EngineFactory Class Reference

Pricing Engine Factory class. More...

#include <ored/portfolio/enginefactory.hpp>

Classes
struct	ParameterOverride

Public Member Functions
	EngineFactory (const QuantLib::ext::shared_ptr< EngineData > &data, const QuantLib::ext::shared_ptr< Market > &market, const map< MarketContext, string > &configurations=std::map< MarketContext, string >(), const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const std::vector< QuantLib::ext::shared_ptr< EngineBuilder > > extraEngineBuilders={})
	Create an engine factory.
const QuantLib::ext::shared_ptr< Market > &	market () const
	Return the market used by this EngineFactory.
const map< MarketContext, string > &	configurations () const
	Return the market configurations used by this EngineFactory.
const string &	configuration (const MarketContext &key) const
	Return a configuration (or the default one if key not found).
const QuantLib::ext::shared_ptr< EngineData >	engineData () const
	Return the EngineData parameters.
const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData () const
	Return the reference data used by this EngineFactory.
const QuantLib::ext::shared_ptr< IborFallbackConfig > &	iborFallbackConfig () const
	Return the ibor fallback config.
QuantLib::ext::shared_ptr< EngineBuilder >	builder (const string &tradeType)
	Get a builder by trade type.
QuantLib::ext::shared_ptr< LegBuilder >	legBuilder (const LegType &legType)
	Get a leg builder by leg type.
set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &	modelBuilders ()
	return model builders
void	setModelParameterOverrides (const std::vector< ParameterOverride > &overrides)
void	setEngineParameterOverrides (const std::vector< ParameterOverride > &overrides)

Detailed Description

Pricing Engine Factory class.

A Pricing Engine Factory is used when building a portfolio, it provides QuantLib::PricingEngines to each of the Trade objects.

An Engine Factory is configured on two levels, both from EngineData. The first level is the type of builder (Model and Engine) to use for each trade type, so given a trade type one asks the factory for a builder and then the builder for a PricingEngine. Each builder must be registered with the factory and then the configuration defines which builder to use.

Secondly, the factory maintains builder specific parameters for each Model and Engine.

Constructor & Destructor Documentation

EngineFactory()

EngineFactory	(	const QuantLib::ext::shared_ptr< EngineData > &	data,
		const QuantLib::ext::shared_ptr< Market > &	market,
		const map< MarketContext, string > &	configurations = std::map< MarketContext, string >(),
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = nullptr,
		const QuantLib::ext::shared_ptr< IborFallbackConfig > &	iborFallbackConfig = QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()),
		const std::vector< QuantLib::ext::shared_ptr< EngineBuilder > >	extraEngineBuilders = {} )

Create an engine factory.

Parameters

data	Configuration data
market	The market that is passed to each builder
configurations	The market configurations that are passed to each builder
referenceData	reference data
iborFallbackConfig	ibor fallback config
extraEngineBuilders	additional engine builders

Member Function Documentation

builder()

QuantLib::ext::shared_ptr< EngineBuilder > builder

(

const string &

tradeType

)

Get a builder by trade type.

This will look up configured model/engine for that trade type the returned builder can be cast to the type required for the tradeType.

The factory will call EngineBuilder::init() before returning it.