Base PricingEngine Builder class for a specific model and engine. More...

#include <ored/portfolio/enginefactory.hpp>

Inheritance diagram for EngineBuilder:

Public Member Functions
	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)

virtual void	reset ()
	reset the builder (e.g. clear cache)

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 Attributes
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

Base PricingEngine Builder class for a specific model and engine.

The EngineBuilder is responsible for building pricing engines for a specific Model and Engine.

Each builder should implement a method with a signature

boost::shared_ptr<PricingEngine> engine (...);

The exact parameters of each method can vary depending on the type of engine.

An EngineBuilder can cache engines and return the same PricingEngine multiple times, alternatively the Builder can build a unique PricingEngine each time it is called.

For example a swap engine builder can have the interface

boost::shared_ptr<PricingEngine> engine (const Currency&);

and so returns the same (cached) engine every time it is asked for a particular currency.

The interface of each type of engine builder can be different, then there can be further sub-classes for different models and engines.

EngineBuilders are registered in an EngineFactory, multiple engine builders for the same trade type can be registered with the EngineFactory and it will select the appropriate one based on configuration.

Each EngineBuilder must return it's Model and Engine.

Constructor & Destructor Documentation

◆ EngineBuilder()

EngineBuilder	(	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

Member Function Documentation

◆ init()

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.

This method should not be called directly, it is called by the EngineFactory before it is returned.

◆ engineParameter()

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

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

◆ modelParameter()

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

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

Public Member Functions