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

Inheritance diagram for CachingOptionEngineBuilder< T, Args >:

Collaboration diagram for CachingOptionEngineBuilder< T, Args >:

Public Member Functions
	CachingOptionEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes, const AssetClass &assetClass)

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< QuantLib::GeneralizedBlackScholesProcess >	getBlackScholesProcess (const string &assetName, const Currency &ccy, const AssetClass &assetClassUnderlying, const std::vector< Time > &timePoints={}, const bool useFxSpot=true)

Protected Member Functions inherited from CachingEngineBuilder< T, U, Args >
virtual T	keyImpl (Args...)=0

virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

Protected Attributes
AssetClass	assetClass_

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

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

Definition at line 44 of file vanillaoption.hpp.

Constructor & Destructor Documentation

◆ CachingOptionEngineBuilder()

CachingOptionEngineBuilder	(	const string &	model,
		const string &	engine,
		const set< string > &	tradeTypes,
		const AssetClass &	assetClass
	)

Definition at line 46 of file vanillaoption.hpp.

48 : CachingPricingEngineBuilder<T, Args...>(model, engine, tradeTypes), assetClass_(assetClass) {}

ore::data::CachingOptionEngineBuilder::assetClass_

AssetClass assetClass_

Definition: vanillaoption.hpp:109

ore::data::EngineBuilder::engine

const string & engine() const

Return the engine name.

Definition: enginefactory.hpp:111

ore::data::EngineBuilder::tradeTypes

const set< string > & tradeTypes() const

Return the possible trade types.

Definition: enginefactory.hpp:113

ore::data::EngineBuilder::model

const string & model() const

Return the model name.

Definition: enginefactory.hpp:109

ore::data::CachingPricingEngineBuilder

CachingEngineBuilder< T, PricingEngine, Args... > CachingPricingEngineBuilder

Definition: cachingenginebuilder.hpp:83

Member Function Documentation

◆ getBlackScholesProcess()

QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > getBlackScholesProcess	(	const string &	assetName,
		const Currency &	ccy,
		const AssetClass &	assetClassUnderlying,
		const std::vector< Time > &	timePoints = `{}`,
		const bool	useFxSpot = `true`
	)

protected

Definition at line 51 of file vanillaoption.hpp.

                                                                                                                 {},
                                                                             const bool useFxSpot = true) {
 
        using VVTS = QuantExt::BlackMonotoneVarVolTermStructure;
        string config = this->configuration(ore::data::MarketContext::pricing);
 
        if (assetClassUnderlying == AssetClass::EQ) {
            Handle<BlackVolTermStructure> vol = this->market_->equityVol(assetName, config);
            if (!timePoints.empty()) {
                vol = Handle<BlackVolTermStructure>(QuantLib::ext::make_shared<VVTS>(vol, timePoints));
                vol->enableExtrapolation();
            }
            return QuantLib::ext::make_shared<QuantLib::GeneralizedBlackScholesProcess>(
                this->market_->equitySpot(assetName, config), this->market_->equityDividendCurve(assetName, config),
                this->market_->equityForecastCurve(assetName, config), vol);
 
        } else if (assetClassUnderlying == AssetClass::FX) {
            const string& ccyPairCode = assetName + ccy.code();
            Handle<BlackVolTermStructure> vol = this->market_->fxVol(ccyPairCode, config);
            if (!timePoints.empty()) {
                vol = Handle<BlackVolTermStructure>(QuantLib::ext::make_shared<VVTS>(vol, timePoints));
                vol->enableExtrapolation();
            }
            if (useFxSpot) {
                return QuantLib::ext::make_shared<QuantLib::GeneralizedBlackScholesProcess>(
                    this->market_->fxSpot(ccyPairCode, config), this->market_->discountCurve(assetName, config),
                    this->market_->discountCurve(ccy.code(), config), vol);
            }
            return QuantLib::ext::make_shared<QuantLib::GeneralizedBlackScholesProcess>(
                this->market_->fxRate(ccyPairCode, config), this->market_->discountCurve(assetName, config),
                this->market_->discountCurve(ccy.code(), config), vol);
            
 
        } else if (assetClassUnderlying == AssetClass::COM) {
 
            Handle<BlackVolTermStructure> vol = this->market_->commodityVolatility(assetName, config);
            if (!timePoints.empty()) {
                vol = Handle<BlackVolTermStructure>(QuantLib::ext::make_shared<VVTS>(vol, timePoints));
                vol->enableExtrapolation();
            }
 
            // Create the commodity convenience yield curve for the process
            Handle<QuantExt::PriceTermStructure> priceCurve = this->market_->commodityPriceCurve(assetName, config);
            Handle<Quote> commoditySpot(QuantLib::ext::make_shared<QuantExt::DerivedPriceQuote>(priceCurve));
            Handle<YieldTermStructure> discount = this->market_->discountCurve(ccy.code(), config);
            Handle<YieldTermStructure> yield(
                QuantLib::ext::make_shared<QuantExt::PriceTermStructureAdapter>(*priceCurve, *discount));
            yield->enableExtrapolation();
 
            return QuantLib::ext::make_shared<QuantLib::GeneralizedBlackScholesProcess>(commoditySpot, yield, discount, vol);
 
        } else {
            QL_FAIL("Asset class of " << (int)assetClassUnderlying << " not recognized.");
        }
    }

Member Data Documentation

◆ assetClass_

AssetClass assetClass_

protected

Definition at line 109 of file vanillaoption.hpp.

Public Member Functions

Protected Member Functions