Engine Builder for EQ Touch Options. More...

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

Inheritance diagram for EquityTouchOptionEngineBuilder:

Collaboration diagram for EquityTouchOptionEngineBuilder:

Public Member Functions
	EquityTouchOptionEngineBuilder ()

	EquityTouchOptionEngineBuilder (const string &model, const 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 string	keyImpl (const string &assetName, const Currency &ccy, const string &type) override

virtual QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const string &assetName, const Currency &ccy, const string &type) 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

Engine Builder for EQ Touch Options.

Pricing engines are cached by asset name / currency

Definition at line 43 of file equitytouchoption.hpp.

Constructor & Destructor Documentation

◆ EquityTouchOptionEngineBuilder() [1/2]

EquityTouchOptionEngineBuilder ( )

Definition at line 46 of file equitytouchoption.hpp.

47 : CachingEngineBuilder("BlackScholesMerton", "AnalyticDigitalAmericanEngine", {"EquityTouchOption"}) {}

ore::data::CachingEngineBuilder::CachingEngineBuilder

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

Definition: cachingenginebuilder.hpp:58

◆ EquityTouchOptionEngineBuilder() [2/2]

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

Definition at line 48 of file equitytouchoption.hpp.

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

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 string &	type
	)

overrideprotectedvirtual

Definition at line 52 of file equitytouchoption.hpp.

                                                                                                      {
        return assetName + ccy.code() + type;
    }

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const string &	assetName,
		const Currency &	ccy,
		const string &	type
	)

overrideprotectedvirtual

Definition at line 56 of file equitytouchoption.hpp.

                                                                                     {
        QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess> gbsp = QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
            market_->equitySpot(assetName, configuration(ore::data::MarketContext::pricing)),
            market_->equityDividendCurve(assetName, configuration(ore::data::MarketContext::pricing)),
            market_->equityForecastCurve(assetName, configuration(ore::data::MarketContext::pricing)),
            market_->equityVol(assetName, configuration(ore::data::MarketContext::pricing)));
 
        if (type == "One-Touch") {
            engine_ = "AnalyticDigitalAmericanEngine";
            return QuantLib::ext::make_shared<QuantLib::AnalyticDigitalAmericanEngine>(gbsp);
        } else if (type == "No-Touch") {
            engine_ = "AnalyticDigitalAmericanKOEngine";
            return QuantLib::ext::make_shared<QuantLib::AnalyticDigitalAmericanKOEngine>(gbsp);
        } else {
            QL_FAIL("Unknwon EQ touch option type: " << type);
        }
    }

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Public Member Functions

Protected Member Functions