AscotIntrinsicEngineBuilder Class Reference

#include <ored/portfolio/builders/ascot.hpp>

Inheritance diagram for AscotIntrinsicEngineBuilder:

Collaboration diagram for AscotIntrinsicEngineBuilder:

Public Member Functions
	AscotIntrinsicEngineBuilder ()
Public Member Functions inherited from CachingEngineBuilder< T, U, Args >
	CachingEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)
QuantLib::ext::shared_ptr< U >	engine (Args... params)
	Return a PricingEngine or a FloatingRateCouponPricer. More...
void	reset () override
	reset the builder (e.g. clear cache) More...
Public Member Functions inherited from EngineBuilder
	EngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)
virtual	~EngineBuilder ()
	Virtual destructor. More...
const string &	model () const
	Return the model name. More...
const string &	engine () const
	Return the engine name. More...
const set< string > &	tradeTypes () const
	Return the possible trade types. More...
const string &	configuration (const MarketContext &key)
	Return a configuration (or the default one if key not found) More...
virtual void	reset ()
	reset the builder (e.g. clear cache) More...
void	init (const QuantLib::ext::shared_ptr< Market > market, const map< MarketContext, string > &configurations, const map< string, string > &modelParameters, const map< string, string > &engineParameters, const std::map< std::string, std::string > &globalParameters={})
	Initialise this Builder with the market and parameters to use. More...
const set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &	modelBuilders () const
	return model builders More...
std::string	engineParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const
std::string	modelParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const

Protected Member Functions
QuantLib::ext::shared_ptr< QuantExt::PricingEngine >	engineImpl (const std::string &id, const std::string &ccy) override
Protected Member Functions inherited from AscotEngineBuilder
	AscotEngineBuilder (const std::string &model, const std::string &engine)
std::string	keyImpl (const std::string &id, const std::string &ccy) override
Protected Member Functions inherited from CachingEngineBuilder< T, U, Args >
virtual T	keyImpl (Args...)=0
virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

Additional Inherited Members
Protected Attributes inherited from CachingEngineBuilder< T, U, Args >
map< T, QuantLib::ext::shared_ptr< U > >	engines_
Protected Attributes inherited from EngineBuilder
string	model_
string	engine_
set< string >	tradeTypes_
QuantLib::ext::shared_ptr< Market >	market_
map< MarketContext, string >	configurations_
map< string, string >	modelParameters_
map< string, string >	engineParameters_
std::map< std::string, std::string >	globalParameters_
set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_

Detailed Description

Definition at line 46 of file ascot.hpp.

Constructor & Destructor Documentation

AscotIntrinsicEngineBuilder()

AscotIntrinsicEngineBuilder

(

)

Definition at line 48 of file ascot.hpp.

: AscotEngineBuilder("BlackScholes", "Intrinsic") {}

Member Function Documentation

engineImpl()

QuantLib::ext::shared_ptr< QuantExt::PricingEngine > engineImpl ( const std::string &  id, const std::string &  ccy  )

overrideprotected

Definition at line 35 of file ascot.cpp.

                                               {
 
    std::string config = this->configuration(ore::data::MarketContext::pricing);
 
    auto discountCurve = market_->discountCurve(ccy, config);
    
    return QuantLib::ext::make_shared<QuantExt::IntrinsicAscotEngine>(discountCurve);
}

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