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Use make_shared in pricing engines #2636

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9f56361
Use make_shared in pricing engines
jewonj0620 Jun 21, 2026
be8970b
comment applied for auto declaration
jewonj0620 Jul 16, 2026
7862be6
Use make_shared for boundary conditions
jewonj0620 Jul 17, 2026
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29 changes: 11 additions & 18 deletions ql/pricingengines/asian/fdblackscholesasianengine.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -57,9 +57,8 @@ namespace QuantLib {
const ext::shared_ptr<StrikedTypePayoff> payoff =
ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
const Time maturity = process_->time(arguments_.exercise->lastDate());
const ext::shared_ptr<Fdm1dMesher> equityMesher(
new FdmBlackScholesMesher(xGrid_, process_, maturity,
payoff->strike()));
const auto equityMesher = ext::make_shared<FdmBlackScholesMesher>(xGrid_, process_, maturity,
payoff->strike());

const Real spot = process_->x0();
QL_REQUIRE(spot > 0.0, "negative or null underlying given");
Expand All @@ -76,16 +75,13 @@ namespace QuantLib {
Real xMin = std::min(std::log(avg) - 0.25*r, std::log(spot) - 1.5*r);
Real xMax = std::max(std::log(avg) + 0.25*r, std::log(spot) + 1.5*r);

const ext::shared_ptr<Fdm1dMesher> averageMesher(
new FdmBlackScholesMesher(aGrid_, process_, maturity,
payoff->strike(), xMin, xMax));
const auto averageMesher = ext::make_shared<FdmBlackScholesMesher>(aGrid_, process_, maturity,
payoff->strike(), xMin, xMax);

const ext::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(equityMesher, averageMesher));
const auto mesher = ext::make_shared<FdmMesherComposite>(equityMesher, averageMesher);

// 2. Calculator
ext::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmLogInnerValue(payoff, mesher, 1));
auto calculator = ext::make_shared<FdmLogInnerValue>(payoff, mesher, 1);

// 3. Step conditions
std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;
Expand All @@ -99,24 +95,21 @@ namespace QuantLib {
averageTimes.push_back(t);
}
stoppingTimes.emplace_back(averageTimes);
stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(
new FdmArithmeticAverageCondition(
stepConditions.push_back(ext::make_shared<FdmArithmeticAverageCondition>(
averageTimes, arguments_.runningAccumulator,
arguments_.pastFixings, mesher, 0)));
arguments_.pastFixings, mesher, 0));

ext::shared_ptr<FdmStepConditionComposite> conditions(
new FdmStepConditionComposite(stoppingTimes, stepConditions));
auto conditions = ext::make_shared<FdmStepConditionComposite>(stoppingTimes, stepConditions);

// 4. Boundary conditions
const FdmBoundaryConditionSet boundaries;

// 5. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity, tGrid_, 0 };
ext::shared_ptr<FdmSimple2dBSSolver> solver(
new FdmSimple2dBSSolver(
auto solver = ext::make_shared<FdmSimple2dBSSolver>(
Handle<GeneralizedBlackScholesProcess>(process_),
payoff->strike(), solverDesc, schemeDesc_));
payoff->strike(), solverDesc, schemeDesc_);

results_.value = solver->valueAt(spot, avg);
results_.delta = solver->deltaAt(spot, avg, spot*0.01);
Expand Down
20 changes: 7 additions & 13 deletions ql/pricingengines/asian/mc_discr_arith_av_price.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -75,8 +75,7 @@ namespace QuantLib {
ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(
this->process_);
QL_REQUIRE(process, "Black-Scholes process required");
return ext::shared_ptr<PricingEngine>(new
AnalyticDiscreteGeometricAveragePriceAsianEngine(process));
return ext::make_shared<AnalyticDiscreteGeometricAveragePriceAsianEngine>(process);
}
};

Expand Down Expand Up @@ -141,14 +140,12 @@ namespace QuantLib {
this->process_);
QL_REQUIRE(process, "Black-Scholes process required");

return ext::shared_ptr<typename
MCDiscreteArithmeticAPEngine<RNG,S>::path_pricer_type>(
new ArithmeticAPOPathPricer(
return ext::make_shared<ArithmeticAPOPathPricer>(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(exercise->lastDate()),
this->arguments_.runningAccumulator,
this->arguments_.pastFixings));
this->arguments_.pastFixings);
}

template <class RNG, class S>
Expand All @@ -175,12 +172,10 @@ namespace QuantLib {
// for seasoned option the geometric strike might be rescaled
// to obtain an equivalent arithmetic strike.
// Any change applied here MUST be applied to the analytic engine too
return ext::shared_ptr<typename
MCDiscreteArithmeticAPEngine<RNG,S>::path_pricer_type>(
new GeometricAPOPathPricer(
return ext::make_shared<GeometricAPOPathPricer>(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(this->timeGrid().back())));
process->riskFreeRate()->discount(this->timeGrid().back()));
}

template <class RNG = PseudoRandom, class S = Statistics>
Expand Down Expand Up @@ -274,13 +269,12 @@ namespace QuantLib {
inline
MakeMCDiscreteArithmeticAPEngine<RNG,S>::operator ext::shared_ptr<PricingEngine>()
const {
return ext::shared_ptr<PricingEngine>(new
MCDiscreteArithmeticAPEngine<RNG,S>(process_,
return ext::make_shared<MCDiscreteArithmeticAPEngine<RNG,S>>(process_,
brownianBridge_,
antithetic_, controlVariate_,
samples_, tolerance_,
maxSamples_,
seed_));
seed_);
}


Expand Down
20 changes: 7 additions & 13 deletions ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp
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Expand Up @@ -74,8 +74,7 @@ namespace QuantLib {
ext::shared_ptr<P> process = ext::dynamic_pointer_cast<P>(this->process_);
QL_REQUIRE(process, "Heston-like process required");

return ext::shared_ptr<PricingEngine>(new
AnalyticDiscreteGeometricAveragePriceAsianHestonEngine(process));
return ext::make_shared<AnalyticDiscreteGeometricAveragePriceAsianHestonEngine>(process);
}
};

Expand Down Expand Up @@ -180,15 +179,13 @@ namespace QuantLib {
ext::dynamic_pointer_cast<P>(this->process_);
QL_REQUIRE(process, "Heston like process required");

return ext::shared_ptr<typename
MCDiscreteArithmeticAPHestonEngine<RNG,S,P>::path_pricer_type>(
new ArithmeticAPOHestonPathPricer(
return ext::make_shared<ArithmeticAPOHestonPathPricer>(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(exercise->lastDate()),
fixingIndexes,
this->arguments_.runningAccumulator,
this->arguments_.pastFixings));
this->arguments_.pastFixings);
}

template <class RNG, class S, class P>
Expand Down Expand Up @@ -224,13 +221,11 @@ namespace QuantLib {
// pass seasoning details to the path pricer (NB. NEED to pass them to
// the analytic pricer as well in that case).

return ext::shared_ptr<typename
MCDiscreteArithmeticAPHestonEngine<RNG,S,P>::path_pricer_type>(
new GeometricAPOHestonPathPricer(
return ext::make_shared<GeometricAPOHestonPathPricer>(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(exercise->lastDate()),
fixingIndexes));
fixingIndexes);
}

template <class RNG, class S, class P>
Expand Down Expand Up @@ -309,16 +304,15 @@ namespace QuantLib {

template <class RNG, class S, class P>
inline MakeMCDiscreteArithmeticAPHestonEngine<RNG,S,P>::operator ext::shared_ptr<PricingEngine>() const {
return ext::shared_ptr<PricingEngine>(new
MCDiscreteArithmeticAPHestonEngine<RNG,S,P>(process_,
return ext::make_shared<MCDiscreteArithmeticAPHestonEngine<RNG,S,P>>(process_,
antithetic_,
samples_,
tolerance_,
maxSamples_,
seed_,
steps_,
stepsPerYear_,
controlVariate_));
controlVariate_);
}
}

Expand Down
11 changes: 4 additions & 7 deletions ql/pricingengines/asian/mc_discr_arith_av_strike.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -143,14 +143,12 @@ namespace QuantLib {
}
}

return ext::shared_ptr<typename
MCDiscreteArithmeticASEngine<RNG,S>::path_pricer_type>(
new ArithmeticASOPathPricer(
return ext::make_shared<ArithmeticASOPathPricer>(
payoff->optionType(),
process->riskFreeRate()->discount(exercise->lastDate()),
this->arguments_.runningAccumulator,
this->arguments_.pastFixings,
fixingCount));
fixingCount);
}


Expand Down Expand Up @@ -238,13 +236,12 @@ namespace QuantLib {
inline
MakeMCDiscreteArithmeticASEngine<RNG,S>::
operator ext::shared_ptr<PricingEngine>() const {
return ext::shared_ptr<PricingEngine>(
new MCDiscreteArithmeticASEngine<RNG,S>(process_,
return ext::make_shared<MCDiscreteArithmeticASEngine<RNG,S>>(process_,
brownianBridge_,
antithetic_,
samples_, tolerance_,
maxSamples_,
seed_));
seed_);
}

}
Expand Down
11 changes: 4 additions & 7 deletions ql/pricingengines/asian/mc_discr_geom_av_price.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -128,14 +128,12 @@ namespace QuantLib {
this->process_);
QL_REQUIRE(process, "Black-Scholes process required");

return ext::shared_ptr<typename
MCDiscreteGeometricAPEngine<RNG,S>::path_pricer_type>(
new GeometricAPOPathPricer(
return ext::make_shared<GeometricAPOPathPricer>(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(exercise->lastDate()),
this->arguments_.runningAccumulator,
this->arguments_.pastFixings));
this->arguments_.pastFixings);
}


Expand Down Expand Up @@ -222,13 +220,12 @@ namespace QuantLib {
inline
MakeMCDiscreteGeometricAPEngine<RNG,S>::operator ext::shared_ptr<PricingEngine>()
const {
return ext::shared_ptr<PricingEngine>(new
MCDiscreteGeometricAPEngine<RNG,S>(process_,
return ext::make_shared<MCDiscreteGeometricAPEngine<RNG,S>>(process_,
brownianBridge_,
antithetic_,
samples_, tolerance_,
maxSamples_,
seed_));
seed_);
}

}
Expand Down
11 changes: 4 additions & 7 deletions ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -162,15 +162,13 @@ namespace QuantLib {
ext::dynamic_pointer_cast<P>(this->process_);
QL_REQUIRE(process, "Heston like process required");

return ext::shared_ptr<typename
MCDiscreteGeometricAPHestonEngine<RNG,S,P>::path_pricer_type>(
new GeometricAPOHestonPathPricer(
return ext::make_shared<GeometricAPOHestonPathPricer>(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(exercise->lastDate()),
fixingIndexes,
this->arguments_.runningAccumulator,
this->arguments_.pastFixings));
this->arguments_.pastFixings);
}

template <class RNG, class S, class P>
Expand Down Expand Up @@ -242,15 +240,14 @@ namespace QuantLib {

template <class RNG, class S, class P>
inline MakeMCDiscreteGeometricAPHestonEngine<RNG,S,P>::operator ext::shared_ptr<PricingEngine>() const {
return ext::shared_ptr<PricingEngine>(new
MCDiscreteGeometricAPHestonEngine<RNG,S,P>(process_,
return ext::make_shared<MCDiscreteGeometricAPHestonEngine<RNG,S,P>>(process_,
antithetic_,
samples_,
tolerance_,
maxSamples_,
seed_,
steps_,
stepsPerYear_));
stepsPerYear_);
}
}

Expand Down
5 changes: 2 additions & 3 deletions ql/pricingengines/asian/mcdiscreteasianenginebase.hpp
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Expand Up @@ -113,9 +113,8 @@ namespace QuantLib {
TimeGrid grid = this->timeGrid();
typename RNG::rsg_type gen =
RNG::make_sequence_generator(dimensions*(grid.size()-1),seed_);
return ext::shared_ptr<path_generator_type>(
new path_generator_type(process_, grid,
gen, brownianBridge_));
return ext::make_shared<path_generator_type>(process_, grid,
gen, brownianBridge_);
}
Real controlVariateValue() const override;
// data members
Expand Down
2 changes: 1 addition & 1 deletion ql/pricingengines/bacheliercalculator.cpp
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Expand Up @@ -54,7 +54,7 @@ namespace QuantLib {
Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount)
: strike_(strike), forward_(forward), stdDev_(stdDev),
discount_(discount), variance_(stdDev*stdDev) {
initialize(ext::shared_ptr<StrikedTypePayoff>(new PlainVanillaPayoff(optionType, strike)));
initialize(ext::make_shared<PlainVanillaPayoff>(optionType, strike));
}

void BachelierCalculator::initialize(const ext::shared_ptr<StrikedTypePayoff>& p) {
Expand Down
8 changes: 3 additions & 5 deletions ql/pricingengines/barrier/analyticbinarybarrierengine.cpp
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Expand Up @@ -102,11 +102,10 @@ namespace QuantLib {
if ((barrierType == Barrier::DownIn && spot <= barrier) ||
(barrierType == Barrier::UpIn && spot >= barrier)) {
// knocked in - is a digital european
ext::shared_ptr<Exercise> exercise(new EuropeanExercise(
arguments_.exercise->lastDate()));
auto exercise = ext::make_shared<EuropeanExercise>(
arguments_.exercise->lastDate());

ext::shared_ptr<PricingEngine> engine(
new AnalyticEuropeanEngine(process_));
auto engine = ext::make_shared<AnalyticEuropeanEngine>(process_);

VanillaOption opt(payoff, exercise);
opt.setPricingEngine(engine);
Expand Down Expand Up @@ -321,4 +320,3 @@ namespace QuantLib {


}

21 changes: 8 additions & 13 deletions ql/pricingengines/barrier/binomialbarrierengine.hpp
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Expand Up @@ -112,21 +112,17 @@ namespace QuantLib {

// binomial trees with constant coefficient
Handle<YieldTermStructure> flatRiskFree(
ext::shared_ptr<YieldTermStructure>(
new FlatForward(referenceDate, r, rfdc)));
ext::make_shared<FlatForward>(referenceDate, r, rfdc));
Handle<YieldTermStructure> flatDividends(
ext::shared_ptr<YieldTermStructure>(
new FlatForward(referenceDate, q, divdc)));
ext::make_shared<FlatForward>(referenceDate, q, divdc));
Handle<BlackVolTermStructure> flatVol(
ext::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(referenceDate, volcal, v, voldc)));
ext::make_shared<BlackConstantVol>(referenceDate, volcal, v, voldc));

Time maturity = rfdc.yearFraction(referenceDate, maturityDate);

ext::shared_ptr<StochasticProcess1D> bs(
new GeneralizedBlackScholesProcess(
auto bs = ext::make_shared<GeneralizedBlackScholesProcess>(
process_->stateVariable(),
flatDividends, flatRiskFree, flatVol));
flatDividends, flatRiskFree, flatVol);

// correct timesteps to ensure a (local) minimum, using Boyle and Lau
// approach. See Journal of Derivatives, 1/1994,
Expand Down Expand Up @@ -157,11 +153,10 @@ namespace QuantLib {

TimeGrid grid(maturity, optimum_steps);

ext::shared_ptr<T> tree(new T(bs, maturity, optimum_steps,
payoff->strike()));
auto tree = ext::make_shared<T>(bs, maturity, optimum_steps,
payoff->strike());

ext::shared_ptr<BlackScholesLattice<T> > lattice(
new BlackScholesLattice<T>(tree, r, maturity, optimum_steps));
auto lattice = ext::make_shared<BlackScholesLattice<T>>(tree, r, maturity, optimum_steps);

D option(arguments_, *process_, grid);
option.initialize(lattice, maturity);
Expand Down
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