CommodityApoModelBuilder Class Reference

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

Inheritance diagram for CommodityApoModelBuilder:

Collaboration diagram for CommodityApoModelBuilder:

Public Member Functions
	CommodityApoModelBuilder (const Handle< YieldTermStructure > &curve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, const QuantLib::ext::shared_ptr< QuantExt::CommodityAveragePriceOption > &apo, const bool dontCalibrate)
Public Member Functions inherited from BlackScholesModelBuilderBase
	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
void	forceRecalculate () override
bool	requiresRecalibration () const override
Public Member Functions inherited from ModelBuilder
void	recalibrate () const
virtual void	forceRecalculate ()
virtual bool	requiresRecalibration () const=0

Protected Member Functions
void	setupDatesAndTimes () const override
std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	getCalibratedProcesses () const override
std::vector< std::vector< Real > >	getCurveTimes () const override
std::vector< std::vector< std::pair< Real, Real > > >	getVolTimesStrikes () const override
Protected Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process)
void	performCalculations () const override
bool	calibrationPointsChanged (const bool updateCache) const

Protected Attributes
QuantLib::ext::shared_ptr< QuantExt::CommodityAveragePriceOption >	apo_
bool	dontCalibrate_ = false
Protected Attributes inherited from 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_
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_

Detailed Description

Definition at line 36 of file commodityapomodelbuilder.hpp.

Constructor & Destructor Documentation

CommodityApoModelBuilder()

CommodityApoModelBuilder	(	const Handle< YieldTermStructure > &	curve,
		const QuantLib::Handle< QuantLib::BlackVolTermStructure > &	vol,
		const QuantLib::ext::shared_ptr< QuantExt::CommodityAveragePriceOption > &	apo,
		const bool	dontCalibrate
	)

Definition at line 27 of file commodityapomodelbuilder.cpp.

    : BlackScholesModelBuilderBase(curve, QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(
                                              Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0)),
                                              Handle<YieldTermStructure>(QuantLib::ext::make_shared<QuantLib::FlatForward>(
                                                  0, NullCalendar(), 0.0, Actual365Fixed())),
                                              Handle<YieldTermStructure>(QuantLib::ext::make_shared<QuantLib::FlatForward>(
                                                  0, NullCalendar(), 0.0, Actual365Fixed())),
                                              vol)),
      apo_(apo), dontCalibrate_(dontCalibrate) {}

Member Function Documentation

setupDatesAndTimes()

void setupDatesAndTimes ( ) const

overrideprotectedvirtual

Reimplemented from BlackScholesModelBuilderBase.

Definition at line 40 of file commodityapomodelbuilder.cpp.

                                                        {
    // we don't need the simulation dates or timegrid and we populate the curve / vol times directly below
    return;
}

getCalibratedProcesses()

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

overrideprotectedvirtual

Implements BlackScholesModelBuilderBase.

Definition at line 46 of file commodityapomodelbuilder.cpp.

                                                       {
    // nothing to do, return original processes
    return processes_;
}

getCurveTimes()

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

overrideprotectedvirtual

Implements BlackScholesModelBuilderBase.

Definition at line 51 of file commodityapomodelbuilder.cpp.

                                                                         {
    // collect times relevant on the discount curve
    std::vector<Real> times;
    if (dontCalibrate_)
        return {times};
    if (apo_->underlyingFlow()->date() > curves_.front()->referenceDate())
        times.push_back(curves_.front()->timeFromReference(apo_->underlyingFlow()->date()));
    return {times};
}

getVolTimesStrikes()

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

overrideprotectedvirtual

Implements BlackScholesModelBuilderBase.

Definition at line 61 of file commodityapomodelbuilder.cpp.

                                                                                             {
    // collect times relevant on the vol surface
    std::vector<std::pair<Real, Real>> result;
    if (dontCalibrate_)
        return {result};
    auto vol = processes_.front()->blackVolatility();
    std::set<QuantLib::Date> expiries;
    Real effectiveStrike = apo_->effectiveStrike();
    try {
        effectiveStrike -= apo_->accrued(curves_.front()->referenceDate());
    } catch (...) {
        // The accrued calculation might fail due to missing fixings and this will cause an error in the
        // instrument pricing. We don't throw an error here since the apo might actually be expired so
        // that no pricing is required at all.
    }
    for (auto const& p : apo_->underlyingFlow()->indices()) {
        if (p.first > curves_.front()->referenceDate()) {
            if (apo_->underlyingFlow()->useFuturePrice()) {
                Date expiry = p.second->expiryDate();
                if (expiries.find(expiry) == expiries.end()) {
                    result.push_back(std::make_pair(vol->timeFromReference(expiry), effectiveStrike));
                    expiries.insert(expiry);
                }
            } else {
                if (expiries.find(p.first) == expiries.end()) {
                    result.push_back(std::make_pair(vol->timeFromReference(p.first), effectiveStrike));
                    expiries.insert(p.first);
                }
            }
        }
    }
    return {result};
}

Member Data Documentation

apo_

QuantLib::ext::shared_ptr<QuantExt::CommodityAveragePriceOption> apo_

protected

Definition at line 49 of file commodityapomodelbuilder.hpp.

dontCalibrate_

bool dontCalibrate_ = false

protected

Definition at line 50 of file commodityapomodelbuilder.hpp.