#include <ored/model/blackscholesmodelbuilderbase.hpp>

Inheritance diagram for BlackScholesModelBuilderBase:

Collaboration diagram for BlackScholesModelBuilderBase:

Public Member Functions
	BlackScholesModelBuilderBase (const std::vector< Handle< YieldTermStructure > > &curves, const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > &processes, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)

	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)

Handle< BlackScholesModelWrapper >	model () const

Public Member Functions inherited from ModelBuilder
void	recalibrate () const

virtual void	forceRecalculate ()

virtual bool	requiresRecalibration () const=0

ModelBuilder interface
const std::vector< Handle< YieldTermStructure > >	curves_

const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_

const std::set< Date >	simulationDates_

const std::set< Date >	addDates_

const Size	timeStepsPerYear_

std::set< Date >	effectiveSimulationDates_

TimeGrid	discretisationTimeGrid_

RelinkableHandle< BlackScholesModelWrapper >	model_

bool	forceCalibration_ = false

QuantLib::ext::shared_ptr< MarketObserver >	marketObserver_

std::vector< Handle< BlackVolTermStructure > >	vols_

std::vector< Handle< YieldTermStructure > >	allCurves_

CalibrationPointCache	cache_

void	forceRecalculate () override

bool	requiresRecalibration () const override

	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process)

virtual void	setupDatesAndTimes () const

virtual std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	getCalibratedProcesses () const =0

virtual std::vector< std::vector< Real > >	getCurveTimes () const =0

virtual std::vector< std::vector< std::pair< Real, Real > > >	getVolTimesStrikes () const =0

void	performCalculations () const override

bool	calibrationPointsChanged (const bool updateCache) const

Detailed Description

Definition at line 41 of file blackscholesmodelbuilderbase.hpp.

Constructor & Destructor Documentation

◆ BlackScholesModelBuilderBase() [1/3]

BlackScholesModelBuilderBase	(	const std::vector< Handle< YieldTermStructure > > &	curves,
		const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > &	processes,
		const std::set< Date > &	simulationDates,
		const std::set< Date > &	addDates,
		const Size	timeStepsPerYear
	)

Definition at line 32 of file blackscholesmodelbuilderbase.cpp.

    : curves_(curves), processes_(processes), simulationDates_(simulationDates), addDates_(addDates),
      timeStepsPerYear_(timeStepsPerYear) {
 
    QL_REQUIRE(!curves_.empty(), "BlackScholesModelBuilderBase: no curves given");
 
    marketObserver_ = QuantLib::ext::make_shared<MarketObserver>();
 
    for (auto const& c : curves_)
        registerWith(c);
 
    for (auto const& p : processes_) {
        registerWith(p->blackVolatility());
        registerWith(p->riskFreeRate());
        registerWith(p->dividendYield());
        marketObserver_->registerWith(p->stateVariable());
    }
 
    registerWith(marketObserver_);
 
    // notify observers of all market data changes, not only when not calculated
    alwaysForwardNotifications();
 
    allCurves_ = curves_;
    for (auto const& p : processes_) {
        vols_.push_back(p->blackVolatility());
        allCurves_.push_back(p->riskFreeRate());
        allCurves_.push_back(p->dividendYield());
    }
}

◆ BlackScholesModelBuilderBase() [2/3]

BlackScholesModelBuilderBase	(	const Handle< YieldTermStructure > &	curve,
		const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		const std::set< Date > &	simulationDates,
		const std::set< Date > &	addDates,
		const Size	timeStepsPerYear
	)

Definition at line 25 of file blackscholesmodelbuilderbase.cpp.

    : BlackScholesModelBuilderBase(std::vector<Handle<YieldTermStructure>>{curve},
                                   std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>{process},
                                   simulationDates, addDates, timeStepsPerYear) {}

◆ BlackScholesModelBuilderBase() [3/3]

BlackScholesModelBuilderBase	(	const Handle< YieldTermStructure > &	curve,
		const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &	process
	)

protected

Definition at line 66 of file blackscholesmodelbuilderbase.cpp.

68 : BlackScholesModelBuilderBase(curve, process, {}, {}, 1) {}

Member Function Documentation

◆ model()

Handle< BlackScholesModelWrapper > model ( ) const

Definition at line 70 of file blackscholesmodelbuilderbase.cpp.

                                                                           {
    calculate();
    return model_;
}

◆ forceRecalculate()

void forceRecalculate ( )

overridevirtual

Reimplemented from ModelBuilder.

Definition at line 80 of file blackscholesmodelbuilderbase.cpp.

                                                    {
    forceCalibration_ = true;
    ModelBuilder::forceRecalculate();
    forceCalibration_ = false;
}

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◆ requiresRecalibration()

bool requiresRecalibration ( ) const

overridevirtual

Implements ModelBuilder.

Definition at line 75 of file blackscholesmodelbuilderbase.cpp.

                                                               {
    setupDatesAndTimes();
    return calibrationPointsChanged(false) || marketObserver_->hasUpdated(false) || forceCalibration_;
}

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◆ setupDatesAndTimes()

void setupDatesAndTimes ( ) const

protectedvirtual

Reimplemented in CommodityApoModelBuilder.

Definition at line 86 of file blackscholesmodelbuilderbase.cpp.

                                                            {
    Date referenceDate = curves_.front()->referenceDate();
    effectiveSimulationDates_.clear();
    effectiveSimulationDates_.insert(referenceDate);
    for (auto const& d : simulationDates_) {
        if (d >= referenceDate)
            effectiveSimulationDates_.insert(d);
    }
 
    std::vector<Real> times;
    for (auto const& d : effectiveSimulationDates_) {
        times.push_back(curves_.front()->timeFromReference(d));
    }
 
    Size steps = std::max(std::lround(timeStepsPerYear_ * times.back() + 0.5), 1l);
    discretisationTimeGrid_ = TimeGrid(times.begin(), times.end(), steps);
}

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◆ getCalibratedProcesses()

virtual std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > getCalibratedProcesses ( ) const

protectedpure virtual

Implemented in BlackScholesModelBuilder, LocalVolModelBuilder, and CommodityApoModelBuilder.

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◆ getCurveTimes()

virtual std::vector< std::vector< Real > > getCurveTimes ( ) const

protectedpure virtual

Implemented in BlackScholesModelBuilder, LocalVolModelBuilder, and CommodityApoModelBuilder.

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◆ getVolTimesStrikes()

virtual std::vector< std::vector< std::pair< Real, Real > > > getVolTimesStrikes ( ) const

protectedpure virtual

Implemented in BlackScholesModelBuilder, LocalVolModelBuilder, and CommodityApoModelBuilder.

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◆ performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 104 of file blackscholesmodelbuilderbase.cpp.

                                                             {
    if (requiresRecalibration()) {
 
        // update vol and curves cache
 
        calibrationPointsChanged(true);
 
        // reset market observer's updated flag
 
        marketObserver_->hasUpdated(true);
 
        // setup model
 
        model_.linkTo(QuantLib::ext::make_shared<BlackScholesModelWrapper>(getCalibratedProcesses(), effectiveSimulationDates_,
                                                                   discretisationTimeGrid_));
 
        // notify model observers
        model_->notifyObservers();
    }
}

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◆ calibrationPointsChanged()

bool calibrationPointsChanged ( const bool updateCache ) const

protected

Definition at line 125 of file blackscholesmodelbuilderbase.cpp.

                                                                                        {
 
    // get times for curves and times / strikes for vols
 
    std::vector<std::vector<Real>> curveTimes = getCurveTimes();
    std::vector<std::vector<std::pair<Real, Real>>> volTimesStrikes = getVolTimesStrikes();
 
    // build data
 
    std::vector<std::vector<Real>> curveData;
    for (Size i = 0; i < curveTimes.size(); ++i) {
        curveData.push_back(std::vector<Real>());
        for (Size j = 0; j < curveTimes[i].size(); ++j) {
            curveData.back().push_back(allCurves_[i]->discount(curveTimes[i][j]));
        }
    }
 
    std::vector<std::vector<Real>> volData;
    for (Size i = 0; i < volTimesStrikes.size(); ++i) {
        volData.push_back(std::vector<Real>());
        for (Size j = 0; j < volTimesStrikes[i].size(); ++j) {
            Real k = volTimesStrikes[i][j].second;
            // check for null = ATM
            if (k == Null<Real>())
                k = atmForward(processes_[i]->x0(), processes_[i]->riskFreeRate(), processes_[i]->dividendYield(),
                               volTimesStrikes[i][j].first);
            volData.back().push_back(vols_[i]->blackVol(volTimesStrikes[i][j].first, k));
        }
    }
 
    // check if something has changed
    return cache_.hasChanged(curveTimes, curveData, volTimesStrikes, volData, updateCache);
}