Engine Builder for Single Currency Swaps. More...

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

Inheritance diagram for SwapEngineBuilderDeltaGamma:

Collaboration diagram for SwapEngineBuilderDeltaGamma:

Public Member Functions
	SwapEngineBuilderDeltaGamma ()

Public Member Functions inherited from SwapEngineBuilderBase
	SwapEngineBuilderBase (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 &ccy, const std::string &discountCurve, const std::string &securitySpread) override

Protected Member Functions inherited from SwapEngineBuilderBase
virtual string	keyImpl (const Currency &ccy, 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

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 Single Currency Swaps.

This builder uses DiscountingSwapEngineDeltaGamma

Definition at line 52 of file deltagammaengines.hpp.

Constructor & Destructor Documentation

◆ SwapEngineBuilderDeltaGamma()

SwapEngineBuilderDeltaGamma ( )

Definition at line 54 of file deltagammaengines.hpp.

54: SwapEngineBuilderBase("DiscountedCashflows", "DiscountingSwapEngineDeltaGamma") {}

ore::data::SwapEngineBuilderBase::SwapEngineBuilderBase

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

Definition: swap.hpp:51

Member Function Documentation

◆ engineImpl()

virtual QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const Currency &	ccy,
		const std::string &	discountCurve,
		const std::string &	securitySpread
	)

overrideprotectedvirtual

Definition at line 57 of file deltagammaengines.hpp.

                                                                                                  {
 
        std::vector<Time> bucketTimes = parseListOfValues<Time>(engineParameter("BucketTimes"), &parseReal);
        bool computeDelta = parseBool(engineParameter("ComputeDelta"));
        bool computeGamma = parseBool(engineParameter("ComputeGamma"));
        bool computeBPS = false; // parseBool(engineParameter("ComputeBPS"));
 
        Handle<YieldTermStructure> yts = discountCurve.empty()
                                             ? market_->discountCurve(ccy.code(), 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))));
        return QuantLib::ext::make_shared<DiscountingSwapEngineDeltaGamma>(yts, bucketTimes, computeDelta,
                                                                             computeGamma, computeBPS);
    }

Here is the call graph for this function:

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwapEngineBuilderDeltaGamma()

Member Function Documentation

◆ engineImpl()