European Swaption Engine Builder. More...

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

Inheritance diagram for EuropeanSwaptionEngineBuilder:

Collaboration diagram for EuropeanSwaptionEngineBuilder:

Public Member Functions
	EuropeanSwaptionEngineBuilder ()

Public Member Functions inherited from SwaptionEngineBuilder
	SwaptionEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)

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

Private Member Functions
QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const string &id, const string &key, const std::vector< Date > &dates, const Date &maturity, const std::vector< Real > &strikes, const bool isAmerican, const std::string &discountCurve, const std::string &securitySpread) override

Additional Inherited Members
Protected Member Functions inherited from SwaptionEngineBuilder
string	keyImpl (const string &id, const string &key, const std::vector< Date > &dates, const Date &maturity, const std::vector< Real > &strikes, const bool isAmerican, const std::string &discountCurve, const std::string &securitySpread) override

Protected Member Functions inherited from CachingEngineBuilder< T, U, Args >
virtual T	keyImpl (Args...)=0

virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

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

European Swaption Engine Builder.

European Swaptions are priced with Black or Bachelier pricing engines, depending on the volatility type provided by Market

Definition at line 57 of file swaption.hpp.

Constructor & Destructor Documentation

◆ EuropeanSwaptionEngineBuilder()

EuropeanSwaptionEngineBuilder ( )

Definition at line 59 of file swaption.hpp.

60 : SwaptionEngineBuilder("BlackBachelier", "BlackBachelierSwaptionEngine", {"EuropeanSwaption"}) {}

ore::data::SwaptionEngineBuilder::SwaptionEngineBuilder

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

Definition: swaption.hpp:43

Member Function Documentation

◆ engineImpl()

QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const string &	id,
		const string &	key,
		const std::vector< Date > &	dates,
		const Date &	maturity,
		const std::vector< Real > &	strikes,
		const bool	isAmerican,
		const std::string &	discountCurve,
		const std::string &	securitySpread
	)

overrideprivate

Definition at line 68 of file swaption.cpp.

                                                                                                           {
    QuantLib::ext::shared_ptr<IborIndex> index;
    string ccyCode = tryParseIborIndex(key, index) ? index->currency().code() : key;
    Handle<YieldTermStructure> yts =
        discountCurve.empty() ? market_->discountCurve(ccyCode, configuration(MarketContext::pricing))
                              : indexOrYieldCurve(market_, discountCurve, configuration(MarketContext::pricing));
    if (!securitySpread.empty())
        yts = Handle<YieldTermStructure>(QuantLib::ext::make_shared<ZeroSpreadedTermStructure>(
            yts, market_->securitySpread(securitySpread, configuration(MarketContext::pricing))));
    Handle<SwaptionVolatilityStructure> svts = market_->swaptionVol(key, configuration(MarketContext::pricing));
    return QuantLib::ext::make_shared<BlackMultiLegOptionEngine>(yts, svts);
}

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Public Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EuropeanSwaptionEngineBuilder()

Member Function Documentation

◆ engineImpl()