Reference manual - version ored_version
Engine Builder base class for Index Credit Default Swap Options. More...
#include <ored/portfolio/builders/indexcreditdefaultswapoption.hpp>
Inheritance diagram for IndexCreditDefaultSwapOptionEngineBuilder:Public Member Functions | |
| CreditPortfolioSensitivityDecomposition | sensitivityDecomposition () |
| 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 Member Functions | |
| IndexCreditDefaultSwapOptionEngineBuilder (const std::string &model, const std::string &engine) | |
| std::vector< std::string > | keyImpl (const QuantLib::Currency &ccy, const std::string &creditCurveId, const std::string &volCurveId, const std::vector< std::string > &creditCurveIds) 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 | |
| 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_ |
Engine Builder base class for Index Credit Default Swap Options.
Pricing engines are cached by the index CDS option trade's currency, the index CDS constituent credit curve IDs and the index CDS credit curve ID. If the term of the underlying index CDS is provided, it is appended to the index CDS credit curve ID also for the purposes of caching an engine.
