CachingEngineBuilder< T, U, Args > Class Template Reference

Abstract template EngineBuilder class that can cache engines and coupon pricers. More...

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

Inheritance diagram for CachingEngineBuilder< T, U, Args >:

Public Member Functions
	CachingEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)
boost::shared_ptr< U >	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)
	Return a configuration (or the default one if key not found)
void	init (const boost::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, boost::shared_ptr< QuantExt::ModelBuilder > > > &	modelBuilders () const
	return model builders
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 T	keyImpl (Args...)=0
virtual boost::shared_ptr< U >	engineImpl (Args...)=0

Protected Attributes
map< T, boost::shared_ptr< U > >	engines_
Protected Attributes inherited from EngineBuilder
string	model_
string	engine_
set< string >	tradeTypes_
boost::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, boost::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_

Detailed Description

template<class T, class U, typename... Args>
class ore::data::CachingEngineBuilder< T, U, Args >

Abstract template EngineBuilder class that can cache engines and coupon pricers.

Subclasses must implement two protected methods:

• keyImpl() returns a key that is used to cache
• engineImpl() return a new pricing engine or coupon pricer. When the engine() method is called the CachingEngineBuilder first looks in it's cache to see if it has an engine or coupon pricer for this key already if so it is returned, otherwise a new engine or coupon pricer is created, stored and returned.

The first template argument is the cache key type (e.g. a std::string) The second template argument is PricingEngine or FloatingRateCouponPricer The remaining variable arguments are to be passed to engine() and engineImpl(), these are the specific parameters required to build an engine or coupon pricer for this trade type.

Constructor & Destructor Documentation

CachingEngineBuilder()

CachingEngineBuilder	(	const string &	model,
		const string &	engine,
		const set< string > &	tradeTypes
	)

Constructor that takes a model and engine name

Parameters

model	the model name
engine	the engine name
tradeTypes	a set of trade types