Inheritance diagram for ScriptedTradeEngineBuilder:

Public Member Functions
	ScriptedTradeEngineBuilder ()
	constructor that builds a usual pricing engine
	ScriptedTradeEngineBuilder (const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &amcCam, const std::vector< Date > &amcSimDates, const std::vector< Date > &amcStickyCloseOutDates)
	constructor that builds an AMC - enabled pricing engine
	ScriptedTradeEngineBuilder (const QuantLib::ext::shared_ptr< ore::data::ModelCG > &amcCgModel, const std::vector< Date > &amcSimDates)
	constructor that builds an AMCCG pricing engine
QuantLib::ext::shared_ptr< QuantExt::ScriptedInstrument::engine >	engine (const std::string &id, const ScriptedTrade &scriptedTrade, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()))
const std::string &	npvCurrency () const
const QuantLib::Date &	lastRelevantDate () const
const std::string &	lastRelevantDateType () const
bool	includePastCashflows () const
const std::string &	simmProductClass () const
const std::string &	scheduleProductClass () const
const std::string &	sensitivityTemplate () const
const std::map< std::string, std::set< Date > > &	fixings () const
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).
virtual void	reset ()
	reset the builder (e.g. clear cache)
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.
const std::map< std::string, std::string >	globalParameters () const
EngineFactory *	engineFactory () const
	return model builders

Protected Member Functions
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2) const
void	clear ()
void	extractIndices (const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr)
void	deriveProductClass (const std::vector< ScriptedTradeValueTypeData > &indices)
void	populateModelParameters ()
void	populateFixingsMap (const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
void	extractPayCcys ()
void	determineBaseCcy ()
void	compileModelCcyList ()
void	compileModelIndexLists ()
void	setupCorrelations ()
void	setLastRelevantDate ()
virtual void	setupBlackScholesProcesses ()
void	setupIrReversions ()
void	compileSimulationAndAddDates ()
void	buildBlackScholes (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
void	buildFdBlackScholes (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
void	buildLocalVol (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
void	buildFdLocalVol (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
void	buildGaussianCam (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates)
void	buildFdGaussianCam (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
void	buildGaussianCamAMC (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates)
void	buildAMCCGModel (const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates)
void	addAmcGridToContext (QuantLib::ext::shared_ptr< Context > &context) const
void	setupCalibrationStrikes (const ScriptedTradeScriptData &script, const QuantLib::ext::shared_ptr< Context > &context)
std::string	engineParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const override
std::string	modelParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const override
std::vector< std::string >	getModelEngineQualifiers (const std::string &addQualifier={}) const
std::string	getEqCcy (const IndexInfo &e)
std::string	getCommCcy (const IndexInfo &e)
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

Protected Attributes
bool	buildingAmc_ = false
bool	buildingAmcCg_ = false
const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel >	amcCam_
const QuantLib::ext::shared_ptr< ore::data::ModelCG >	amcCgModel_
const std::vector< Date >	amcSimDates_
const std::vector< Date >	amcStickyCloseOutDates_
std::map< std::string, ASTNodePtr >	astCache_
ASTNodePtr	ast_
std::string	npvCurrency_
QuantLib::Date	lastRelevantDate_
std::string	lastRelevantDateType_
std::string	simmProductClass_
std::string	scheduleProductClass_
std::string	sensitivityTemplate_
std::map< std::string, std::set< Date > >	fixings_
std::string	tradeType_
QuantLib::ext::shared_ptr< StaticAnalyser >	staticAnalyser_
std::set< IndexInfo >	eqIndices_
std::set< IndexInfo >	commIndices_
std::set< IndexInfo >	irIndices_
std::set< IndexInfo >	infIndices_
std::set< IndexInfo >	fxIndices_
std::string	resolvedProductTag_
std::string	assetClassReplacement_
std::set< std::string >	payCcys_
std::string	baseCcy_
std::vector< std::string >	modelCcys_
std::vector< Handle< YieldTermStructure > >	modelCurves_
Handle< YieldTermStructure >	baseCcyModelCurve_
std::vector< Handle< Quote > >	modelFxSpots_
std::vector< std::string >	modelIndices_
std::vector< std::string >	modelIndicesCurrencies_
std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > >	modelIrIndices_
std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	modelInfIndices_
std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlations_
std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_
std::map< std::string, Real >	irReversions_
std::set< Date >	simulationDates_
std::set< Date >	addDates_
QuantLib::ext::shared_ptr< Model >	model_
QuantLib::ext::shared_ptr< ModelCG >	modelCG_
std::map< std::string, std::vector< Real > >	calibrationStrikes_
std::map< std::string, std::string >	modelParameterOverwrite_
std::map< std::string, std::string >	engineParameterOverwrite_
std::string	modelParam_
std::string	infModelType_
std::string	engineParam_
std::string	baseCcyParam_
std::string	gridCoarsening_
bool	fullDynamicFx_
bool	fullDynamicIr_
bool	enforceBaseCcy_
Size	modelSize_
Size	timeStepsPerYear_
Model::Params	params_
bool	interactive_
bool	zeroVolatility_
bool	continueOnCalibrationError_
bool	allowModelFallbacks_
std::vector< Real >	calibrationMoneyness_
std::string	referenceCalibrationGrid_
Real	bootstrapTolerance_
bool	calibrate_
std::string	calibration_
bool	useCg_
bool	useAd_
bool	useExternalComputeDevice_
bool	useDoublePrecisionForExternalCalculation_
bool	externalDeviceCompatibilityMode_
std::string	externalComputeDevice_
bool	includePastCashflows_
bool	staticNpvMem_
Real	indicatorSmoothingForValues_
Real	indicatorSmoothingForDerivatives_
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_

Member Function Documentation

◆ engineParameter()

std::string engineParameter	(	const std::string &	p,
		const std::vector< std::string > &	qualifiers = {},
		const bool	mandatory = true,
		const std::string &	defaultValue = "" ) const

overrideprotectedvirtual

retrieve engine parameter p, first look for p_qualifier, if this does not exist fall back to p

Reimplemented from EngineBuilder.

◆ modelParameter()

std::string modelParameter	(	const std::string &	p,
		const std::vector< std::string > &	qualifiers = {},
		const bool	mandatory = true,
		const std::string &	defaultValue = "" ) const

overrideprotectedvirtual

retrieve model parameter p, first look for p_qualifier, if this does not exist fall back to p

Reimplemented from EngineBuilder.

Public Member Functions

Protected Member Functions

Protected Attributes

Member Function Documentation

◆ engineParameter()

◆ modelParameter()