CachingEngineBuilder< T, U, Args > Class Template Reference

Abstract template EngineBuilder class that can cache engines and coupon pricers. More...

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

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Public Member Functions
	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 T	keyImpl (Args...)=0
virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

Protected Attributes
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

template<class T, class U, typename... Args>
class ore::data::CachingEngineBuilder< T, U, Args >

Abstract template EngineBuilder class that can cache engines and coupon pricers.

Subclasses must implement two protected methods:

• keyImpl() returns a key that is used to cache
• engineImpl() return a new pricing engine or coupon pricer. When the engine() method is called the CachingEngineBuilder first looks in it's cache to see if it has an engine or coupon pricer for this key already if so it is returned, otherwise a new engine or coupon pricer is created, stored and returned.

The first template argument is the cache key type (e.g. a std::string) The second template argument is PricingEngine or FloatingRateCouponPricer The remaining variable arguments are to be passed to engine() and engineImpl(), these are the specific parameters required to build an engine or coupon pricer for this trade type.

Definition at line 51 of file cachingenginebuilder.hpp.

Constructor & Destructor Documentation

CachingEngineBuilder()

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

Constructor that takes a model and engine name

Parameters

model	the model name
engine	the engine name
tradeTypes	a set of trade types

Definition at line 58 of file cachingenginebuilder.hpp.

        : EngineBuilder(model, engine, tradeTypes) {}

Member Function Documentation

engine()

QuantLib::ext::shared_ptr< U > engine

(

Args...

params

)

Return a PricingEngine or a FloatingRateCouponPricer.

Definition at line 62 of file cachingenginebuilder.hpp.

                                                    {
        T key = keyImpl(params...);
        if (engines_.find(key) == engines_.end()) {
            // build first (in case it throws)
            QuantLib::ext::shared_ptr<U> engine = engineImpl(params...);
            // then add to map
            engines_[key] = engine;
        }
        return engines_[key];
    }

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reset()

void reset ( )

overridevirtual

reset the builder (e.g. clear cache)

Reimplemented from EngineBuilder.

Definition at line 73 of file cachingenginebuilder.hpp.

{ engines_.clear(); }

keyImpl()

virtual T keyImpl ( Args...  )

protectedpure virtual

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engineImpl()

virtual QuantLib::ext::shared_ptr< U > engineImpl ( Args...  )

protectedpure virtual

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Member Data Documentation

engines_

map<T, QuantLib::ext::shared_ptr<U> > engines_

protected

Definition at line 79 of file cachingenginebuilder.hpp.