
> trade ex-FI?
>
> Thanks
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Equity-FX-index-tp16836.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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Lapin

Re: Equity/FX index

Hi Peter,

Yes this is indeed what I was talking about.
It seems we agree on the development needed to have a life cycle for FX or Equity.

There is also a difference between FX/EQ and FI: barriers... and the fact they can be monitored on High/Low and not only on a fixing.

Lapin

Re: Equity/FX index

Also, do you agree that such a change should be generalized at all the equity/FX payoffs?
Even a vanilla option would need such a feature in order to correctly calculate the redemption at maturity.

Peter Caspers-4

Re: Equity/FX index

as long as it is necessary for pricing I would agree - so yes we
should have it already for a cash settled option; technically the
index class is suitable for daily fixings, but not to store additional
fields like low / high at the same time (as far as I know), so some
work would be required here, too.

what do you mean by life cycle, do you use QuantLib for a full PnL
measurement or the like ?

On 24 August 2015 at 15:37, Lapin <[hidden email]> wrote:

> Also, do you agree that such a change should be generalized at all the
> equity/FX payoffs?
> Even a vanilla option would need such a feature in order to correctly
> calculate the redemption at maturity.
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Equity-FX-index-tp16836p16840.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Lapin

Re: Equity/FX index

Peter,

I am seriously considering QL to run a risk engine, and to revalue trades as they mature.
For this, we need to make sure that fixings are up to date.
For example we need to make sure an autocall is expired one we are autocalled otherwise any risk measure is meaningless.
Right now on equity, I have only use QL for pricing primary trades, so I was nto concerned about the fixings...

Peter Caspers-4

Re: Equity/FX index

yes sure, that seems totally in line with the spirit of QL

On 24 August 2015 at 16:37, Lapin <[hidden email]> wrote:

> Peter,
>
> I am seriously considering QL to run a risk engine, and to revalue trades as
> they mature.
> For this, we need to make sure that fixings are up to date.
> For example we need to make sure an autocall is expired one we are
> autocalled otherwise any risk measure is meaningless.
> Right now on equity, I have only use QL for pricing primary trades, so I was
> nto concerned about the fixings...
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Equity-FX-index-tp16836p16842.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users