Engine Builder for Equity Barrier Options. More...

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

Inheritance diagram for EquityBarrierOptionEngineBuilder:

Collaboration diagram for EquityBarrierOptionEngineBuilder:

Protected Member Functions
	EquityBarrierOptionEngineBuilder (const string &model, const string &engine)

virtual string	keyImpl (const string &assetName, const Currency &ccy, const Date &expiryDate) override

QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess >	getBlackScholesProcess (const string &assetName, const Currency &ccy, const std::vector< Time > &timePoints={})

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
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 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 Equity Barrier Options.

Pricing engines are cached by asset name / currency

Definition at line 44 of file equitybarrieroption.hpp.

Constructor & Destructor Documentation

◆ EquityBarrierOptionEngineBuilder()

EquityBarrierOptionEngineBuilder	(	const string &	model,
		const string &	engine
	)

protected

Definition at line 48 of file equitybarrieroption.hpp.

49 : CachingEngineBuilder(model, engine, {"EquityBarrierOption"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

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

Definition: cachingenginebuilder.hpp:58

ore::data::EngineBuilder::engine

const string & engine() const

Return the engine name.

Definition: enginefactory.hpp:111

ore::data::EngineBuilder::model

const string & model() const

Return the model name.

Definition: enginefactory.hpp:109

Member Function Documentation

◆ keyImpl()

virtual string keyImpl	(	const string &	assetName,
		const Currency &	ccy,
		const Date &	expiryDate
	)

overrideprotectedvirtual

Definition at line 51 of file equitybarrieroption.hpp.

                                                                                                          {
        return assetName + "/" + ccy.code() + "/" + ore::data::to_string(expiryDate);
    }

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◆ getBlackScholesProcess()

QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > getBlackScholesProcess	(	const string &	assetName,
		const Currency &	ccy,
		const std::vector< Time > &	timePoints = `{}`
	)

protected

Definition at line 55 of file equitybarrieroption.hpp.

                                                                                                                 {}) {
 
        Handle<BlackVolTermStructure> vol = this->market_->equityVol(assetName, configuration(ore::data::MarketContext::pricing));
            if (!timePoints.empty()) {
                vol = Handle<BlackVolTermStructure>(
                    QuantLib::ext::make_shared<QuantExt::BlackMonotoneVarVolTermStructure>(vol, timePoints));
                vol->enableExtrapolation();
            }
            return QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
                this->market_->equitySpot(assetName, configuration(ore::data::MarketContext::pricing)),
                this->market_->equityDividendCurve(assetName, configuration(ore::data::MarketContext::pricing)),
                this->market_->equityForecastCurve(assetName, configuration(ore::data::MarketContext::pricing)),
                vol);
    }

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