CboMCEngineBuilder Class Reference

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

Inheritance diagram for CboMCEngineBuilder:

Collaboration diagram for CboMCEngineBuilder:

Public Member Functions
	CboMCEngineBuilder ()
	constructor that builds a usual pricing engine More...
QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engine (const QuantLib::ext::shared_ptr< QuantLib::Pool > &pool)
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

Additional Inherited Members
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

Definition at line 32 of file cbo.hpp.

Constructor & Destructor Documentation

CboMCEngineBuilder()

CboMCEngineBuilder

(

)

constructor that builds a usual pricing engine

Definition at line 35 of file cbo.hpp.

: EngineBuilder("OneFactorCopula", "MonteCarloCBOEngine", {"CBO"}) {};

Member Function Documentation

engine()

QuantLib::ext::shared_ptr< PricingEngine > engine

(

const QuantLib::ext::shared_ptr< QuantLib::Pool > &

pool

)

Definition at line 40 of file cbo.cpp.

                                                                                                       {
 
    // get parameter
    Size samples = parseInteger(engineParameter("Samples"));
    Size bins = parseInteger(engineParameter("Bins"));
    long seed = parseInteger(engineParameter("Seed"));
    double corr = parseReal(engineParameter("Correlation"));
 
    double errorTolerance = parseReal(engineParameter("ErrorTolerance", {}, false, "1.0e-6"));
 
    string lossDistributionPeriods_str = engineParameter("LossDistributionPeriods");
    std::vector<string> lossDistributionPeriods_vec = parseListOfValues(lossDistributionPeriods_str);
    std::vector<QuantLib::Period> lossDistributionPeriods;
    for (Size i = 0; i < lossDistributionPeriods_vec.size(); i++)
        lossDistributionPeriods.push_back(parsePeriod(lossDistributionPeriods_vec[i]));
 
    QuantLib::ext::shared_ptr<SimpleQuote> correlationQuote(new SimpleQuote(corr));
    Handle<Quote> correlationHandle = Handle<Quote>(correlationQuote);
    QuantLib::ext::shared_ptr<OneFactorCopula> gaussianCopula(new OneFactorGaussianCopula(correlationHandle));
    RelinkableHandle<OneFactorCopula> copula(gaussianCopula);
 
    vector<DefaultProbKey> keys(pool->size(), dummyDefaultProbKey());
 
    QuantLib::ext::shared_ptr<RandomDefaultModel> rdm(new GaussianRandomDefaultModel(pool, keys, copula, 1.e-6, seed));
 
    return QuantLib::ext::make_shared<QuantExt::MonteCarloCBOEngine>(rdm, samples, bins, errorTolerance,
                                                             lossDistributionPeriods);
};

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