Engine builder for Commodity Swaps. More...

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

Inheritance diagram for CommoditySwapEngineBuilder:

Collaboration diagram for CommoditySwapEngineBuilder:

Public Member Functions
	CommoditySwapEngineBuilder ()

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 Currency &ccy) override

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engineImpl (const Currency &ccy) 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

Engine builder for Commodity Swaps.

Pricing engines are cached by currency

Definition at line 39 of file commodityswap.hpp.

Constructor & Destructor Documentation

◆ CommoditySwapEngineBuilder()

CommoditySwapEngineBuilder ( )

Definition at line 41 of file commodityswap.hpp.

42 : CachingEngineBuilder("DiscountedCashflows", "CommoditySwapEngine", {"CommoditySwap"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

CachingEngineBuilder(const string &model, const string &engine, const set< string > &tradeTypes)

Definition: cachingenginebuilder.hpp:58

Member Function Documentation

◆ keyImpl()

virtual std::string keyImpl ( const Currency & ccy )

overrideprotectedvirtual

Definition at line 45 of file commodityswap.hpp.

45{ return ccy.code(); }

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engineImpl ( const Currency & ccy )

overrideprotectedvirtual

Definition at line 47 of file commodityswap.hpp.

                                                                                                  {
 
        Handle<YieldTermStructure> yts = market_->discountCurve(ccy.code(), configuration(MarketContext::pricing));
        return QuantLib::ext::make_shared<QuantLib::DiscountingSwapEngine>(yts);
    };

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Public Member Functions