Engine builder for Cliquet Options. More...

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

Inheritance diagram for CliquetOptionEngineBuilder:

Collaboration diagram for CliquetOptionEngineBuilder:

Public Member Functions
	CliquetOptionEngineBuilder (const std::string &model, const std::string &engine, const std::set< std::string > &tradeTypes, const ore::data::AssetClass &assetClass)

QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engine (const std::string &assetName, const QuantLib::Currency &ccy)

QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engine (const QuantLib::Currency &ccy1, const QuantLib::Currency &ccy2)

Public Member Functions inherited from CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & >
	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
virtual std::string	keyImpl (const std::string &assetName, const QuantLib::Currency &ccy, const ore::data::AssetClass &assetClass) override

Protected Member Functions inherited from CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & >
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

Additional Inherited Members
Protected Attributes inherited from CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & >
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

Engine builder for Cliquet Options.

Pricing engines are cached by currency

Definition at line 38 of file cliquetoption.hpp.

Constructor & Destructor Documentation

◆ CliquetOptionEngineBuilder()

CliquetOptionEngineBuilder	(	const std::string &	model,
		const std::string &	engine,
		const std::set< std::string > &	tradeTypes,
		const ore::data::AssetClass &	assetClass
	)

Definition at line 42 of file cliquetoption.hpp.

44 : CachingOptionEngineBuilder(model, engine, tradeTypes, assetClass) {}

ore::data::CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & >::CachingOptionEngineBuilder

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

Definition: vanillaoption.hpp:46

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

Member Function Documentation

◆ engine() [1/2]

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engine	(	const std::string &	assetName,
		const QuantLib::Currency &	ccy
	)

Definition at line 46 of file cliquetoption.hpp.

                                                                                                                 {
        return ore::data::CachingOptionEngineBuilder<std::string, const std::string&, const QuantLib::Currency&,
                                                     const ore::data::AssetClass&>::engine(assetName, ccy, assetClass_);
    }

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◆ engine() [2/2]

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engine	(	const QuantLib::Currency &	ccy1,
		const QuantLib::Currency &	ccy2
	)

Definition at line 51 of file cliquetoption.hpp.

                                                                                                                    {
        return ore::data::CachingOptionEngineBuilder<std::string, const std::string&, const QuantLib::Currency&,
                                                     const ore::data::AssetClass&>::engine(ccy1.code(), ccy2,
                                                                                           assetClass_);
    }

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◆ keyImpl()

virtual std::string keyImpl	(	const std::string &	assetName,
		const QuantLib::Currency &	ccy,
		const ore::data::AssetClass &	assetClass
	)

overrideprotectedvirtual

Definition at line 58 of file cliquetoption.hpp.

                                                                              {
        return assetName + "/" + ccy.code();
    }

Public Member Functions

Protected Member Functions