equityforward.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file portfolio/builders/equityforward.hpp
  \brief Builder that returns an engine to price an equity forward
    \ingroup builders
*/
 
#pragma once
 
#include <boost/make_shared.hpp>
#include <ored/portfolio/builders/cachingenginebuilder.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <qle/pricingengines/discountingequityforwardengine.hpp>
 
namespace ore {
namespace data {
 
//! Engine Builder for European Equity Forwards
/*! Pricing engines are cached by equity/currency
 
    \ingroup builders
 */
class EquityForwardEngineBuilder : public CachingPricingEngineBuilder<string, const string&, const Currency&> {
public:
    EquityForwardEngineBuilder()
        : CachingEngineBuilder("DiscountedCashflows", "DiscountingEquityForwardEngine", {"EquityForward"}) {}
 
protected:
    virtual string keyImpl(const string& equityName, const Currency& ccy) override {
        return equityName + "/" + ccy.code();
    }
 
    virtual QuantLib::ext::shared_ptr<PricingEngine> engineImpl(const string& equityName, const Currency& ccy) override {
        return QuantLib::ext::make_shared<QuantExt::DiscountingEquityForwardEngine>(
            market_->equityForecastCurve(equityName, configuration(MarketContext::pricing)),
            market_->equityDividendCurve(equityName, configuration(MarketContext::pricing)),
            market_->equitySpot(equityName, configuration(MarketContext::pricing)),
            market_->discountCurve(ccy.code(), configuration(MarketContext::pricing)));
    }
};
 
} // namespace data
} // namespace ore