Abstract Engine Builder for European Vanilla Options. More...

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

Inheritance diagram for EuropeanOptionEngineBuilder:

Collaboration diagram for EuropeanOptionEngineBuilder:

Public Member Functions
	EuropeanOptionEngineBuilder (const string &model, const set< string > &tradeTypes, const AssetClass &assetClass)

Public Member Functions inherited from VanillaOptionEngineBuilder
	VanillaOptionEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes, const AssetClass &assetClass, const Date &expiryDate)

QuantLib::ext::shared_ptr< PricingEngine >	engine (const string &assetName, const Currency &ccy, const Date &expiryDate, const bool useFxSpot=true)

QuantLib::ext::shared_ptr< PricingEngine >	engine (const Currency &ccy1, const Currency &ccy2, const Date &expiryDate, const bool useFxSpot=true)

Public Member Functions inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const AssetClass &, const Date &, const bool >
	CachingOptionEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes, const AssetClass &assetClass)

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 string &assetName, const Currency &ccy, const AssetClass &assetClassUnderlying, const Date &expiryDate, const bool useFxSpot) override

Protected Member Functions inherited from VanillaOptionEngineBuilder
virtual string	keyImpl (const string &assetName, const Currency &ccy, const AssetClass &assetClassUnderlying, const Date &expiryDate, const bool useFxSpot) override

Protected Member Functions inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const AssetClass &, const Date &, const bool >
QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	getBlackScholesProcess (const string &assetName, const Currency &ccy, const AssetClass &assetClassUnderlying, const std::vector< Time > &timePoints={}, const bool useFxSpot=true)

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 VanillaOptionEngineBuilder
Date	expiryDate_

Protected Attributes inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const AssetClass &, const Date &, const bool >
AssetClass	assetClass_

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

Abstract Engine Builder for European Vanilla Options.

Pricing engines are cached by asset/currency

Definition at line 149 of file vanillaoption.hpp.

Constructor & Destructor Documentation

◆ EuropeanOptionEngineBuilder()

EuropeanOptionEngineBuilder	(	const string &	model,
		const set< string > &	tradeTypes,
		const AssetClass &	assetClass
	)

Definition at line 151 of file vanillaoption.hpp.

152 : VanillaOptionEngineBuilder(model, "AnalyticEuropeanEngine", tradeTypes, assetClass, Date()) {}

ore::data::EngineBuilder::tradeTypes

const set< string > & tradeTypes() const

Return the possible trade types.

Definition: enginefactory.hpp:113

ore::data::EngineBuilder::model

const string & model() const

Return the model name.

Definition: enginefactory.hpp:109

ore::data::VanillaOptionEngineBuilder::VanillaOptionEngineBuilder

VanillaOptionEngineBuilder(const string &model, const string &engine, const set< string > &tradeTypes, const AssetClass &assetClass, const Date &expiryDate)

Definition: vanillaoption.hpp:120

Member Function Documentation

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const string &	assetName,
		const Currency &	ccy,
		const AssetClass &	assetClassUnderlying,
		const Date &	expiryDate,
		const bool	useFxSpot
	)

overrideprotectedvirtual

Definition at line 155 of file vanillaoption.hpp.

                                                                                                               {
        QuantLib::ext::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> gbsp =
            getBlackScholesProcess(assetName, ccy, assetClassUnderlying);
        Handle<YieldTermStructure> discountCurve =
            market_->discountCurve(ccy.code(), configuration(MarketContext::pricing));
        return QuantLib::ext::make_shared<QuantLib::AnalyticEuropeanEngine>(gbsp, discountCurve);
    }

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Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EuropeanOptionEngineBuilder()

Member Function Documentation

◆ engineImpl()