Engine builder for bond option. More...

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

Inheritance diagram for BondOptionEngineBuilder:

Collaboration diagram for BondOptionEngineBuilder:

Public Member Functions
	BondOptionEngineBuilder ()

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 std::string	keyImpl (const string &id, const Currency &ccy, const string &creditCurveId, const bool hasCreditRisk, const string &securityId, const string &referenceCurveId, const string &volatilityCurveId) override

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engineImpl (const string &id, const Currency &ccy, const string &creditCurveId, const bool hasCreditRisk, const string &securityId, const string &referenceCurveId, const string &volatilityCurveId) 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

Engine builder for bond option.

Pricing engines are cached by currency, creditCurve, securityId and referenceCurve

Definition at line 47 of file bondoption.hpp.

Constructor & Destructor Documentation

◆ BondOptionEngineBuilder()

BondOptionEngineBuilder ( )

Definition at line 51 of file bondoption.hpp.

51: CachingEngineBuilder("Black", "BlackBondOptionEngine", {"BondOption"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

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

Definition: cachingenginebuilder.hpp:58

Member Function Documentation

◆ keyImpl()

virtual std::string keyImpl	(	const string &	id,
		const Currency &	ccy,
		const string &	creditCurveId,
		const bool	hasCreditRisk,
		const string &	securityId,
		const string &	referenceCurveId,
		const string &	volatilityCurveId
	)

overrideprotectedvirtual

Definition at line 54 of file bondoption.hpp.

                                                                          {
        // id is _not_ part of the key
        return ccy.code() + "_" + creditCurveId + "_" + (hasCreditRisk ? "1_" : "0_") + securityId + "_" +
               referenceCurveId + "_" + volatilityCurveId + "_" + "BondOption";
    }

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engineImpl	(	const string &	id,
		const Currency &	ccy,
		const string &	creditCurveId,
		const bool	hasCreditRisk,
		const string &	securityId,
		const string &	referenceCurveId,
		const string &	volatilityCurveId
	)

overrideprotectedvirtual

Definition at line 63 of file bondoption.hpp.

                                                                                                                   {
 
        Handle<YieldTermStructure> discountCurve =
            market_->discountCurve(ccy.code(), configuration(MarketContext::pricing));
        QL_REQUIRE(!volatilityCurveId.empty(), "BondOptionEngineBuilder: volatility curve ID for trade id '"
                                                   << id << "', security id '" << securityId << "' not given");
        Handle<QuantLib::SwaptionVolatilityStructure> yieldVola =
            market_->yieldVol(volatilityCurveId, configuration(MarketContext::pricing));
        Handle<YieldTermStructure> yts = market_->yieldCurve(referenceCurveId, configuration(MarketContext::pricing));
        Handle<DefaultProbabilityTermStructure> dpts;
        // credit curve may not always be used. If credit curve ID is empty proceed without it
        if (!creditCurveId.empty())
            dpts =
                securitySpecificCreditCurve(market_, securityId, creditCurveId, configuration(MarketContext::pricing))
                    ->curve();
        Handle<Quote> recovery;
        try {
            // try security recovery first
            recovery = market_->recoveryRate(securityId, configuration(MarketContext::pricing));
        } catch (...) {
            // otherwise fall back on curve recovery
            ALOG("security specific recovery rate not found for security ID "
                 << securityId << ", falling back on the recovery rate for credit curve Id " << creditCurveId);
            if (!creditCurveId.empty())
                recovery = market_->recoveryRate(creditCurveId, configuration(MarketContext::pricing));
        }
        Handle<Quote> spread;
        try {
            // spread is optional, pass empty handle to engine if not given (will be treated as 0 spread there)
            spread = market_->securitySpread(securityId, configuration(MarketContext::pricing));
        } catch (...) {
        }
 
        if (!hasCreditRisk) {
            dpts = Handle<DefaultProbabilityTermStructure>();
        }
 
        return QuantLib::ext::make_shared<QuantExt::BlackBondOptionEngine>(
            discountCurve, yieldVola, yts, dpts, recovery, spread, parsePeriod(engineParameter("TimestepPeriod")));
    };

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Public Member Functions