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| ScriptedTradeEngineBuilder () |
| constructor that builds a usual pricing engine
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| ScriptedTradeEngineBuilder (const boost::shared_ptr< QuantExt::CrossAssetModel > &amcCam, const std::vector< Date > &amcGrid) |
| constructor that builds an AMC - enabled pricing engine
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boost::shared_ptr< QuantExt::ScriptedInstrument::engine > | engine (const std::string &id, const ScriptedTrade &scriptedTrade, const boost::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig()) |
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const std::string & | npvCurrency () const |
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const QuantLib::Date & | lastRelevantDate () const |
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const std::string & | simmProductClass () const |
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const std::string & | scheduleProductClass () const |
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const std::map< std::string, std::set< Date > > & | fixings () const |
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| EngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes) |
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virtual | ~EngineBuilder () |
| Virtual destructor.
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const string & | model () const |
| Return the model name.
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const string & | engine () const |
| Return the engine name.
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const set< string > & | tradeTypes () const |
| Return the possible trade types.
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const string & | configuration (const MarketContext &key) |
| Return a configuration (or the default one if key not found)
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virtual void | reset () |
| reset the builder (e.g. clear cache)
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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...
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const set< std::pair< string, boost::shared_ptr< QuantExt::ModelBuilder > > > & | modelBuilders () const |
| return model builders
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std::string | engineParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const |
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std::string | modelParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const |
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virtual QuantLib::Handle< QuantExt::CorrelationTermStructure > | correlationCurve (const std::string &index1, const std::string &index2) |
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void | clear () |
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void | extractIndices (const boost::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr) |
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void | deriveProductClass (const std::vector< ScriptedTradeValueTypeData > &indices) |
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void | populateModelParameters () |
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void | populateFixingsMap (const IborFallbackConfig &iborFallbackConfig) |
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void | extractPayCcys () |
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void | determineBaseCcy () |
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void | compileModelCcyList () |
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void | compileModelIndexLists () |
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void | setupCorrelations () |
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void | setLastRelevantDate () |
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virtual void | setupBlackScholesProcesses () |
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void | setupIrReversions () |
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void | compileSimulationAndAddDates () |
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void | buildBlackScholes (const std::string &id, const IborFallbackConfig &iborFallbackConfig) |
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void | buildFdBlackScholes (const std::string &id, const IborFallbackConfig &iborFallbackConfig) |
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void | buildLocalVol (const std::string &id, const IborFallbackConfig &iborFallbackConfig) |
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void | buildGaussianCam (const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) |
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void | buildGaussianCamAMC (const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) |
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void | addAmcGridToContext (boost::shared_ptr< Context > &context) const |
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void | setupCalibrationStrikes (const ScriptedTradeScriptData &script, const boost::shared_ptr< Context > &context) |
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std::string | getEqCcy (const IndexInfo &e) |
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std::string | getCommCcy (const IndexInfo &e) |
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const boost::shared_ptr< QuantExt::CrossAssetModel > | amcCam_ |
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const std::vector< Date > | amcGrid_ |
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std::map< std::string, ASTNodePtr > | astCache_ |
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ASTNodePtr | ast_ |
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std::string | npvCurrency_ |
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QuantLib::Date | lastRelevantDate_ |
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std::string | simmProductClass_ |
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std::string | scheduleProductClass_ |
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std::map< std::string, std::set< Date > > | fixings_ |
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boost::shared_ptr< StaticAnalyser > | staticAnalyser_ |
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std::set< IndexInfo > | eqIndices_ |
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std::set< IndexInfo > | commIndices_ |
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std::set< IndexInfo > | irIndices_ |
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std::set< IndexInfo > | infIndices_ |
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std::set< IndexInfo > | fxIndices_ |
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std::string | resolvedProductTag_ |
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std::string | assetClassReplacement_ |
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std::set< std::string > | payCcys_ |
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std::string | baseCcy_ |
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std::vector< std::string > | modelCcys_ |
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std::vector< Handle< YieldTermStructure > > | modelCurves_ |
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std::vector< Handle< Quote > > | modelFxSpots_ |
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std::vector< std::string > | modelIndices_ |
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std::vector< std::string > | modelIndicesCurrencies_ |
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std::vector< std::pair< std::string, boost::shared_ptr< InterestRateIndex > > > | modelIrIndices_ |
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std::vector< std::pair< std::string, boost::shared_ptr< ZeroInflationIndex > > > | modelInfIndices_ |
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std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > | correlations_ |
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std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess > > | processes_ |
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std::map< std::string, Real > | irReversions_ |
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std::set< Date > | simulationDates_ |
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std::set< Date > | addDates_ |
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boost::shared_ptr< Model > | model_ |
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boost::shared_ptr< ModelCG > | modelCG_ |
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std::map< std::string, std::vector< Real > > | calibrationStrikes_ |
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std::string | modelParam_ |
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std::string | infModelType_ |
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std::string | engineParam_ |
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std::string | baseCcyParam_ |
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std::string | gridCoarsening_ |
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bool | fullDynamicFx_ |
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bool | fullDynamicIr_ |
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bool | enforceBaseCcy_ |
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Size | modelSize_ |
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Size | timeStepsPerYear_ |
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Model::McParams | mcParams_ |
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bool | interactive_ |
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bool | zeroVolatility_ |
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bool | continueOnCalibrationError_ |
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std::vector< Real > | calibrationMoneyness_ |
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Real | mesherEpsilon_ |
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Real | mesherScaling_ |
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Real | mesherConcentration_ |
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Size | mesherMaxConcentratingPoints_ |
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bool | mesherIsStatic_ |
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std::string | referenceCalibrationGrid_ |
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Real | bootstrapTolerance_ |
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bool | calibrate_ |
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std::string | calibration_ |
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bool | useCg_ |
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bool | useAd_ |
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bool | useExternalComputeDevice_ |
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std::string | externalComputeDevice_ |
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string | model_ |
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string | engine_ |
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set< string > | tradeTypes_ |
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boost::shared_ptr< Market > | market_ |
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map< MarketContext, string > | configurations_ |
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map< string, string > | modelParameters_ |
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map< string, string > | engineParameters_ |
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std::map< std::string, std::string > | globalParameters_ |
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set< std::pair< string, boost::shared_ptr< QuantExt::ModelBuilder > > > | modelBuilders_ |
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