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

Inheritance diagram for CreditLinkedSwapEngineBuilder:

Collaboration diagram for CreditLinkedSwapEngineBuilder:

Public Member Functions
	CreditLinkedSwapEngineBuilder ()

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

Private Member Functions
std::string	keyImpl (const std::string &currency, const std::string &creditCurveId) override

QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const std::string &currency, const std::string &creditCurveId) override

Additional Inherited Members
Protected Member Functions inherited from CachingEngineBuilder< T, U, Args >
virtual T	keyImpl (Args...)=0

virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

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

Definition at line 28 of file creditlinkedswap.hpp.

Constructor & Destructor Documentation

◆ CreditLinkedSwapEngineBuilder()

CreditLinkedSwapEngineBuilder ( )

Definition at line 31 of file creditlinkedswap.hpp.

32 : CachingEngineBuilder("DiscountedCashflows", "DiscountingCreditLinkedSwapEngine", {"CreditLinkedSwap"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

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

Definition: cachingenginebuilder.hpp:58

Member Function Documentation

◆ keyImpl()

std::string keyImpl	(	const std::string &	currency,
		const std::string &	creditCurveId
	)

overrideprivate

Definition at line 26 of file creditlinkedswap.cpp.

                                                                                                          {
    return currency + "_" + creditCurveId;
}

◆ engineImpl()

QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const std::string &	currency,
		const std::string &	creditCurveId
	)

overrideprivate

Definition at line 30 of file creditlinkedswap.cpp.

                                                                                                           {
 
    auto irCurve = market_->discountCurve(currency, configuration(MarketContext::pricing));
    auto creditCurve = market_->defaultCurve(creditCurveId, configuration(MarketContext::pricing))->curve();
    Handle<Quote> marketRecovery = market_->recoveryRate(creditCurveId, configuration(MarketContext::pricing));
 
    bool generateAdditionalResults = false;
    auto p = globalParameters_.find("GenerateAdditionalResults");
    if (p != globalParameters_.end()) {
        generateAdditionalResults = parseBool(p->second);
    }
 
    return QuantLib::ext::make_shared<QuantExt::DiscountingCreditLinkedSwapEngine>(
        irCurve, creditCurve, marketRecovery, parseInteger(engineParameter("TimeStepsPerYear")),
        generateAdditionalResults);
}

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Public Member Functions