Discounted Cashflows Engine Builder for Cross Currency Swaps. More...

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

Inheritance diagram for CrossCurrencySwapEngineBuilder:

Collaboration diagram for CrossCurrencySwapEngineBuilder:

Public Member Functions
	CrossCurrencySwapEngineBuilder ()

Public Member Functions inherited from CrossCurrencySwapEngineBuilderBase
	CrossCurrencySwapEngineBuilderBase (const std::string &model, const std::string &engine)

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 QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const std::vector< Currency > &ccys, const Currency &base) override

Protected Member Functions inherited from CrossCurrencySwapEngineBuilderBase
virtual string	keyImpl (const std::vector< Currency > &ccys, const Currency &base) 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

Discounted Cashflows Engine Builder for Cross Currency Swaps.

Definition at line 126 of file swap.hpp.

Constructor & Destructor Documentation

◆ CrossCurrencySwapEngineBuilder()

CrossCurrencySwapEngineBuilder ( )

Definition at line 128 of file swap.hpp.

129 : CrossCurrencySwapEngineBuilderBase("DiscountedCashflows", "DiscountingCrossCurrencySwapEngine") {}

ore::data::CrossCurrencySwapEngineBuilderBase::CrossCurrencySwapEngineBuilderBase

CrossCurrencySwapEngineBuilderBase(const std::string &model, const std::string &engine)

Definition: swap.hpp:112

Member Function Documentation

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const std::vector< Currency > &	ccys,
		const Currency &	base
	)

overrideprotectedvirtual

Definition at line 132 of file swap.hpp.

                                                                                       {
 
        std::vector<Handle<YieldTermStructure>> discountCurves;
        std::vector<Handle<Quote>> fxQuotes;
        std::string config = configuration(MarketContext::pricing);
        std::string baseCcyCode = base.code();
        for (Size i = 0; i < ccys.size(); ++i) {
            string ccyCode = ccys[i].code();
            discountCurves.push_back(xccyYieldCurve(market_, ccyCode, config));
            string pair = ccyCode + baseCcyCode;
            fxQuotes.push_back(market_->fxRate(pair, config));
        }
 
        return QuantLib::ext::make_shared<QuantExt::DiscountingCurrencySwapEngine>(discountCurves, fxQuotes, ccys, base);
    }

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Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CrossCurrencySwapEngineBuilder()

Member Function Documentation

◆ engineImpl()