ScriptedTradeEngineBuilder Class Reference

Inheritance diagram for ScriptedTradeEngineBuilder:

Public Member Functions
	ScriptedTradeEngineBuilder ()
	constructor that builds a usual pricing engine
	ScriptedTradeEngineBuilder (const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &amcCam, const std::vector< Date > &amcGrid)
	constructor that builds an AMC - enabled pricing engine
	ScriptedTradeEngineBuilder (const QuantLib::ext::shared_ptr< ore::data::ModelCG > &amcCgModel, const std::vector< Date > &amcGrid)
	constructor that builds an AMCCG pricing engine
QuantLib::ext::shared_ptr< QuantExt::ScriptedInstrument::engine >	engine (const std::string &id, const ScriptedTrade &scriptedTrade, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig())
const std::string &	npvCurrency () const
const QuantLib::Date &	lastRelevantDate () const
const std::string &	simmProductClass () const
const std::string &	scheduleProductClass () const
const std::string &	sensitivityTemplate () const
const std::map< std::string, std::set< Date > > &	fixings () const
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)
virtual void	reset ()
	reset the builder (e.g. clear cache)
void	init (const QuantLib::ext::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, QuantLib::ext::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 QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2)
void	clear ()
void	extractIndices (const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr)
void	deriveProductClass (const std::vector< ScriptedTradeValueTypeData > &indices)
void	populateModelParameters ()
void	populateFixingsMap (const IborFallbackConfig &iborFallbackConfig)
void	extractPayCcys ()
void	determineBaseCcy ()
void	compileModelCcyList ()
void	compileModelIndexLists ()
void	setupCorrelations ()
void	setLastRelevantDate ()
virtual void	setupBlackScholesProcesses ()
void	setupIrReversions ()
void	compileSimulationAndAddDates ()
void	buildBlackScholes (const std::string &id, const IborFallbackConfig &iborFallbackConfig)
void	buildFdBlackScholes (const std::string &id, const IborFallbackConfig &iborFallbackConfig)
void	buildLocalVol (const std::string &id, const IborFallbackConfig &iborFallbackConfig)
void	buildGaussianCam (const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates)
void	buildFdGaussianCam (const std::string &id, const IborFallbackConfig &iborFallbackConfig)
void	buildGaussianCamAMC (const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates)
void	buildAMCCGModel (const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates)
void	addAmcGridToContext (QuantLib::ext::shared_ptr< Context > &context) const
void	setupCalibrationStrikes (const ScriptedTradeScriptData &script, const QuantLib::ext::shared_ptr< Context > &context)
std::string	getEqCcy (const IndexInfo &e)
std::string	getCommCcy (const IndexInfo &e)

Protected Attributes
bool	buildingAmc_ = false
const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel >	amcCam_
const QuantLib::ext::shared_ptr< ore::data::ModelCG >	amcCgModel_
const std::vector< Date >	amcGrid_
std::map< std::string, ASTNodePtr >	astCache_
ASTNodePtr	ast_
std::string	npvCurrency_
QuantLib::Date	lastRelevantDate_
std::string	simmProductClass_
std::string	scheduleProductClass_
std::string	sensitivityTemplate_
std::map< std::string, std::set< Date > >	fixings_
QuantLib::ext::shared_ptr< StaticAnalyser >	staticAnalyser_
std::set< IndexInfo >	eqIndices_
std::set< IndexInfo >	commIndices_
std::set< IndexInfo >	irIndices_
std::set< IndexInfo >	infIndices_
std::set< IndexInfo >	fxIndices_
std::string	resolvedProductTag_
std::string	assetClassReplacement_
std::set< std::string >	payCcys_
std::string	baseCcy_
std::vector< std::string >	modelCcys_
std::vector< Handle< YieldTermStructure > >	modelCurves_
std::vector< Handle< Quote > >	modelFxSpots_
std::vector< std::string >	modelIndices_
std::vector< std::string >	modelIndicesCurrencies_
std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > >	modelIrIndices_
std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	modelInfIndices_
std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlations_
std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_
std::map< std::string, Real >	irReversions_
std::set< Date >	simulationDates_
std::set< Date >	addDates_
QuantLib::ext::shared_ptr< Model >	model_
QuantLib::ext::shared_ptr< ModelCG >	modelCG_
std::map< std::string, std::vector< Real > >	calibrationStrikes_
std::string	modelParam_
std::string	infModelType_
std::string	engineParam_
std::string	baseCcyParam_
std::string	gridCoarsening_
bool	fullDynamicFx_
bool	fullDynamicIr_
bool	enforceBaseCcy_
Size	modelSize_
Size	timeStepsPerYear_
Model::McParams	mcParams_
bool	interactive_
bool	zeroVolatility_
bool	continueOnCalibrationError_
std::vector< Real >	calibrationMoneyness_
Real	mesherEpsilon_
Real	mesherScaling_
Real	mesherConcentration_
Size	mesherMaxConcentratingPoints_
bool	mesherIsStatic_
std::string	referenceCalibrationGrid_
Real	bootstrapTolerance_
bool	calibrate_
std::string	calibration_
bool	useCg_
bool	useAd_
bool	useExternalComputeDevice_
bool	useDoublePrecisionForExternalCalculation_
bool	externalDeviceCompatibilityMode_
std::string	externalComputeDevice_
bool	includePastCashflows_
Protected Attributes inherited from EngineBuilder
string	model_
string	engine_
set< string >	tradeTypes_
QuantLib::ext::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, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_