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QPR-11568 move amc engine buidlers
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Lines changed: 72 additions & 14 deletions

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‎OREAnalytics/orea/app/initbuilders.cpp‎

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@@ -29,6 +29,67 @@
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#include <ored/portfolio/bondoption.hpp>
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#include <ored/portfolio/bondrepo.hpp>
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#include <ored/portfolio/bondtotalreturnswap.hpp>
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#include <ored/portfolio/builders/asianoption.hpp>
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#include <ored/portfolio/builders/bond.hpp>
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#include <ored/portfolio/builders/bondoption.hpp>
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#include <ored/portfolio/builders/bondrepo.hpp>
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#include <ored/portfolio/builders/bondtotalreturnswap.hpp>
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#include <ored/portfolio/builders/cachingenginebuilder.hpp>
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#include <ored/portfolio/builders/capfloor.hpp>
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#include <ored/portfolio/builders/capflooredaverageonindexedcouponleg.hpp>
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#include <ored/portfolio/builders/capflooredcpileg.hpp>
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#include <ored/portfolio/builders/capfloorediborleg.hpp>
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#include <ored/portfolio/builders/capfloorednonstandardyoyleg.hpp>
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#include <ored/portfolio/builders/capflooredovernightindexedcouponleg.hpp>
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#include <ored/portfolio/builders/capflooredyoyleg.hpp>
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#include <ored/portfolio/builders/cdo.hpp>
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#include <ored/portfolio/builders/cliquetoption.hpp>
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#include <ored/portfolio/builders/cms.hpp>
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#include <ored/portfolio/builders/cmsspread.hpp>
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#include <ored/portfolio/builders/commodityapo.hpp>
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#include <ored/portfolio/builders/commodityapomodelbuilder.hpp>
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#include <ored/portfolio/builders/commodityasianoption.hpp>
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#include <ored/portfolio/builders/commodityforward.hpp>
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#include <ored/portfolio/builders/commodityoption.hpp>
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#include <ored/portfolio/builders/commodityspreadoption.hpp>
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#include <ored/portfolio/builders/commodityswap.hpp>
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#include <ored/portfolio/builders/commodityswaption.hpp>
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#include <ored/portfolio/builders/cpicapfloor.hpp>
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#include <ored/portfolio/builders/creditdefaultswap.hpp>
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#include <ored/portfolio/builders/creditdefaultswapoption.hpp>
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#include <ored/portfolio/builders/creditlinkedswap.hpp>
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#include <ored/portfolio/builders/currencyswap.hpp>
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#include <ored/portfolio/builders/durationadjustedcms.hpp>
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#include <ored/portfolio/builders/equityasianoption.hpp>
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#include <ored/portfolio/builders/equitybarrieroption.hpp>
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#include <ored/portfolio/builders/equitycompositeoption.hpp>
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#include <ored/portfolio/builders/equitydigitaloption.hpp>
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#include <ored/portfolio/builders/equitydoublebarrieroption.hpp>
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#include <ored/portfolio/builders/equitydoubletouchoption.hpp>
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#include <ored/portfolio/builders/equityforward.hpp>
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#include <ored/portfolio/builders/equityfuturesoption.hpp>
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#include <ored/portfolio/builders/equityoption.hpp>
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#include <ored/portfolio/builders/equitytouchoption.hpp>
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#include <ored/portfolio/builders/forwardbond.hpp>
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#include <ored/portfolio/builders/fxasianoption.hpp>
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#include <ored/portfolio/builders/fxbarrieroption.hpp>
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#include <ored/portfolio/builders/fxdigitalbarrieroption.hpp>
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#include <ored/portfolio/builders/fxdigitaloption.hpp>
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#include <ored/portfolio/builders/fxdoublebarrieroption.hpp>
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#include <ored/portfolio/builders/fxdoubletouchoption.hpp>
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#include <ored/portfolio/builders/fxforward.hpp>
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#include <ored/portfolio/builders/fxoption.hpp>
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#include <ored/portfolio/builders/fxtouchoption.hpp>
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#include <ored/portfolio/builders/indexcreditdefaultswap.hpp>
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#include <ored/portfolio/builders/indexcreditdefaultswapoption.hpp>
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#include <ored/portfolio/builders/multilegoption.hpp>
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#include <ored/portfolio/builders/quantoequityoption.hpp>
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#include <ored/portfolio/builders/quantovanillaoption.hpp>
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#include <ored/portfolio/builders/swap.hpp>
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#include <ored/portfolio/builders/swaption.hpp>
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#include <ored/portfolio/builders/vanillaoption.hpp>
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#include <ored/portfolio/builders/varianceswap.hpp>
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#include <ored/portfolio/builders/yoycapfloor.hpp>
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#include <ored/portfolio/capfloor.hpp>
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#include <ored/portfolio/cdo.hpp>
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#include <ored/portfolio/cliquetoption.hpp>
@@ -120,6 +181,12 @@
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#define REG_LEGBUILDER(NAME, CLASS) \
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ore::data::EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<CLASS>(); });
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#define REG_AMC_ENGINE_BUILDER(CLASS) \
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ore::data::EngineBuilderFactory::instance().addAmcEngineBuilder( \
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[](const boost::shared_ptr<QuantExt::CrossAssetModel>& cam, const std::vector<ore::data::Date>& grid) { \
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return boost::make_shared<CLASS>(cam, grid); \
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});
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namespace ore::analytics {
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void initBuilders() {
@@ -241,6 +308,11 @@ void initBuilders() {
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REG_LEGBUILDER("DigitalCMSSpreadLegBuilder", ore::data::DigitalCMSSpreadLegBuilder)
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REG_LEGBUILDER("EquityLegBuilder", ore::data::EquityLegBuilder)
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REG_LEGBUILDER("EquityMarginLegBuilder", ore::data::EquityMarginLegBuilder)
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REG_AMC_ENGINE_BUILDER(ore::data::CamAmcCurrencySwapEngineBuilder)
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REG_AMC_ENGINE_BUILDER(ore::data::LgmAmcBermudanSwaptionEngineBuilder)
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REG_AMC_ENGINE_BUILDER(ore::data::CamAmcSwapEngineBuilder)
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REG_AMC_ENGINE_BUILDER(ore::data::CamAmcFxOptionEngineBuilder)
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}
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} // namespace ore::analytics

‎OREData/ored/portfolio/builders/currencyswap.cpp‎

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@@ -38,8 +38,6 @@ struct CcyComp {
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};
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} // namespace
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ORE_REGISTER_AMC_ENGINE_BUILDER_IMPL(CamAmcCurrencySwapEngineBuilder)
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boost::shared_ptr<PricingEngine> CamAmcCurrencySwapEngineBuilder::engineImpl(const std::vector<Currency>& ccys,
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const Currency& base) {
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‎OREData/ored/portfolio/builders/currencyswap.hpp‎

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//! Multileg option engine builder for external cam, with additional simulation dates (AMC)
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class CamAmcCurrencySwapEngineBuilder : public CrossCurrencySwapEngineBuilderBase {
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ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcCurrencySwapEngineBuilder)
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public:
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// for external cam, with additional simulation dates (AMC)
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CamAmcCurrencySwapEngineBuilder(const boost::shared_ptr<QuantExt::CrossAssetModel>& cam,

‎OREData/ored/portfolio/builders/fxoption.cpp‎

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@@ -36,7 +36,6 @@ ORE_REGISTER_ENGINE_BUILDER_IMPL(FxEuropeanOptionEngineBuilder)
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ORE_REGISTER_ENGINE_BUILDER_IMPL(FxEuropeanCSOptionEngineBuilder)
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ORE_REGISTER_ENGINE_BUILDER_IMPL(FxAmericanOptionFDEngineBuilder)
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ORE_REGISTER_ENGINE_BUILDER_IMPL(FxAmericanOptionBAWEngineBuilder)
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ORE_REGISTER_AMC_ENGINE_BUILDER_IMPL(CamAmcFxOptionEngineBuilder)
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boost::shared_ptr<PricingEngine> CamAmcFxOptionEngineBuilder::engineImpl(const string& assetName,
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const Currency& domCcy,

‎OREData/ored/portfolio/builders/fxoption.hpp‎

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@@ -80,8 +80,6 @@ class FxAmericanOptionBAWEngineBuilder : public AmericanOptionBAWEngineBuilder {
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//! FX option engine builder for external cam, with additional simulation dates (AMC)
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class CamAmcFxOptionEngineBuilder : public VanillaOptionEngineBuilder {
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ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcFxOptionEngineBuilder)
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public:
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// for external cam, with additional simulation dates (AMC)
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CamAmcFxOptionEngineBuilder(const boost::shared_ptr<QuantExt::CrossAssetModel>& cam,

‎OREData/ored/portfolio/builders/swap.cpp‎

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@@ -34,7 +34,6 @@ using namespace QuantExt;
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ORE_REGISTER_ENGINE_BUILDER_IMPL(SwapEngineBuilder)
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ORE_REGISTER_ENGINE_BUILDER_IMPL(SwapEngineBuilderOptimised);
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ORE_REGISTER_ENGINE_BUILDER_IMPL(CrossCurrencySwapEngineBuilder)
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ORE_REGISTER_AMC_ENGINE_BUILDER_IMPL(CamAmcSwapEngineBuilder)
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boost::shared_ptr<PricingEngine> CamAmcSwapEngineBuilder::buildMcEngine(const boost::shared_ptr<LGM>& lgm,
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const Handle<YieldTermStructure>& discountCurve,

‎OREData/ored/portfolio/builders/swap.hpp‎

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@@ -138,8 +138,6 @@ class CrossCurrencySwapEngineBuilder : public CrossCurrencySwapEngineBuilderBase
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/*! \ingroup portfolio
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*/
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class CamAmcSwapEngineBuilder : public SwapEngineBuilderBase {
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ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcSwapEngineBuilder)
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public:
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CamAmcSwapEngineBuilder(const boost::shared_ptr<QuantExt::CrossAssetModel>& cam,
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const std::vector<Date>& simulationDates)

‎OREData/ored/portfolio/builders/swaption.cpp‎

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@@ -62,7 +62,6 @@ namespace data {
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ORE_REGISTER_ENGINE_BUILDER_IMPL(EuropeanSwaptionEngineBuilder)
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ORE_REGISTER_ENGINE_BUILDER_IMPL(LGMGridBermudanSwaptionEngineBuilder)
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ORE_REGISTER_ENGINE_BUILDER_IMPL(LgmMcBermudanSwaptionEngineBuilder)
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ORE_REGISTER_AMC_ENGINE_BUILDER_IMPL(LgmAmcBermudanSwaptionEngineBuilder)
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boost::shared_ptr<PricingEngine> EuropeanSwaptionEngineBuilder::engineImpl(const string& key) {
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boost::shared_ptr<IborIndex> index;

‎OREData/ored/portfolio/builders/swaption.hpp‎

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@@ -139,7 +139,6 @@ class LgmMcBermudanSwaptionEngineBuilder : public LGMBermudanSwaptionEngineBuild
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// Implementation of BermudanSwaptionEngineBuilder for external cam, with additional simulation dates (AMC)
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class LgmAmcBermudanSwaptionEngineBuilder : public BermudanSwaptionEngineBuilder {
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ORE_REGISTER_AMC_ENGINE_BUILDER(LgmAmcBermudanSwaptionEngineBuilder)
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public:
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LgmAmcBermudanSwaptionEngineBuilder(const boost::shared_ptr<QuantExt::CrossAssetModel>& cam,
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const std::vector<Date>& simulationDates)

‎OREData/ored/portfolio/enginefactory.hpp‎

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#define ORE_REGISTER_ENGINE_BUILDER(CLASSNAME) static ore::data::EngineBuilderRegister<CLASSNAME> reg_eb_;
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#define ORE_REGISTER_ENGINE_BUILDER_IMPL(CLASSNAME) ore::data::EngineBuilderRegister<CLASSNAME> CLASSNAME::reg_eb_;
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#define ORE_REGISTER_AMC_ENGINE_BUILDER(CLASSNAME) static ore::data::AmcEngineBuilderRegister<CLASSNAME> reg_amceb_;
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#define ORE_REGISTER_AMC_ENGINE_BUILDER_IMPL(CLASSNAME) ore::data::AmcEngineBuilderRegister<CLASSNAME> CLASSNAME::reg_amceb_;
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namespace ore {
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namespace data {

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