CommodityApoAnalyticalEngineBuilder Class Reference

Analytical Engine builder for Commodity Average Price Options. More...

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

Inheritance diagram for CommodityApoAnalyticalEngineBuilder:

Collaboration diagram for CommodityApoAnalyticalEngineBuilder:

Public Member Functions
	CommodityApoAnalyticalEngineBuilder ()
Public Member Functions inherited from CommodityApoBaseEngineBuilder
	CommodityApoBaseEngineBuilder (const std::string &model, const std::string &engine, const std::set< std::string > &tradeTypes)
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
QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engineImpl (const Currency &ccy, const string &name, const string &id, const QuantLib::ext::shared_ptr< QuantExt::CommodityAveragePriceOption > &apo) override
Protected Member Functions inherited from CommodityApoBaseEngineBuilder
std::string	keyImpl (const Currency &ccy, const string &name, const string &id, const QuantLib::ext::shared_ptr< QuantExt::CommodityAveragePriceOption > &) 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

Analytical Engine builder for Commodity Average Price Options.

Pricing engines are cached by currency and underlying name

Definition at line 63 of file commodityapo.hpp.

Constructor & Destructor Documentation

CommodityApoAnalyticalEngineBuilder()

CommodityApoAnalyticalEngineBuilder

(

)

Definition at line 65 of file commodityapo.hpp.

        : CommodityApoBaseEngineBuilder("Black", "AnalyticalApproximation", {"CommodityAveragePriceOption"}) {}

Member Function Documentation

engineImpl()

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engineImpl ( const Currency &  ccy, const string &  name, const string &  id, const QuantLib::ext::shared_ptr< QuantExt::CommodityAveragePriceOption > &  apo  )

overrideprotected

Definition at line 70 of file commodityapo.hpp.

                                                                                               {
 
        Handle<QuantLib::BlackVolTermStructure> vol =
            market_->commodityVolatility(name, configuration(MarketContext::pricing));
        Handle<YieldTermStructure> yts = market_->discountCurve(ccy.code(), configuration(MarketContext::pricing));
 
        Real beta = 0;
        auto param = engineParameters_.find("beta");
        if (param != engineParameters_.end())
            beta = parseReal(param->second);
        else {
            ALOG("Missing engine parameter 'beta' for " << model() << " " << EngineBuilder::engine()
                                                        << ", using default value " << beta);
        }
 
        bool dontCalibrate = false;
        if (auto g = globalParameters_.find("Calibrate"); g != globalParameters_.end()) {
            dontCalibrate = !parseBool(g->second);
        }
 
        auto modelBuilder = QuantLib::ext::make_shared<CommodityApoModelBuilder>(yts, vol, apo, dontCalibrate);
        modelBuilders_.insert(std::make_pair(id, modelBuilder));
 
        return QuantLib::ext::make_shared<QuantExt::CommodityAveragePriceOptionAnalyticalEngine>(yts, modelBuilder->model(),
                                                                                         beta);
    };

Here is the call graph for this function: