Engine Builder for Caps, Floors and Collars on an IborIndex. More...

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

Inheritance diagram for CapFloorEngineBuilder:

Collaboration diagram for CapFloorEngineBuilder:

Public Member Functions
	CapFloorEngineBuilder ()

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
string	keyImpl (const string &index) override

QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const std::string &index) 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 Caps, Floors and Collars on an IborIndex.

Pricing engines are cached by currency

Definition at line 36 of file capfloor.hpp.

Constructor & Destructor Documentation

◆ CapFloorEngineBuilder()

CapFloorEngineBuilder ( )

Definition at line 38 of file capfloor.hpp.

38: CachingEngineBuilder("IborCapModel", "IborCapEngine", {"CapFloor"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

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

Definition: cachingenginebuilder.hpp:58

Member Function Documentation

◆ keyImpl()

string keyImpl ( const string & index )

overrideprotected

Definition at line 41 of file capfloor.hpp.

41{ return index; }

◆ engineImpl()

QuantLib::ext::shared_ptr< PricingEngine > engineImpl ( const std::string & index )

overrideprotected

Definition at line 30 of file capfloor.cpp.

                                                                                             {
    string ccyCode = parseIborIndex(index)->currency().code();
    Handle<YieldTermStructure> yts = market_->discountCurve(ccyCode, configuration(MarketContext::pricing));
    Handle<OptionletVolatilityStructure> ovs = market_->capFloorVol(index, configuration(MarketContext::pricing));
 
    switch (ovs->volatilityType()) {
    case ShiftedLognormal:
        LOG("Build BlackCapFloorEngine for index " << index);
        return QuantLib::ext::make_shared<BlackCapFloorEngine>(yts, ovs, ovs->displacement());
        break;
    case Normal:
        LOG("Build BachelierCapFloorEngine for index " << index);
        return QuantLib::ext::make_shared<BachelierCapFloorEngine>(yts, ovs);
        break;
    default:
        QL_FAIL("Caplet volatility type, " << ovs->volatilityType() << ", not covered in EngineFactory");
        return nullptr; // avoid gcc warning
        break;
    }
}

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Public Member Functions