LgmScenarioGenerator Class Reference

Scenario Generator using LGM model paths. More...

#include <orea/scenario/lgmscenariogenerator.hpp>

Inheritance diagram for LgmScenarioGenerator:

Collaboration diagram for LgmScenarioGenerator:

Public Member Functions
	LgmScenarioGenerator (QuantLib::ext::shared_ptr< QuantExt::LGM > model, QuantLib::ext::shared_ptr< QuantExt::MultiPathGeneratorBase > multiPathGenerator, QuantLib::ext::shared_ptr< ScenarioFactory > scenarioFactory, QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > simMarketConfig, Date today, DateGrid grid)
	Constructor. More...
	~LgmScenarioGenerator ()
	Destructor. More...
std::vector< QuantLib::ext::shared_ptr< Scenario > >	nextPath () override
void	reset () override
	Reset the generator so calls to next() return the first scenario. More...
Public Member Functions inherited from ScenarioPathGenerator
	ScenarioPathGenerator (Date today, const vector< Date > &dates, TimeGrid timeGrid)
	Constructor. More...
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Return the next scenario for the given date. More...
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor. More...
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date. More...
virtual void	reset ()=0
	Reset the generator so calls to next() return the first scenario. More...

Private Attributes
QuantLib::ext::shared_ptr< QuantExt::LGM >	model_
QuantLib::ext::shared_ptr< QuantExt::MultiPathGeneratorBase >	pathGenerator_
QuantLib::ext::shared_ptr< ScenarioFactory >	scenarioFactory_
QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketConfig_

Additional Inherited Members
virtual std::vector< QuantLib::ext::shared_ptr< Scenario > >	nextPath ()=0
Protected Attributes inherited from ScenarioPathGenerator
Date	today_
vector< Date >	dates_
Size	pathStep_
TimeGrid	timeGrid_
std::vector< QuantLib::ext::shared_ptr< Scenario > >	path_

Detailed Description

Scenario Generator using LGM model paths.

The generator expects

• a calibrated model,
• an associated multi path generator (i.e. providing paths for all factors of the model ordered as described in the model),
• a scenario factory that provides building scenario class instances,
• the configuration of market curves to be simulated
• a simulation date grid that starts in the future, i.e. does not include today's date
• the associated time grid including t=0

Definition at line 50 of file lgmscenariogenerator.hpp.

Constructor & Destructor Documentation

LgmScenarioGenerator()

LgmScenarioGenerator	(	QuantLib::ext::shared_ptr< QuantExt::LGM >	model,
		QuantLib::ext::shared_ptr< QuantExt::MultiPathGeneratorBase >	multiPathGenerator,
		QuantLib::ext::shared_ptr< ScenarioFactory >	scenarioFactory,
		QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketConfig,
		Date	today,
		DateGrid	grid
	)

Constructor.

Definition at line 26 of file lgmscenariogenerator.cpp.

    : ScenarioPathGenerator(today, grid.dates(), grid.timeGrid()), model_(model), pathGenerator_(pathGenerator),
      scenarioFactory_(scenarioFactory), simMarketConfig_(simMarketConfig) {
    QL_REQUIRE(timeGrid_.size() == dates_.size() + 1, "date/time grid size mismatch");
}

~LgmScenarioGenerator()

~LgmScenarioGenerator

(

)

Destructor.

Definition at line 58 of file lgmscenariogenerator.hpp.

{};

Member Function Documentation

nextPath()

std::vector< QuantLib::ext::shared_ptr< Scenario > > nextPath ( )

overridevirtual

Implements ScenarioPathGenerator.

Definition at line 36 of file lgmscenariogenerator.cpp.

                                                                          {
    std::vector<QuantLib::ext::shared_ptr<Scenario>> scenarios(dates_.size());
    Sample<MultiPath> sample = pathGenerator_->next();
 
    DayCounter dc = model_->parametrization()->termStructure()->dayCounter();
 
    std::string ccy = model_->parametrization()->currency().code();
    vector<RiskFactorKey> keys;
    for (Size k = 0; k < simMarketConfig_->yieldCurveTenors(ccy).size(); k++)
        keys.emplace_back(RiskFactorKey::KeyType::DiscountCurve, ccy, k);
 
    for (Size i = 0; i < dates_.size(); i++) {
        Real t = timeGrid_[i + 1]; // recall: time grid has inserted t=0
 
        scenarios[i] = scenarioFactory_->buildScenario(dates_[i], true);
 
        // Set numeraire, numeraire currency and the (deterministic) domestic discount
        // Asset index 0 in sample.value[0][i+1] refers to the domestic currency process,
        // the only one here.
        Real z0 = sample.value[0][i + 1]; // second index = 0 holds initial values
        scenarios[i]->setNumeraire(model_->numeraire(t, z0));
 
        Real z = sample.value[0][i + 1]; // LGM factor value, second index = 0 holds initial values
        for (Size k = 0; k < simMarketConfig_->yieldCurveTenors(ccy).size(); k++) {
            Date d = dates_[i] + simMarketConfig_->yieldCurveTenors(ccy)[k];
            Real T = dc.yearFraction(dates_[i], d);
            Real discount = model_->discountBond(t, t + T, z);
            scenarios[i]->add(keys[k], discount);
        }
    }
    return scenarios;
}

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reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.

Implements ScenarioGenerator.

Definition at line 60 of file lgmscenariogenerator.hpp.

{ pathGenerator_->reset(); }

Member Data Documentation

model_

QuantLib::ext::shared_ptr<QuantExt::LGM> model_

private

Definition at line 63 of file lgmscenariogenerator.hpp.

pathGenerator_

QuantLib::ext::shared_ptr<QuantExt::MultiPathGeneratorBase> pathGenerator_

private

Definition at line 64 of file lgmscenariogenerator.hpp.

scenarioFactory_

QuantLib::ext::shared_ptr<ScenarioFactory> scenarioFactory_

private

Definition at line 65 of file lgmscenariogenerator.hpp.

simMarketConfig_

QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketConfig_

private

Definition at line 66 of file lgmscenariogenerator.hpp.