Extending the platform with new instruments

Following is an overview on enhancing Vannarho with new instruments using the example of CMS Spread Structured Swaps with three market variables. We start bottom up (in the libraries layers), starting with Quantlib and the Quantlib extension (QLE), then enhancing the Data level (Market Data and Trade/Leg/Engine Representation) and ending with the Analytics layer.

1. First Steps (QL, QLE)

   1. add Instrument / Index / Coupon

   2. add PricingEngine / CouponPricer

   3. add TermStructure

   4. extend CrossAssetModel (for XVA sim)

2. Second Steps (Market Data)

   1. add MarketDatum, extend MarketDatumParser

   2. add CurveSpec, CurveConfig, Wrapper

   3. extend Market interface, MarketImpl

   4. extend TodaysMarket / TodaysMarketParameters

   5. extend index parser

3. Third Steps (Portfolio)

   1. extend LegData

   2. add Trade

   3. add EngineBuilder, TradeBuilder, LegBuilder

4. Fourth Steps (Simulation, Sensitivities etc)

   1. extend Scenario

   2. extend ScenarioSimMarket / ScenarioSimMarketParameters

   3. extend CrossAssetModelScenarioGenerator (Data, Builder)

   4. extend SensitivityScenarioGenerator, SensitivityScenarioData

   5. extend StressScenarioGenerator, StressScenarioData

   6. extend FixingManager

5. Fifth Steps (Miscellaneous)

   1. extend Curve Ordering