Engine Builder for European FX Barrier Options. More...

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

Inheritance diagram for FxBarrierOptionEngineBuilder:

Collaboration diagram for FxBarrierOptionEngineBuilder:

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

virtual string	keyImpl (const Currency &forCcy, const Currency &domCcy, const Date &expiryDate, const Date &paymentDate) override

QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess >	getBlackScholesProcess (const Currency &forCcy, const Currency &domCcy, 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 European FX Barrier Options.

Pricing engines are cached by currency pair

Definition at line 44 of file fxbarrieroption.hpp.

Constructor & Destructor Documentation

◆ FxBarrierOptionEngineBuilder()

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

protected

Definition at line 49 of file fxbarrieroption.hpp.

50 : CachingEngineBuilder(model, engine, {"FxBarrierOption"}) {}

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 Currency &	forCcy,
		const Currency &	domCcy,
		const Date &	expiryDate,
		const Date &	paymentDate
	)

overrideprotectedvirtual

Definition at line 52 of file fxbarrieroption.hpp.

                                                             {
        return forCcy.code() + "/" + domCcy.code() + "/" + ore::data::to_string(expiryDate) + "/" +
               ore::data::to_string(paymentDate);
    }

Here is the call graph for this function:

◆ getBlackScholesProcess()

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

protected

Definition at line 59 of file fxbarrieroption.hpp.

                                                                                                               {}) {
        const string& ccyPairCode = forCcy.code() + domCcy.code();
        Handle<BlackVolTermStructure> vol =
            market_->fxVol(ccyPairCode, 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>(
            market_->fxSpot(ccyPairCode, configuration(ore::data::MarketContext::pricing)),
            market_->discountCurve(forCcy.code(), configuration(ore::data::MarketContext::pricing)),
            market_->discountCurve(domCcy.code(), configuration(ore::data::MarketContext::pricing)), vol);
    }

Here is the caller graph for this function: