Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC. More...

#include <ored/portfolio/builders/swap.hpp>

Inheritance diagram for CamAmcSwapEngineBuilder:

Collaboration diagram for CamAmcSwapEngineBuilder:

Public Member Functions
	CamAmcSwapEngineBuilder (const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &cam, const std::vector< Date > &simulationDates)

Public Member Functions inherited from SwapEngineBuilderBase
	SwapEngineBuilderBase (const std::string &model, const std::string &engine)

Public Member Functions inherited from CachingEngineBuilder< T, U, Args >
	CachingEngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)

QuantLib::ext::shared_ptr< U >	engine (Args... params)
	Return a PricingEngine or a FloatingRateCouponPricer. More...

void	reset () override
	reset the builder (e.g. clear cache) More...

Public Member Functions inherited from EngineBuilder
	EngineBuilder (const string &model, const string &engine, const set< string > &tradeTypes)

virtual	~EngineBuilder ()
	Virtual destructor. More...

const string &	model () const
	Return the model name. More...

const string &	engine () const
	Return the engine name. More...

const set< string > &	tradeTypes () const
	Return the possible trade types. More...

const string &	configuration (const MarketContext &key)
	Return a configuration (or the default one if key not found) More...

virtual void	reset ()
	reset the builder (e.g. clear cache) More...

void	init (const QuantLib::ext::shared_ptr< Market > market, const map< MarketContext, string > &configurations, const map< string, string > &modelParameters, const map< string, string > &engineParameters, const std::map< std::string, std::string > &globalParameters={})
	Initialise this Builder with the market and parameters to use. More...

const set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &	modelBuilders () const
	return model builders More...

std::string	engineParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const

std::string	modelParameter (const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const

Protected Member Functions
virtual QuantLib::ext::shared_ptr< PricingEngine >	engineImpl (const Currency &ccy, const std::string &discountCurve, const std::string &securitySpread) override

Protected Member Functions inherited from SwapEngineBuilderBase
virtual string	keyImpl (const Currency &ccy, const std::string &discountCurve, const std::string &securitySpread) override

Protected Member Functions inherited from CachingEngineBuilder< T, U, Args >
virtual T	keyImpl (Args...)=0

virtual QuantLib::ext::shared_ptr< U >	engineImpl (Args...)=0

Private Member Functions
QuantLib::ext::shared_ptr< PricingEngine >	buildMcEngine (const QuantLib::ext::shared_ptr< QuantExt::LGM > &lgm, const Handle< YieldTermStructure > &discountCurve, const std::vector< Date > &simulationDates, const std::vector< Size > &externalModelIndices)

Private Attributes
const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel >	cam_

const std::vector< Date >	simulationDates_

Additional Inherited Members
Protected Attributes inherited from CachingEngineBuilder< T, U, Args >
map< T, QuantLib::ext::shared_ptr< U > >	engines_

Protected Attributes inherited from EngineBuilder
string	model_

string	engine_

set< string >	tradeTypes_

QuantLib::ext::shared_ptr< Market >	market_

map< MarketContext, string >	configurations_

map< string, string >	modelParameters_

map< string, string >	engineParameters_

std::map< std::string, std::string >	globalParameters_

set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_

Detailed Description

Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC.

Definition at line 153 of file swap.hpp.

Constructor & Destructor Documentation

◆ CamAmcSwapEngineBuilder()

CamAmcSwapEngineBuilder	(	const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &	cam,
		const std::vector< Date > &	simulationDates
	)

Definition at line 155 of file swap.hpp.

157 : SwapEngineBuilderBase("CrossAssetModel", "AMC"), cam_(cam), simulationDates_(simulationDates) {}

ore::data::CamAmcSwapEngineBuilder::simulationDates_

const std::vector< Date > simulationDates_

Definition: swap.hpp:170

ore::data::CamAmcSwapEngineBuilder::cam_

const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > cam_

Definition: swap.hpp:169

ore::data::SwapEngineBuilderBase::SwapEngineBuilderBase

SwapEngineBuilderBase(const std::string &model, const std::string &engine)

Definition: swap.hpp:51

Member Function Documentation

◆ engineImpl()

QuantLib::ext::shared_ptr< PricingEngine > engineImpl	(	const Currency &	ccy,
		const std::string &	discountCurve,
		const std::string &	securitySpread
	)

overrideprotectedvirtual

Definition at line 52 of file swap.cpp.

                                                                                                      {
    DLOG("Building AMC Swap engine for ccy " << ccy << " (from externally given CAM)");
 
    QL_REQUIRE(cam_ != nullptr, "LgmAmcSwapEngineBuilder::engineImpl: cam is null");
    Size currIdx = cam_->ccyIndex(ccy);
    auto lgm = cam_->lgm(currIdx);
    std::vector<Size> modelIndex(1, cam_->pIdx(CrossAssetModel::AssetType::IR, currIdx));
 
    // we assume that the given cam has pricing discount curves attached already
    Handle<YieldTermStructure> discountCurve;
    return buildMcEngine(lgm, discountCurve, simulationDates_, modelIndex);
}

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◆ buildMcEngine()

QuantLib::ext::shared_ptr< PricingEngine > buildMcEngine	(	const QuantLib::ext::shared_ptr< QuantExt::LGM > &	lgm,
		const Handle< YieldTermStructure > &	discountCurve,
		const std::vector< Date > &	simulationDates,
		const std::vector< Size > &	externalModelIndices
	)

private

Definition at line 34 of file swap.cpp.

                                                                                                                     {
 
    return QuantLib::ext::make_shared<QuantExt::McLgmSwapEngine>(
        lgm, parseSequenceType(engineParameter("Training.Sequence")),
        parseSequenceType(engineParameter("Pricing.Sequence")), parseInteger(engineParameter("Training.Samples")),
        parseInteger(engineParameter("Pricing.Samples")), parseInteger(engineParameter("Training.Seed")),
        parseInteger(engineParameter("Pricing.Seed")), parseInteger(engineParameter("Training.BasisFunctionOrder")),
        parsePolynomType(engineParameter("Training.BasisFunction")),
        parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),
        parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurve, simulationDates,
        externalModelIndices, parseBool(engineParameter("MinObsDate")),
        parseRegressorModel(engineParameter("RegressorModel", {}, false, "Simple")),
        parseRealOrNull(engineParameter("RegressionVarianceCutoff", {}, false, std::string())));
}

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Member Data Documentation

◆ cam_

const QuantLib::ext::shared_ptr<QuantExt::CrossAssetModel> cam_

private

Definition at line 169 of file swap.hpp.

◆ simulationDates_

const std::vector<Date> simulationDates_

private

Definition at line 170 of file swap.hpp.

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CamAmcSwapEngineBuilder()

Member Function Documentation

◆ engineImpl()

◆ buildMcEngine()

Member Data Documentation

◆ cam_

◆ simulationDates_