public override void Build(EngineFactory engineFactory)
{
Currency boughtCcy = Parsers.ParseCurrency(_boughtCurrency);
Currency soldCcy = Parsers.ParseCurrency(_soldCurrency);
Date maturityDate = Parsers.ParseDate(_maturityDate);
//QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxForward");
try
{
//DLOG("Build FxForward with maturity date " << QuantLib::io::iso_date(maturityDate));
QLNet.Instrument instrument = new FxForward(_boughtAmount, boughtCcy, _soldAmount, soldCcy, maturityDate, false);
//instrument_.reset(new VanillaInstrument(instrument));
_npvCurrency = _soldCurrency;
_notional = _soldAmount;
_maturity = maturityDate;
}
catch (Exception ex)
{
//_instrument.reset();
throw;
}
SimpleCashFlow cf1 = new SimpleCashFlow(_boughtAmount, maturityDate);
SimpleCashFlow cf2 = new SimpleCashFlow(_soldAmount, maturityDate);
_legs = new List <List <CashFlow> >()
{
new List <CashFlow> {
cf1, cf2
}
};
_legCurrencies = new List <string> {
_boughtCurrency, _soldCurrency
};
_legPayers = new List <bool> {
false, true
};
// set Pricing engine
EngineBuilder builder = engineFactory.Builder(_tradeType);
QLNet.Utils.QL_REQUIRE(builder != null, () => "No builder found for " + _tradeType);
FxForwardEngineBuilder fxBuilder = builder as FxForwardEngineBuilder;
_instrument.setPricingEngine(fxBuilder.Engine(boughtCcy, soldCcy));
//DLOG("FxForward leg 0: " << legs_[0][0]->date() << " " << legs_[0][0]->amount());
//DLOG("FxForward leg 1: " << legs_[1][0]->date() << " " << legs_[1][0]->amount());
}
public EngineBuilder Builder(string tradeType)
{
// Check that we have a model/engine for tradetype
QLNet.Utils.QL_REQUIRE(_engineData.HasProduct(tradeType), () => "EngineFactory does not have a model/engine for trade type " + tradeType);
string model = _engineData.Model(tradeType);
string engine = _engineData.Engine(tradeType);
HashSet <string> set = new HashSet <string>()
{
tradeType
};
Tuple <string, string, HashSet <string> > key = new Tuple <string, string, HashSet <string> >(model, engine, set);
QLNet.Utils.QL_REQUIRE(_builders.ContainsKey(key), () => "No EngineBuilder for " + model + "/" + engine + "/" + tradeType);
EngineBuilder builder = _builders[key];
builder.Init(_market, _configurations, _engineData.ModelParameters(tradeType), _engineData.EngineParameters(tradeType));
return(builder);
}
public void RegisterBuilder(EngineBuilder builder)
{
}