CouponPricer Builder for CmsSpreadLeg. More...

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

Inheritance diagram for CmsSpreadCouponPricerBuilder:

Collaboration diagram for CmsSpreadCouponPricerBuilder:

Public Member Functions
	CmsSpreadCouponPricerBuilder ()

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 Currency &ccy, const string &index1, const string &index2, const QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer > &cmsPricer) override

QuantLib::ext::shared_ptr< FloatingRateCouponPricer >	engineImpl (const Currency &ccy, const string &index1, const string &index2, const QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer > &cmsPricer) 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

CouponPricer Builder for CmsSpreadLeg.

The coupon pricers are cached by currency

Definition at line 41 of file cmsspread.hpp.

Constructor & Destructor Documentation

◆ CmsSpreadCouponPricerBuilder()

CmsSpreadCouponPricerBuilder ( )

Definition at line 45 of file cmsspread.hpp.

45: CachingEngineBuilder("BrigoMercurio", "Analytic", {"CMSSpread"}) {}

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 Currency &	ccy,
		const string &	index1,
		const string &	index2,
		const QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer > &	cmsPricer
	)

overrideprotected

Definition at line 48 of file cmsspread.hpp.

                                                                                             {
 
        return index1 + ":" + index2;
    }

◆ engineImpl()

QuantLib::ext::shared_ptr< FloatingRateCouponPricer > engineImpl	(	const Currency &	ccy,
		const string &	index1,
		const string &	index2,
		const QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer > &	cmsPricer
	)

overrideprotected

Definition at line 32 of file cmsspread.cpp.

                                                                                                  {
 
    QuantLib::Handle<QuantExt::CorrelationTermStructure> corrCurve(
        QuantLib::ext::make_shared<QuantExt::FlatCorrelation>(0, NullCalendar(), 0.0, Actual365Fixed()));
    try {
        corrCurve = market_->correlationCurve(index1, index2, configuration(MarketContext::pricing));
    } catch (...) {
        WLOG("no correlation curve for " << index1 << ", " << index2 << " found, fall back to zero correlation.");
    }
 
    const string& ccyCode = ccy.code();
    return QuantLib::ext::make_shared<QuantExt::LognormalCmsSpreadPricer>(
        cmsPricer, corrCurve, market_->discountCurve(ccyCode, configuration(MarketContext::pricing)),
        parseInteger(engineParameter("IntegrationPoints")));
}

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Public Member Functions