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

Inheritance diagram for AsianOptionScriptedEngineBuilder:

Collaboration diagram for AsianOptionScriptedEngineBuilder:

Public Member Functions
	AsianOptionScriptedEngineBuilder ()

QuantLib::ext::shared_ptr< ore::data::Trade >	build (const Trade *trade, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory) override

std::string	effectiveTradeType () const override

Public Member Functions inherited from DelegatingEngineBuilder
virtual QuantLib::ext::shared_ptr< ore::data::Trade >	build (const ore::data::Trade *, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory)=0

virtual std::string	effectiveTradeType () const =0

	EngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)

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

Additional Inherited Members
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 293 of file asianoption.hpp.

Constructor & Destructor Documentation

◆ AsianOptionScriptedEngineBuilder()

AsianOptionScriptedEngineBuilder ( )

Definition at line 295 of file asianoption.hpp.

        : DelegatingEngineBuilder("ScriptedTrade", "ScriptedTrade",
                                  {"EquityAsianOptionArithmeticPrice", "EquityAsianOptionArithmeticStrike",
                                   "EquityAsianOptionGeometricPrice", "EquityAsianOptionGeometricStrike",
                                   "FxAsianOptionArithmeticPrice", "FxAsianOptionArithmeticStrike",
                                   "FxAsianOptionGeometricPrice", "FxAsianOptionGeometricStrike",
                                   "CommodityAsianOptionArithmeticPrice", "CommodityAsianOptionArithmeticStrike",
                                   "CommodityAsianOptionGeometricPrice", "CommodityAsianOptionGeometricStrike"}) {}

Member Function Documentation

◆ build()

QuantLib::ext::shared_ptr< ore::data::Trade > build	(	const Trade *	trade,
		const QuantLib::ext::shared_ptr< EngineFactory > &	engineFactory
	)

overridevirtual

Implements DelegatingEngineBuilder.

Definition at line 24 of file asianoption.cpp.

                                                                                                                     {
 
    auto asianOption = dynamic_cast<const ore::data::AsianOption*>(trade);
 
    QL_REQUIRE(
        asianOption != nullptr,
        "AsianOptionScriptedEngineBuilder: internal error, could not cast to ore::data::AsianOption. Contact dev.");
 
    auto basketOption = QuantLib::ext::make_shared<BasketOption>(
        asianOption->payCurrency(), std::to_string(asianOption->quantity()), asianOption->strike(),
        std::vector<QuantLib::ext::shared_ptr<ore::data::Underlying>>(1, asianOption->underlying()), asianOption->option(),
        asianOption->settlementDate() == QuantLib::Null<QuantLib::Date>()
            ? ""
            : ore::data::to_string(asianOption->settlementDate()),
        asianOption->observationDates());
 
    basketOption->build(engineFactory);
 
    return basketOption;
}

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◆ effectiveTradeType()

std::string effectiveTradeType ( ) const

overridevirtual

Implements DelegatingEngineBuilder.

Definition at line 305 of file asianoption.hpp.

305{ return "ScriptedTrade"; }