Discounting Bond Repo Engine Builder. More...

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

Inheritance diagram for DiscountingBondRepoEngineBuilder:

Collaboration diagram for DiscountingBondRepoEngineBuilder:

Public Member Functions
	DiscountingBondRepoEngineBuilder ()

Public Member Functions inherited from BondRepoEngineBuilderBase
	BondRepoEngineBuilderBase (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
QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engineImpl (const std::string &repoCurveId) override

Protected Member Functions inherited from BondRepoEngineBuilderBase
std::string	keyImpl (const std::string &repoCurveId) 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

Discounting Bond Repo Engine Builder.

Definition at line 45 of file bondrepo.hpp.

Constructor & Destructor Documentation

◆ DiscountingBondRepoEngineBuilder()

DiscountingBondRepoEngineBuilder ( )

Definition at line 47 of file bondrepo.hpp.

47: BondRepoEngineBuilderBase("DiscountedCashflows", "DiscountingRepoEngine") {}

ore::data::BondRepoEngineBuilderBase::BondRepoEngineBuilderBase

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

Definition: bondrepo.hpp:37

Member Function Documentation

◆ engineImpl()

QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engineImpl ( const std::string & repoCurveId )

overrideprotected

Definition at line 27 of file bondrepo.cpp.

                                                                         {
    bool includeSecurityLeg = parseBool(modelParameter("IncludeSecurityLeg"));
    return QuantLib::ext::make_shared<QuantExt::DiscountingBondRepoEngine>(
        market_->yieldCurve(repoCurveId, configuration(MarketContext::pricing)), includeSecurityLeg);
}

Here is the call graph for this function:

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DiscountingBondRepoEngineBuilder()

Member Function Documentation

◆ engineImpl()