Midpoint engine builder class for credit default swaps. More...

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

Inheritance diagram for MidPointCdsEngineBuilder:

Collaboration diagram for MidPointCdsEngineBuilder:

Public Member Functions
	MidPointCdsEngineBuilder ()

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
QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (QuantLib::Currency ccy, std::string creditCurveId, QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >()) override

Protected Member Functions inherited from CreditDefaultSwapEngineBuilder
	CreditDefaultSwapEngineBuilder (const std::string &model, const std::string &engine)

CDSEngineKey	keyImpl (QuantLib::Currency ccy, std::string creditCurveId, QuantLib::Real recoveryRate=QuantLib::Null< QuantLib::Real >()) 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

Midpoint engine builder class for credit default swaps.

This class creates a MidPointCdsEngine

Definition at line 144 of file creditdefaultswap.hpp.

Constructor & Destructor Documentation

◆ MidPointCdsEngineBuilder()

MidPointCdsEngineBuilder ( )

Definition at line 146 of file creditdefaultswap.hpp.

146: CreditDefaultSwapEngineBuilder("DiscountedCashflows", "MidPointCdsEngine") {}

ore::data::CreditDefaultSwapEngineBuilder::CreditDefaultSwapEngineBuilder

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

Definition: creditdefaultswap.hpp:131

Member Function Documentation

◆ engineImpl()

QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	QuantLib::Currency	ccy,
		std::string	creditCurveId,
		QuantLib::Real	recoveryRate = `QuantLib::Null<QuantLib::Real>()`
	)

overrideprotected

Definition at line 150 of file creditdefaultswap.hpp.

                                                                                  {
 
        auto cfg = configuration(MarketContext::pricing);
        auto yts = market_->discountCurve(ccy.code(), cfg);
        auto dpts = market_->defaultCurve(creditCurveId, cfg);
 
        if (recoveryRate == QuantLib::Null<QuantLib::Real>()) {
            // If recovery rate is null, get it from the market for the given reference entity
            recoveryRate = market_->recoveryRate(creditCurveId, cfg)->value();
        }
 
        return QuantLib::ext::make_shared<MidPointCdsEngine>(dpts->curve(), recoveryRate, yts);
    }

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Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ MidPointCdsEngineBuilder()

Member Function Documentation

◆ engineImpl()