Pricing Engine Factory class. More...

#include <ored/portfolio/enginefactory.hpp>

Collaboration diagram for EngineFactory:

Public Member Functions
	EngineFactory (const QuantLib::ext::shared_ptr< EngineData > &data, const QuantLib::ext::shared_ptr< Market > &market, const map< MarketContext, string > &configurations=std::map< MarketContext, string >(), const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::vector< QuantLib::ext::shared_ptr< EngineBuilder > > extraEngineBuilders={}, const bool allowOverwrite=false)
	Create an engine factory. More...

const QuantLib::ext::shared_ptr< Market > &	market () const
	Return the market used by this EngineFactory. More...

const map< MarketContext, string > &	configurations () const
	Return the market configurations used by this EngineFactory. More...

const string &	configuration (const MarketContext &key)
	Return a configuration (or the default one if key not found) More...

const QuantLib::ext::shared_ptr< EngineData >	engineData () const
	Return the EngineData parameters. More...

void	registerBuilder (const QuantLib::ext::shared_ptr< EngineBuilder > &builder, const bool allowOverwrite=false)
	Register a builder with the factory. More...

const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData () const
	Return the reference data used by this EngineFactory. More...

const IborFallbackConfig &	iborFallbackConfig () const
	Return the ibor fallback config. More...

QuantLib::ext::shared_ptr< EngineBuilder >	builder (const string &tradeType)
	Get a builder by trade type. More...

void	registerLegBuilder (const QuantLib::ext::shared_ptr< LegBuilder > &legBuilder, const bool allowOverwrite=false)
	Register a leg builder with the factory. More...

QuantLib::ext::shared_ptr< LegBuilder >	legBuilder (const string &legType)
	Get a leg builder by leg type. More...

void	addDefaultBuilders ()
	Add a set of default engine and leg builders. More...

void	addExtraBuilders (const std::vector< QuantLib::ext::shared_ptr< EngineBuilder > > extraEngineBuilders, const std::vector< QuantLib::ext::shared_ptr< LegBuilder > > extraLegBuilders, const bool allowOverwrite=false)
	Add a set of default engine and leg builders, overwrite existing builders with same key if specified. More...

void	clear ()
	Clear all builders. More...

set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders () const
	return model builders More...

Private Attributes
QuantLib::ext::shared_ptr< Market >	market_

QuantLib::ext::shared_ptr< EngineData >	engineData_

map< MarketContext, string >	configurations_

map< tuple< string, string, set< string > >, QuantLib::ext::shared_ptr< EngineBuilder > >	builders_

map< string, QuantLib::ext::shared_ptr< LegBuilder > >	legBuilders_

QuantLib::ext::shared_ptr< ReferenceDataManager >	referenceData_

IborFallbackConfig	iborFallbackConfig_

Detailed Description

Pricing Engine Factory class.

A Pricing Engine Factory is used when building a portfolio, it provides QuantLib::PricingEngines to each of the Trade objects.

An Engine Factory is configured on two levels, both from EngineData. The first level is the type of builder (Model and Engine) to use for each trade type, so given a trade type one asks the factory for a builder and then the builder for a PricingEngine. Each builder must be registered with the factory and then the configuration defines which builder to use.

Secondly, the factory maintains builder specific parameters for each Model and Engine.

Definition at line 224 of file enginefactory.hpp.

Constructor & Destructor Documentation

◆ EngineFactory()

EngineFactory	(	const QuantLib::ext::shared_ptr< EngineData > &	data,
		const QuantLib::ext::shared_ptr< Market > &	market,
		const map< MarketContext, string > &	configurations = `std::map<MarketContext, string>()`,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`,
		const std::vector< QuantLib::ext::shared_ptr< EngineBuilder > >	extraEngineBuilders = `{}`,
		const bool	allowOverwrite = `false`
	)

Create an engine factory.

Parameters

data	Configuration data
market	The market that is passed to each builder
configurations	The market configurations that are passed to each builder
referenceData	reference data
iborFallbackConfig	ibor fallback config
extraEngineBuilders	additional engine builders
allowOverwrite	additional engine builders may overwrite existing builders with same key

Definition at line 176 of file enginefactory.cpp.

    : market_(market), engineData_(engineData), configurations_(configurations), referenceData_(referenceData),
      iborFallbackConfig_(iborFallbackConfig) {
    LOG("Building EngineFactory");
 
    addDefaultBuilders();
    addExtraBuilders(extraEngineBuilders, {}, allowOverwrite);
}

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Member Function Documentation

◆ market()

const QuantLib::ext::shared_ptr< Market > & market ( ) const

Return the market used by this EngineFactory.

Definition at line 243 of file enginefactory.hpp.

243{ return market_; };

◆ configurations()

const map< MarketContext, string > & configurations ( ) const

Return the market configurations used by this EngineFactory.

Definition at line 245 of file enginefactory.hpp.

245{ return configurations_; };

◆ configuration()

const string & configuration ( const MarketContext & key )

Return a configuration (or the default one if key not found)

Definition at line 247 of file enginefactory.hpp.

                                                          {
        if (configurations_.count(key) > 0) {
            return configurations_.at(key);
        } else {
            return Market::defaultConfiguration;
        }
    }

◆ engineData()

const QuantLib::ext::shared_ptr< EngineData > engineData ( ) const

Return the EngineData parameters.

Definition at line 255 of file enginefactory.hpp.

255{ return engineData_; };

◆ registerBuilder()

void registerBuilder	(	const QuantLib::ext::shared_ptr< EngineBuilder > &	builder,
		const bool	allowOverwrite = `false`
	)

Register a builder with the factory.

Definition at line 190 of file enginefactory.cpp.

                                                                                                                  {
    const string& modelName = builder->model();
    const string& engineName = builder->engine();
    auto key = make_tuple(modelName, engineName, builder->tradeTypes());
    if (allowOverwrite)
        builders_.erase(key);
    QL_REQUIRE(builders_.insert(make_pair(key, builder)).second,
               "EngineFactory: duplicate engine builder for (" << modelName << "/" << engineName << "/"
                                                               << boost::algorithm::join(builder->tradeTypes(), ",")
                                                               << ") - this is an internal error.");
}

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◆ referenceData()

const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceData ( ) const

Return the reference data used by this EngineFactory.

Definition at line 259 of file enginefactory.hpp.

259{ return referenceData_; };

◆ iborFallbackConfig()

const IborFallbackConfig & iborFallbackConfig ( ) const

Return the ibor fallback config.

Definition at line 261 of file enginefactory.hpp.

261{ return iborFallbackConfig_; }

◆ builder()

QuantLib::ext::shared_ptr< EngineBuilder > builder ( const string & tradeType )

Get a builder by trade type.

This will look up configured model/engine for that trade type the returned builder can be cast to the type required for the tradeType.

The factory will call EngineBuilder::init() before returning it.

Definition at line 202 of file enginefactory.cpp.

                                                                                   {
    // Check that we have a model/engine for tradetype
    QL_REQUIRE(engineData_->hasProduct(tradeType),
               "No Pricing Engine configuration was provided for trade type " << tradeType);
 
    // Find a builder for the model/engine/tradeType
    const string& model = engineData_->model(tradeType);
    const string& engine = engineData_->engine(tradeType);
    typedef pair<tuple<string, string, set<string>>, QuantLib::ext::shared_ptr<EngineBuilder>> map_type;
    auto pred = [&model, &engine, &tradeType](const map_type& v) -> bool {
        const set<string>& types = std::get<2>(v.first);
        return std::get<0>(v.first) == model && std::get<1>(v.first) == engine &&
               std::find(types.begin(), types.end(), tradeType) != types.end();
    };
    auto it = std::find_if(builders_.begin(), builders_.end(), pred);
    QL_REQUIRE(it != builders_.end(), "No EngineBuilder for " << model << "/" << engine << "/" << tradeType);
    QL_REQUIRE(std::find_if(std::next(it, 1), builders_.end(), pred) == builders_.end(),
               "Ambiguous EngineBuilder for " << model << "/" << engine << "/" << tradeType);
 
    QuantLib::ext::shared_ptr<EngineBuilder> builder = it->second;
    string effectiveTradeType = tradeType;
    if(auto db = QuantLib::ext::dynamic_pointer_cast<DelegatingEngineBuilder>(builder))
    effectiveTradeType = db->effectiveTradeType();
 
    builder->init(market_, configurations_, engineData_->modelParameters(effectiveTradeType),
                  engineData_->engineParameters(effectiveTradeType), engineData_->globalParameters());
 
    return builder;
}

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◆ registerLegBuilder()

void registerLegBuilder	(	const QuantLib::ext::shared_ptr< LegBuilder > &	legBuilder,
		const bool	allowOverwrite = `false`
	)

Register a leg builder with the factory.

Definition at line 232 of file enginefactory.cpp.

                                                                                                                     {
    if (allowOverwrite)
        legBuilders_.erase(legBuilder->legType());
    QL_REQUIRE(legBuilders_.insert(make_pair(legBuilder->legType(), legBuilder)).second,
               "EngineFactory duplicate leg builder for '" << legBuilder->legType()
                                                           << "' - this is an internal error.");
}

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◆ legBuilder()

QuantLib::ext::shared_ptr< LegBuilder > legBuilder ( const string & legType )

Get a leg builder by leg type.

Definition at line 240 of file enginefactory.cpp.

                                                                                 {
    auto it = legBuilders_.find(legType);
    QL_REQUIRE(it != legBuilders_.end(), "No LegBuilder for " << legType);
    return it->second;
}

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◆ addDefaultBuilders()

void addDefaultBuilders ( )

Add a set of default engine and leg builders.

Definition at line 254 of file enginefactory.cpp.

                                       {
    for(auto const& b: EngineBuilderFactory::instance().generateEngineBuilders())
        registerBuilder(b);
    for(auto const& b: EngineBuilderFactory::instance().generateLegBuilders())
        registerLegBuilder(b);
}

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◆ addExtraBuilders()

void addExtraBuilders	(	const std::vector< QuantLib::ext::shared_ptr< EngineBuilder > >	extraEngineBuilders,
		const std::vector< QuantLib::ext::shared_ptr< LegBuilder > >	extraLegBuilders,
		const bool	allowOverwrite = `false`
	)

Add a set of default engine and leg builders, overwrite existing builders with same key if specified.

Definition at line 261 of file enginefactory.cpp.

                                                                {
 
    if (extraEngineBuilders.size() > 0) {
        DLOG("adding " << extraEngineBuilders.size() << " extra engine builders");
        for (auto eb : extraEngineBuilders)
            registerBuilder(eb, allowOverwrite);
    }
    if (extraLegBuilders.size() > 0) {
        DLOG("adding " << extraLegBuilders.size() << " extra leg builders");
        for (auto elb : extraLegBuilders)
            registerLegBuilder(elb, allowOverwrite);
    }
}

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◆ clear()

void clear ( )

Clear all builders.

Definition at line 285 of file enginefactory.hpp.

                 {
        builders_.clear();
        legBuilders_.clear();
    }

◆ modelBuilders()

set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > modelBuilders ( ) const

return model builders

Definition at line 246 of file enginefactory.cpp.

                                                                                                     {
    set<std::pair<string, QuantLib::ext::shared_ptr<QuantExt::ModelBuilder>>> res;
    for (auto const& b : builders_) {
        res.insert(b.second->modelBuilders().begin(), b.second->modelBuilders().end());
    }
    return res;
}

Member Data Documentation

◆ market_

QuantLib::ext::shared_ptr<Market> market_

private

Definition at line 294 of file enginefactory.hpp.

◆ engineData_

QuantLib::ext::shared_ptr<EngineData> engineData_

private

Definition at line 295 of file enginefactory.hpp.

◆ configurations_

map<MarketContext, string> configurations_

private

Definition at line 296 of file enginefactory.hpp.

◆ builders_

map<tuple<string, string, set<string> >, QuantLib::ext::shared_ptr<EngineBuilder> > builders_

private

Definition at line 297 of file enginefactory.hpp.

◆ legBuilders_

map<string, QuantLib::ext::shared_ptr<LegBuilder> > legBuilders_

private

Definition at line 298 of file enginefactory.hpp.

◆ referenceData_

QuantLib::ext::shared_ptr<ReferenceDataManager> referenceData_

private

Definition at line 299 of file enginefactory.hpp.

◆ iborFallbackConfig_

IborFallbackConfig iborFallbackConfig_

private

Definition at line 300 of file enginefactory.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ EngineFactory()

Member Function Documentation

◆ market()

◆ configurations()

◆ configuration()

◆ engineData()

◆ registerBuilder()

◆ referenceData()

◆ iborFallbackConfig()

◆ builder()

◆ registerLegBuilder()

◆ legBuilder()

◆ addDefaultBuilders()

◆ addExtraBuilders()

◆ clear()

◆ modelBuilders()

Member Data Documentation

◆ market_

◆ engineData_

◆ configurations_

◆ builders_

◆ legBuilders_

◆ referenceData_

◆ iborFallbackConfig_