CommoditySpreadOptionEngineBuilder Class Reference

Analytical Engine builder for Commodity Spread Options. More...

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

Inheritance diagram for CommoditySpreadOptionEngineBuilder:

Collaboration diagram for CommoditySpreadOptionEngineBuilder:

Public Member Functions
	CommoditySpreadOptionEngineBuilder ()
Public Member Functions inherited from CommoditySpreadOptionBaseEngineBuilder
	CommoditySpreadOptionBaseEngineBuilder (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, QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > const &longIndex, QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > const &shortIndex, string const &id) override
Protected Member Functions inherited from CommoditySpreadOptionBaseEngineBuilder
std::string	keyImpl (const Currency &, QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > const &, QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > const &, std::string const &id) 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 Spread Options.

Pricing engines are cached by currency

Definition at line 54 of file commodityspreadoption.hpp.

Constructor & Destructor Documentation

CommoditySpreadOptionEngineBuilder()

CommoditySpreadOptionEngineBuilder

(

)

Definition at line 56 of file commodityspreadoption.hpp.

        : CommoditySpreadOptionBaseEngineBuilder("BlackScholes", "CommoditySpreadOptionEngine", {"CommoditySpreadOption"}){}

Member Function Documentation

engineImpl()

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engineImpl ( const Currency &  ccy, QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > const &  longIndex, QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > const &  shortIndex, string const &  id  )

overrideprotected

Definition at line 60 of file commodityspreadoption.hpp.

                                                                                                                                                                                                                                            {
        Handle<YieldTermStructure> yts = market_->discountCurve(ccy.code(), configuration(MarketContext::pricing));
        Handle<QuantLib::BlackVolTermStructure> volLong =
            market_->commodityVolatility(longIndex->underlyingName(), configuration(MarketContext::pricing));
        Handle<QuantLib::BlackVolTermStructure> volShort =
            market_->commodityVolatility(shortIndex->underlyingName(), configuration(MarketContext::pricing));
        Real beta = 0;
        Handle<QuantExt::CorrelationTermStructure> rho{nullptr};
        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);
        }
        if(longIndex->underlyingName() == shortIndex->underlyingName()){ // calendar spread option
            rho = Handle<QuantExt::CorrelationTermStructure>(QuantLib::ext::make_shared<QuantExt::FlatCorrelation>(0,QuantLib::NullCalendar(), 1.0, QuantLib::Actual365Fixed()));
        }else {
            rho = market_->correlationCurve("COMM-"+longIndex->underlyingName(), "COMM-"+shortIndex->underlyingName(),
                                                  configuration(MarketContext::pricing));
 
        }
        return QuantLib::ext::make_shared<QuantExt::CommoditySpreadOptionAnalyticalEngine>(yts, volLong, volShort, rho, beta);
    }

Here is the call graph for this function: