ConvertibleBondBuilder Struct Reference

#include <ored/portfolio/convertiblebond.hpp>

Inheritance diagram for ConvertibleBondBuilder:

Collaboration diagram for ConvertibleBondBuilder:

Public Member Functions
BondBuilder::Result	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData, const std::string &securityId) const override
Public Member Functions inherited from BondBuilder
virtual	~BondBuilder ()
virtual Result	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData, const std::string &securityId) const =0

Detailed Description

Definition at line 77 of file convertiblebond.hpp.

Member Function Documentation

build()

BondBuilder::Result build ( const QuantLib::ext::shared_ptr< EngineFactory > &  engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &  referenceData, const std::string &  securityId  ) const

overridevirtual

Implements BondBuilder.

Definition at line 670 of file convertiblebond.cpp.

                                                                                     {
    static long id = 0;
    ConvertibleBondData data(BondData(securityId, 1.0));
    data.populateFromBondReferenceData(referenceData);
    ConvertibleBond bond(Envelope(), data);
    bond.id() = "ConvertibleBondBuilder_" + securityId + "_" + std::to_string(id++);
    bond.build(engineFactory);
 
    QL_REQUIRE(bond.instrument(), "ConvertibleBondBuilder: constructed bond is null, this is unexpected");
    auto qlBond = QuantLib::ext::dynamic_pointer_cast<QuantLib::Bond>(bond.instrument()->qlInstrument());
 
    QL_REQUIRE(
        bond.instrument() && bond.instrument()->qlInstrument(),
        "ConvertibleBondBuilder: constructed bond trade does not provide a valid ql instrument, this is unexpected "
        "(either the instrument wrapper or the ql instrument is null)");
 
    BondBuilder::Result res;
    res.bond = qlBond;
    res.hasCreditRisk = data.bondData().hasCreditRisk() && !data.bondData().creditCurveId().empty();
    res.currency = data.bondData().currency();
    res.creditCurveId = data.bondData().creditCurveId();
    res.securityId = data.bondData().securityId();
    res.creditGroup = data.bondData().creditGroup();
    res.priceQuoteMethod = data.bondData().priceQuoteMethod();
    res.priceQuoteBaseValue = data.bondData().priceQuoteBaseValue();
 
    auto builders = engineFactory->modelBuilders();
    auto b = std::find_if(builders.begin(), builders.end(),
                          [&bond](const std::pair<const std::string&, const QuantLib::ext::shared_ptr<ModelBuilder>>& p) {
                              return bond.id() == p.first;
                          });
    QL_REQUIRE(b != builders.end(), "ConvertibleBondBuilder: could not get model builder for bond '"
                                        << bond.id() << "' from engine factory - this is an internal error.");
    res.modelBuilder = b->second;
 
    return res;
}