VanillaOptionEngineBuilder Class Reference

Abstract Engine Builder for Vanilla Options. More...

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

Inheritance diagram for VanillaOptionEngineBuilder:

Collaboration diagram for VanillaOptionEngineBuilder:

Public Member Functions
	VanillaOptionEngineBuilder (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 &ccy, const Date &expiryDate, const bool useFxSpot=true)
QuantLib::ext::shared_ptr< PricingEngine >	engine (const Currency &ccy1, const Currency &ccy2, const Date &expiryDate, const bool useFxSpot=true)
Public Member Functions inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const AssetClass &, const Date &, const bool >
	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 string	keyImpl (const string &assetName, const Currency &ccy, const AssetClass &assetClassUnderlying, const Date &expiryDate, const bool useFxSpot) override
Protected Member Functions inherited from CachingOptionEngineBuilder< string, const string &, const Currency &, const AssetClass &, const Date &, const bool >
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

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

Pricing engines are cached by asset/currency

Definition at line 117 of file vanillaoption.hpp.

Constructor & Destructor Documentation

VanillaOptionEngineBuilder()

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

Definition at line 120 of file vanillaoption.hpp.

        : CachingOptionEngineBuilder(model, engine, tradeTypes, assetClass), expiryDate_(expiryDate) {}

Member Function Documentation

engine() [1/2]

QuantLib::ext::shared_ptr< PricingEngine > engine	(	const string &	assetName,
		const Currency &	ccy,
		const Date &	expiryDate,
		const bool	useFxSpot = true
	)

Definition at line 124 of file vanillaoption.hpp.

                                                                                                                                                   {
        return CachingPricingEngineBuilder<string, const string&, const Currency&, const AssetClass&,
                                           const Date&, const bool>::engine(assetName, ccy, assetClass_, expiryDate, useFxSpot);
    }

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engine() [2/2]

QuantLib::ext::shared_ptr< PricingEngine > engine	(	const Currency &	ccy1,
		const Currency &	ccy2,
		const Date &	expiryDate,
		const bool	useFxSpot = true
	)

Definition at line 129 of file vanillaoption.hpp.

                                                                         {
        return CachingPricingEngineBuilder<string, const string&, const Currency&, const AssetClass&,
                                           const Date&, const bool>::engine(ccy1.code(), ccy2, assetClass_, expiryDate, useFxSpot);
    }

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keyImpl()

virtual string keyImpl ( const string &  assetName, const Currency &  ccy, const AssetClass &  assetClassUnderlying, const Date &  expiryDate, const bool  useFxSpot  )

overrideprotectedvirtual

Definition at line 136 of file vanillaoption.hpp.

                                                                                  {
        return assetName + "/" + ccy.code() + "/" + to_string(expiryDate);
    }

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Member Data Documentation

expiryDate_

Date expiryDate_

protected

Definition at line 141 of file vanillaoption.hpp.