Engine Builder for FX Forwards. More...

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

Inheritance diagram for FxForwardEngineBuilder:

Collaboration diagram for FxForwardEngineBuilder:

Public Member Functions
	FxForwardEngineBuilder ()

Public Member Functions inherited from FxForwardEngineBuilderBase
	FxForwardEngineBuilderBase (const std::string &model, const std::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 QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const Currency &forCcy, const Currency &domCcy) override

Protected Member Functions inherited from FxForwardEngineBuilderBase
virtual string	keyImpl (const Currency &forCcy, const Currency &domCcy) 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 FX Forwards.

Pricing engines are cached by currency pair

Definition at line 54 of file fxforward.hpp.

Constructor & Destructor Documentation

◆ FxForwardEngineBuilder()

FxForwardEngineBuilder ( )

Definition at line 56 of file fxforward.hpp.

56: FxForwardEngineBuilderBase("DiscountedCashflows", "DiscountingFxForwardEngine") {}

ore::data::FxForwardEngineBuilderBase::FxForwardEngineBuilderBase

FxForwardEngineBuilderBase(const std::string &model, const std::string &engine)

Definition: fxforward.hpp:41

Member Function Documentation

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const Currency &	forCcy,
		const Currency &	domCcy
	)

overrideprotectedvirtual

Definition at line 59 of file fxforward.hpp.

                                                                                                                     {
        string pair = keyImpl(forCcy, domCcy);
        string tmp = engineParameter("includeSettlementDateFlows", {}, false, "");
        bool includeSettlementDateFlows = tmp == "" ? false : parseBool(tmp);
        return QuantLib::ext::make_shared<QuantExt::DiscountingFxForwardEngine>(
            domCcy, market_->discountCurve(domCcy.code(), configuration(MarketContext::pricing)), forCcy,
            market_->discountCurve(forCcy.code(), configuration(MarketContext::pricing)),
            market_->fxRate(pair, configuration(MarketContext::pricing)),
            includeSettlementDateFlows);
    }

Here is the call graph for this function:

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FxForwardEngineBuilder()

Member Function Documentation

◆ engineImpl()