Reference manual - version ored_version
Engine builder for Cliquet Options. More...
#include <ored/portfolio/builders/cliquetoption.hpp>
Public Member Functions | |
| CliquetOptionEngineBuilder (const std::string &model, const std::string &engine, const std::set< std::string > &tradeTypes, const ore::data::AssetClass &assetClass) | |
| QuantLib::ext::shared_ptr< QuantLib::PricingEngine > | engine (const std::string &assetName, const QuantLib::Currency &ccy) |
| QuantLib::ext::shared_ptr< QuantLib::PricingEngine > | engine (const QuantLib::Currency &ccy1, const QuantLib::Currency &ccy2) |
| Public Member Functions inherited from CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & > | |
| CachingOptionEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes, const AssetClass &assetClass) | |
| Public Member Functions inherited from CachingEngineBuilder< T, PricingEngine, Args... > | |
| CachingEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes) | |
| QuantLib::ext::shared_ptr< PricingEngine > | engine (Args... params) |
| Return a PricingEngine or a FloatingRateCouponPricer. | |
| void | reset () override |
| reset the builder (e.g. clear cache) | |
| Public Member Functions inherited from EngineBuilder | |
| EngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes) | |
| virtual | ~EngineBuilder () |
| Virtual destructor. | |
| const string & | model () const |
| Return the model name. | |
| const string & | engine () const |
| Return the engine name. | |
| const set< string > & | tradeTypes () const |
| Return the possible trade types. | |
| const string & | configuration (const MarketContext &key) const |
| Return a configuration (or the default one if key not found). | |
| void | init (EngineFactory *const engineFactory, 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. | |
| virtual std::string | engineParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const |
| virtual std::string | modelParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const |
| const std::map< std::string, std::string > | globalParameters () const |
| EngineFactory * | engineFactory () const |
| return model builders | |
Protected Member Functions | |
| virtual std::string | keyImpl (const std::string &assetName, const QuantLib::Currency &ccy, const ore::data::AssetClass &assetClass) override |
| Protected Member Functions inherited from CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & > | |
| 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, const QuantLib::Date forwardDate=QuantLib::Date()) |
| Protected Member Functions inherited from CachingEngineBuilder< T, PricingEngine, Args... > | |
| virtual T | keyImpl (Args...)=0 |
| virtual QuantLib::ext::shared_ptr< PricingEngine > | engineImpl (Args...)=0 |
| Protected Member Functions inherited from EngineBuilder | |
| std::string | getParameter (const std::map< std::string, std::string > &m, const std::string &p, const std::vector< std::string > &qs, const bool mandatory, const std::string &defaultValue) const |
Additional Inherited Members | |
| Protected Attributes inherited from CachingOptionEngineBuilder< std::string, const std::string &, const QuantLib::Currency &, const ore::data::AssetClass & > | |
| AssetClass | assetClass_ |
| Protected Attributes inherited from CachingEngineBuilder< T, PricingEngine, Args... > | |
| map< T, QuantLib::ext::shared_ptr< PricingEngine > > | engines_ |
| Protected Attributes inherited from EngineBuilder | |
| string | model_ |
| string | engine_ |
| set< string > | tradeTypes_ |
| EngineFactory * | engineFactory_ |
| 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_ |
Engine builder for Cliquet Options.
Pricing engines are cached by currency
