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

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

Inheritance diagram for QuantoEuropeanOptionEngineBuilder:

Collaboration diagram for QuantoEuropeanOptionEngineBuilder:

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

Public Member Functions inherited from QuantoVanillaOptionEngineBuilder
	QuantoVanillaOptionEngineBuilder (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 &underlyingCcy, const Currency &payCcy, const Date &expiryDate)

Public Member Functions inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const Currency &, const AssetClass &, const Date & >
	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 &underlyingCcy, const Currency &payCcy, const AssetClass &assetClassUnderlying, const Date &expiryDate) override

Protected Member Functions inherited from QuantoVanillaOptionEngineBuilder
virtual string	keyImpl (const string &assetName, const Currency &underlyingCcy, const Currency &payCcy, const AssetClass &assetClassUnderlying, const Date &expiryDate) override

Protected Member Functions inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const Currency &, const AssetClass &, const Date & >
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 QuantoVanillaOptionEngineBuilder
Date	expiryDate_

Protected Attributes inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const Currency &, const AssetClass &, const Date & >
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 Quanto European Vanilla Options.

Pricing engines are cached by asset/currency

Definition at line 68 of file quantovanillaoption.hpp.

Constructor & Destructor Documentation

◆ QuantoEuropeanOptionEngineBuilder()

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

Definition at line 70 of file quantovanillaoption.hpp.

71 : QuantoVanillaOptionEngineBuilder(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::QuantoVanillaOptionEngineBuilder::QuantoVanillaOptionEngineBuilder

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

Definition: quantovanillaoption.hpp:43

Member Function Documentation

◆ engineImpl()

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

overrideprotectedvirtual

Definition at line 74 of file quantovanillaoption.hpp.

                                                                                         {
        QuantLib::ext::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> gbsp =
            getBlackScholesProcess(assetName, underlyingCcy, assetClassUnderlying);
 
        Handle<YieldTermStructure> discountCurve =
            market_->discountCurve(underlyingCcy.code(), configuration(MarketContext::pricing));
 
        Handle<BlackVolTermStructure> fxVolatility =
            market_->fxVol(underlyingCcy.code() + payCcy.code(), configuration(MarketContext::pricing));
 
        std::string fxSource = modelParameters_.at("FXSource");
        std::string fxIndex = "FX-" + fxSource + "-" + underlyingCcy.code() + "-" + payCcy.code();
        std::string underlyingIndex;
        switch (assetClassUnderlying) {
            case AssetClass::EQ:
                underlyingIndex = "EQ-" + assetName;
                break;
            case AssetClass::COM:
                underlyingIndex = "COMM-" + assetName;
                break;
            default:
                QL_FAIL("Asset class " << assetClassUnderlying << " not supported for quanto vanilla option.");
        }
            
    QuantLib::Handle<QuantExt::CorrelationTermStructure> corrCurve(
        QuantLib::ext::make_shared<QuantExt::FlatCorrelation>(0, NullCalendar(), 0.0, Actual365Fixed()));
    try {
        corrCurve = market_->correlationCurve(fxIndex, underlyingIndex, configuration(MarketContext::pricing));
    } catch (...) {
        WLOG("no correlation curve for " << fxIndex << ", " << underlyingIndex
                                         << " found, fall back to zero correlation");
    }
 
    return QuantLib::ext::make_shared<QuantLib::QuantoEngine<VanillaOption, QuantLib::AnalyticEuropeanEngine>>(
        gbsp, discountCurve, fxVolatility,
        Handle<Quote>(
            QuantLib::ext::make_shared<QuantExt::CorrelationValue>(corrCurve, corrCurve->timeFromReference(expiryDate))));
    }

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Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ QuantoEuropeanOptionEngineBuilder()

Member Function Documentation

◆ engineImpl()