Reference manual - version ored_version
European Swaption Engine Builder. More...
#include <ored/portfolio/builders/swaption.hpp>
Inheritance diagram for EuropeanSwaptionEngineBuilder:Protected Member Functions | |
| virtual string | keyImpl (const string &key) override |
| virtual boost::shared_ptr< PricingEngine > | engineImpl (const string &key) override |
| Protected Member Functions inherited from CachingEngineBuilder< T, U, Args > | |
| virtual T | keyImpl (Args...)=0 |
| virtual boost::shared_ptr< U > | engineImpl (Args...)=0 |
Additional Inherited Members | |
| Public Member Functions inherited from CachingEngineBuilder< T, U, Args > | |
| 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 Attributes inherited from CachingEngineBuilder< T, U, Args > | |
| 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_ |
European Swaption Engine Builder.
European Swaptions are priced with Black or Bachelier pricing engines, depending on the volatility type provided by Market (if it is normal, this builder returns a Bachelier engine, if it is lognormal (or lognormal shifted) it will be a Black engine.
Engines are cached based on currency
