CdoEngineBuilder Class Reference

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

Inheritance diagram for CdoEngineBuilder:

Collaboration diagram for CdoEngineBuilder:

Public Member Functions
	CdoEngineBuilder (const std::string &model, const std::string &engine)
virtual QuantLib::ext::shared_ptr< QuantExt::DefaultLossModel >	lossModel (const string &qualifier, const vector< Real > &recoveryRates, const Real &detachmentPoint, const QuantLib::Date &trancheMaturity, bool homogeneous)=0
CreditPortfolioSensitivityDecomposition	sensitivityDecomposition () const
bool	calibrateConstituentCurve () const
std::vector< QuantLib::Period >	calibrationIndexTerms () const
bool	optimizedSensitivityCalculation () const
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 vector< string >	keyImpl (const Currency &ccy, bool isIndexCDS, const vector< string > &creditCurves, const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > &calibrationFactor, const QuantLib::Real fixedRecovery) 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

Definition at line 59 of file cdo.hpp.

Constructor & Destructor Documentation

CdoEngineBuilder()

CdoEngineBuilder	(	const std::string &	model,
		const std::string &	engine
	)

Definition at line 64 of file cdo.hpp.

        : CachingEngineBuilder(model, engine, {"SyntheticCDO"}) {}

Member Function Documentation

lossModel()

virtual QuantLib::ext::shared_ptr< QuantExt::DefaultLossModel > lossModel ( const string &  qualifier, const vector< Real > &  recoveryRates, const Real &  detachmentPoint, const QuantLib::Date &  trancheMaturity, bool  homogeneous  )

pure virtual

Implemented in GaussCopulaBucketingCdoEngineBuilder.

sensitivityDecomposition()

CreditPortfolioSensitivityDecomposition sensitivityDecomposition

(

)

const

Definition at line 71 of file cdo.hpp.

                                                                             {
        return parseCreditPortfolioSensitivityDecomposition(
                                engineParameter("SensitivityDecomposition", {}, false, "Underlying"));
    }

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calibrateConstituentCurve()

bool calibrateConstituentCurve

(

)

const

Definition at line 76 of file cdo.hpp.

                                           {
        return parseBool(engineParameter("calibrateConstituentCurves", {}, false, "false"));
    }

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calibrationIndexTerms()

std::vector< QuantLib::Period > calibrationIndexTerms

(

)

const

Definition at line 80 of file cdo.hpp.

                                                            {
        return parseListOfValues<QuantLib::Period>(engineParameter("calibrationIndexTerms", {}, false, ""),
                                                   parsePeriod);
    }

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optimizedSensitivityCalculation()

bool optimizedSensitivityCalculation

(

)

const

Definition at line 85 of file cdo.hpp.

                                                 {
        auto rt = globalParameters_.find("RunType");
        return sensitivityDecomposition() != CreditPortfolioSensitivityDecomposition::Underlying &&
               (rt != globalParameters_.end() &&
                (rt->second == "SensitivityDelta" || rt->second == "SensitivityDeltaGamma"));
    }

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keyImpl()

virtual vector< string > keyImpl ( const Currency &  ccy, bool  isIndexCDS, const vector< string > &  creditCurves, const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > &  calibrationFactor, const QuantLib::Real  fixedRecovery  )

overrideprotectedvirtual

Definition at line 93 of file cdo.hpp.

                                                                              {
        vector<string> res;
        res.reserve(creditCurves.size() + 4);
        res.emplace_back(ccy.code());
        if (isIndexCDS)
            res.emplace_back("_indexCDS");
        res.insert(res.end(), creditCurves.begin(), creditCurves.end());
        if (!close_enough(calibrationFactor->value(), 1.0) && calibrationFactor->value() != QuantLib::Null<Real>()) {
            res.emplace_back(to_string(calibrationFactor->value()));
        }            
        if (fixedRecovery != QuantLib::Null<QuantLib::Real>()) {
            res.emplace_back(to_string(fixedRecovery));
        }
        return res;
    }

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