Black CDS option engine builder for CDS options. More...

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

Inheritance diagram for BlackCdsOptionEngineBuilder:

Collaboration diagram for BlackCdsOptionEngineBuilder:

Public Member Functions
	BlackCdsOptionEngineBuilder ()

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
virtual QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const Currency &ccy, const string &creditCurveId, const string &term) override

Protected Member Functions inherited from CreditDefaultSwapOptionEngineBuilder
	CreditDefaultSwapOptionEngineBuilder (const std::string &model, const std::string &engine)

virtual string	keyImpl (const Currency &, const string &creditCurveId, const string &term) 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

Black CDS option engine builder for CDS options.

This class creates a BlackCdsOptionEngine

Definition at line 56 of file creditdefaultswapoption.hpp.

Constructor & Destructor Documentation

◆ BlackCdsOptionEngineBuilder()

BlackCdsOptionEngineBuilder ( )

Definition at line 58 of file creditdefaultswapoption.hpp.

59 : CreditDefaultSwapOptionEngineBuilder("Black", "BlackCdsOptionEngine") {}

ore::data::CreditDefaultSwapOptionEngineBuilder::CreditDefaultSwapOptionEngineBuilder

CreditDefaultSwapOptionEngineBuilder(const std::string &model, const std::string &engine)

Definition: creditdefaultswapoption.hpp:42

Member Function Documentation

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const Currency &	ccy,
		const string &	creditCurveId,
		const string &	term
	)

overrideprotectedvirtual

Definition at line 62 of file creditdefaultswapoption.hpp.

                                                                                     {
 
        string curveId = term.empty() ? creditCurveId : creditCurveId + "-" + term;
        Handle<YieldTermStructure> yts = market_->discountCurve(ccy.code(), configuration(MarketContext::pricing));
        Handle<QuantExt::CreditVolCurve> vol = market_->cdsVol(curveId, configuration(MarketContext::pricing));
        Handle<DefaultProbabilityTermStructure> dpts =
            market_->defaultCurve(creditCurveId, configuration(MarketContext::pricing))->curve();
        Handle<Quote> recovery = market_->recoveryRate(creditCurveId, configuration(MarketContext::pricing));
        return QuantLib::ext::make_shared<QuantExt::BlackCdsOptionEngine>(dpts, recovery->value(), yts, vol);
    }

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Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BlackCdsOptionEngineBuilder()

Member Function Documentation

◆ engineImpl()