RPA Numeric LGM engine builder for tlock underlyings. More...
#include <ored/portfolio/builders/riskparticipationagreement.hpp>
Protected Member Functions | |
boost::shared_ptr< QuantLib::PricingEngine > | engineImpl (const std::string &id, RiskParticipationAgreement *rpa) override |
Protected Member Functions inherited from RiskParticipationAgreementLGMGridEngineBuilder | |
boost::shared_ptr< QuantExt::LGM > | model (const string &id, const string &key, const std::vector< Date > &expiries, const Date &maturity, const std::vector< Real > &strikes) |
Protected Member Functions inherited from RiskParticipationAgreementEngineBuilderBase | |
virtual std::string | keyImpl (const std::string &id, RiskParticipationAgreement *rpa) override |
std::map< std::string, Handle< YieldTermStructure > > | getDiscountCurves (RiskParticipationAgreement *rpa) |
std::map< std::string, Handle< Quote > > | getFxSpots (RiskParticipationAgreement *rpa) |
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 RiskParticipationAgreementLGMGridEngineBuilder | |
RiskParticipationAgreementLGMGridEngineBuilder (const std::set< std::string > &tradeTypes) | |
Public Member Functions inherited from RiskParticipationAgreementEngineBuilderBase | |
RiskParticipationAgreementEngineBuilderBase (const std::string &model, const std::string &engine, const std::set< std::string > &tradeTypes) | |
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_ |
RPA Numeric LGM engine builder for tlock underlyings.