#include <ored/scripting/models/fdgaussiancam.hpp>

Inheritance diagram for FdGaussianCam:

Collaboration diagram for FdGaussianCam:

Public Member Functions
	FdGaussianCam (const Handle< CrossAssetModel > &cam, const std::string &currency, const Handle< YieldTermStructure > &curve, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &irIndices, const std::set< Date > &simulationDates, const Size stateGridPoints=50, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig())

Type	type () const override

const Date &	referenceDate () const override

RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override

RandomVariable	fwdCompAvg (const bool isAvg, const std::string &index, const Date &obsdate, const Date &start, const Date &end, const Real spread, const Real gearing, const Integer lookback, const Natural rateCutoff, const Natural fixingDays, const bool includeSpread, const Real cap, const Real floor, const bool nakedOption, const bool localCapFloor) const override

Real	extractT0Result (const RandomVariable &result) const override

RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override

void	releaseMemory () override

Public Member Functions inherited from ModelImpl
	ModelImpl (const DayCounter &dayCounter, const Size size, const std::vector< std::string > &currencies, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &irIndices, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > > &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)

const std::string &	baseCcy () const override

Real	dt (const Date &d1, const Date &d2) const override

RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override

RandomVariable	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const override

RandomVariable	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override

Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override

RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override

Real	extractT0Result (const RandomVariable &value) const override

Public Member Functions inherited from Model
	Model (const Size n)

virtual	~Model ()

virtual Type	type () const =0

virtual Size	size () const

virtual Size	trainingSamples () const

virtual void	toggleTrainingPaths () const

virtual const Date &	referenceDate () const =0

virtual const std::string &	baseCcy () const =0

virtual Real	dt (const Date &d1, const Date &d2) const

Real	timeFromReference (const Date &d) const

virtual RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const =0

virtual RandomVariable	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const =0

virtual RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const =0

virtual RandomVariable	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingFixingAsNull=false, const bool ignoreTodaysFixing=false) const =0

virtual RandomVariable	fwdCompAvg (const bool isAvg, const std::string &index, const Date &obsdate, const Date &start, const Date &end, const Real spread, const Real gearing, const Integer lookback, const Natural rateCutoff, const Natural fixingDays, const bool includeSpread, const Real cap, const Real floor, const bool nakedOption, const bool localCapFloor) const =0

virtual RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0

virtual Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0

virtual Real	extractT0Result (const RandomVariable &value) const =0

virtual void	releaseMemory ()

virtual void	resetNPVMem ()

const std::map< std::string, boost::any > &	additionalResults () const

Private Member Functions
void	performCalculations () const override

RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override

RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override

RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override

RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override

RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const override

RandomVariable	getNumeraire (const Date &s) const override

Real	getFxSpot (const Size idx) const override

Private Attributes
Handle< CrossAssetModel >	cam_

std::string	currency_

Handle< YieldTermStructure >	curve_

std::set< Date >	simulationDates_

Size	stateGridPoints_

Size	timeStepsPerYear_

Real	mesherEpsilon_

IborFallbackConfig	iborFallbackConfig_

Date	referenceDate_

std::set< Date >	effectiveSimulationDates_

std::unique_ptr< LgmBackwardSolver >	solver_

std::map< std::tuple< Size, Date, Date >, RandomVariable >	irIndexValueCache_

Additional Inherited Members
Public Types inherited from Model
enum class	Type { MC , FD }

virtual RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0

virtual RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0

virtual RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd) const =0

virtual RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const =0

virtual RandomVariable	getNumeraire (const Date &s) const =0

virtual Real	getFxSpot (const Size idx) const =0

virtual RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0

Protected Member Functions inherited from Model
void	performCalculations () const override

Protected Attributes inherited from ModelImpl
const DayCounter	dayCounter_

const std::vector< std::string >	currencies_

const std::vector< std::string >	indexCurrencies_

const std::set< Date >	simulationDates_

const IborFallbackConfig	iborFallbackConfig_

std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< InterestRateIndex > > >	irIndices_

std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	infIndices_

std::vector< IndexInfo >	indices_

Protected Attributes inherited from Model
std::map< std::string, boost::any >	additionalResults_

Detailed Description

Definition at line 39 of file fdgaussiancam.hpp.

Constructor & Destructor Documentation

◆ FdGaussianCam()

FdGaussianCam	(	const Handle< CrossAssetModel > &	cam,
		const std::string &	currency,
		const Handle< YieldTermStructure > &	curve,
		const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &	irIndices,
		const std::set< Date > &	simulationDates,
		const Size	stateGridPoints = `50`,
		const Size	timeStepsPerYear = `24`,
		const Real	mesherEpsilon = `1E-4`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`
	)

Definition at line 43 of file fdgaussiancam.cpp.

    : ModelImpl(curve->dayCounter(), stateGridPoints, {currency}, irIndices, {}, {}, {}, simulationDates,
                iborFallbackConfig),
      cam_(cam), currency_(currency), curve_(curve), simulationDates_(simulationDates),
      stateGridPoints_(stateGridPoints), timeStepsPerYear_(timeStepsPerYear), mesherEpsilon_(mesherEpsilon),
      iborFallbackConfig_(iborFallbackConfig) {
 
    // check inputs
 
    QL_REQUIRE(!cam_.empty(), "model is empty");
 
    // register with observables
 
    registerWith(curve_);
    registerWith(cam_);
} // FdGaussianCam ctor

Member Function Documentation

◆ type()

Type type ( ) const

overridevirtual

Implements Model.

Definition at line 50 of file fdgaussiancam.hpp.

50{ return Type::FD; }

ore::data::Model::Type::FD

@ FD

◆ referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements Model.

Definition at line 65 of file fdgaussiancam.cpp.

                                               {
    calculate();
    return referenceDate_;
}

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◆ npv()

RandomVariable npv	(	const RandomVariable &	amount,
		const Date &	obsdate,
		const Filter &	filter,
		const boost::optional< long > &	memSlot,
		const RandomVariable &	addRegressor1,
		const RandomVariable &	addRegressor2
	)		const

overridevirtual

Implements Model.

Definition at line 191 of file fdgaussiancam.cpp.

                                                                             {
 
    QL_REQUIRE(!memSlot, "FdGaussianCam::npv(): mem slot not allowed.");
    QL_REQUIRE(!filter.initialised(), "FdGaussianCam::npv(): filter not allowed");
    QL_REQUIRE(!addRegressor1.initialised(), "FdGaussianCam::npv(). addRegressor1 not allowed");
    QL_REQUIRE(!addRegressor2.initialised(), "FdGaussianCam::npv(). addRegressor2 not allowed");
 
    calculate();
 
    Real t1 = amount.time();
    Real t0 = timeFromReference(obsdate);
 
    // handle case when amount is deterministic
 
    if (amount.deterministic()) {
        RandomVariable result(amount);
        result.setTime(t0);
        return result;
    }
 
    // handle stochastic amount
 
    QL_REQUIRE(t1 != Null<Real>(),
               "FdGaussianCam::npv(): can not roll back amount wiithout time attached (to t0=" << t0 << ")");
    RandomVariable result = solver_->rollback(amount, t1, t0);
    result.setTime(t0);
    return result;
}

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◆ fwdCompAvg()

RandomVariable fwdCompAvg	(	const bool	isAvg,
		const std::string &	index,
		const Date &	obsdate,
		const Date &	start,
		const Date &	end,
		const Real	spread,
		const Real	gearing,
		const Integer	lookback,
		const Natural	rateCutoff,
		const Natural	fixingDays,
		const bool	includeSpread,
		const Real	cap,
		const Real	floor,
		const bool	nakedOption,
		const bool	localCapFloor
	)		const

overridevirtual

Implements Model.

Definition at line 135 of file fdgaussiancam.cpp.

                                                                                                 {
    calculate();
    auto ir = std::find_if(irIndices_.begin(), irIndices_.end(),
                           [&indexInput](const std::pair<IndexInfo, QuantLib::ext::shared_ptr<InterestRateIndex>>& p) {
                               return p.first.name() == indexInput;
                           });
    QL_REQUIRE(ir != irIndices_.end(),
               "FdGaussianCam::fwdComp() ir index " << indexInput << " not found, this is unexpected");
    LgmVectorised lgmv(cam_->lgm(0)->parametrization());
    auto on = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(ir->second);
    QL_REQUIRE(on, "FdGaussianCam::fwdCompAvg(): expected on index for " << indexInput);
    // only used to extract fixing and value dates
    auto coupon = QuantLib::ext::make_shared<QuantExt::OvernightIndexedCoupon>(
        end, 1.0, start, end, on, gearing, spread, Date(), Date(), DayCounter(), false, includeSpread, lookback * Days,
        rateCutoff, fixingDays);
    // get model time and state
    Date effobsdate = std::max(referenceDate(), obsdate);
    if (isAvg) {
        return lgmv.averagedOnRate(on, coupon->fixingDates(), coupon->valueDates(), coupon->dt(), rateCutoff,
                                   includeSpread, spread, gearing, lookback * Days, cap, floor, localCapFloor,
                                   nakedOption, timeFromReference(effobsdate),
                                   solver_->stateGrid(timeFromReference(effobsdate)));
    } else {
        return lgmv.compoundedOnRate(on, coupon->fixingDates(), coupon->valueDates(), coupon->dt(), rateCutoff,
                                     includeSpread, spread, gearing, lookback * Days, cap, floor, localCapFloor,
                                     nakedOption, timeFromReference(effobsdate),
                                     solver_->stateGrid(timeFromReference(effobsdate)));
    }
}

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◆ extractT0Result()

Real extractT0Result ( const RandomVariable & result ) const

overridevirtual

Implements Model.

Definition at line 222 of file fdgaussiancam.cpp.

                                                                      {
 
    calculate();
 
    // roll back to today (if necessary)
 
    RandomVariable r = npv(result, referenceDate(), Filter(), boost::none, RandomVariable(), RandomVariable());
 
    // we expect the results to be determinstic as per LgmBackwardSolver interface
 
    QL_REQUIRE(r.deterministic(), "FdGaussianCam::extractT0Result(): internal error, expected result to be "
                                  "deterministic after rollback to time t = 0");
 
    return r.at(0);
}

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◆ pay()

RandomVariable pay	(	const RandomVariable &	amount,
		const Date &	obsdate,
		const Date &	paydate,
		const std::string &	currency
	)		const

overridevirtual

Implements Model.

Definition at line 184 of file fdgaussiancam.cpp.

                                                                   {
    auto result = ModelImpl::pay(amount, obsdate, paydate, currency);
    result.setTime(timeFromReference(obsdate));
    return result;
}

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◆ releaseMemory()

void releaseMemory ( )

overridevirtual

Reimplemented from Model.

Definition at line 70 of file fdgaussiancam.cpp.

70{ irIndexValueCache_.clear(); }

ore::data::FdGaussianCam::irIndexValueCache_

std::map< std::tuple< Size, Date, Date >, RandomVariable > irIndexValueCache_

Definition: fdgaussiancam.hpp:95

◆ performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 72 of file fdgaussiancam.cpp.

                                              {
 
    if (simulationDates_.empty())
        return;
 
    // set ref date
 
    referenceDate_ = curve_->referenceDate();
 
    // build solver
 
    solver_ = std::unique_ptr<LgmBackwardSolver>(
        new LgmFdSolver(cam_->lgm(0), timeFromReference(*simulationDates_.rbegin()), QuantLib::FdmSchemeDesc::Douglas(),
                        stateGridPoints_, timeStepsPerYear_, mesherEpsilon_));
 
    // set up eff sim dates
 
    effectiveSimulationDates_.clear();
    effectiveSimulationDates_.insert(referenceDate());
    for (auto const& d : simulationDates_) {
        if (d >= referenceDate())
            effectiveSimulationDates_.insert(d);
    }
 
    // set additional results provided by this model
 
    auto ar = getAdditionalResultsMap(cam_->lgm(0)->getCalibrationInfo());
    additionalResults_.insert(ar.begin(), ar.end());
}

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◆ getFutureBarrierProb()

RandomVariable getFutureBarrierProb	(	const std::string &	index,
		const Date &	obsdate1,
		const Date &	obsdate2,
		const RandomVariable &	barrier,
		const bool	above
	)		const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 102 of file fdgaussiancam.cpp.

                                                                                                          {
    QL_FAIL("getFutureBarrierProb not implemented by FdGaussianCam");
}

◆ getIndexValue()

RandomVariable getIndexValue	(	const Size	indexNo,
		const Date &	d,
		const Date &	fwd = `Null<Date>()`
	)		const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 107 of file fdgaussiancam.cpp.

                                                                                                    {
    QL_FAIL("FdGaussianGam::getIndexValue(): non-ir indices are not allowed, got fx/eq/com index #" << indexNo);
}

◆ getIrIndexValue()

RandomVariable getIrIndexValue	(	const Size	indexNo,
		const Date &	d,
		const Date &	fwd = `Null<Date>()`
	)		const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 111 of file fdgaussiancam.cpp.

                                                                                                      {
    Date fixingDate = d;
    if (fwd != Null<Date>())
        fixingDate = fwd;
    // ensure a valid fixing date
    fixingDate = irIndices_[indexNo].second->fixingCalendar().adjust(fixingDate);
    // look up required fixing in cache and return it if found
    if (auto cacheValue = irIndexValueCache_.find(std::make_tuple(indexNo, d, fixingDate));
        cacheValue != irIndexValueCache_.end()) {
        return cacheValue->second;
    }
    // compute value, add to cache and return it
    LgmVectorised lgmv(cam_->irlgm1f(0));
    auto result = lgmv.fixing(irIndices_[indexNo].second, fixingDate, timeFromReference(d),
                              solver_->stateGrid(timeFromReference(d)));
    result.setTime(timeFromReference(d));
    irIndexValueCache_[std::make_tuple(indexNo, d, fixingDate)] = result;
    return result;
}

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◆ getInfIndexValue()

RandomVariable getInfIndexValue	(	const Size	indexNo,
		const Date &	d,
		const Date &	fwd = `Null<Date>()`
	)		const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 131 of file fdgaussiancam.cpp.

                                                                                                       {
    QL_FAIL("FdGaussianGam::getInfIndexValue(): non-ir indices are not allowed, got inf index #" << indexNo);
}

◆ getDiscount()

RandomVariable getDiscount	(	const Size	idx,
		const Date &	s,
		const Date &	t
	)		const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 169 of file fdgaussiancam.cpp.

                                                                                            {
    LgmVectorised lgmv(cam_->lgm(0)->parametrization());
    return lgmv.discountBond(timeFromReference(s), timeFromReference(t), solver_->stateGrid(timeFromReference(s)));
}

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◆ getNumeraire()

RandomVariable getNumeraire ( const Date & s ) const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 174 of file fdgaussiancam.cpp.

                                                              {
    LgmVectorised lgmv(cam_->lgm(0)->parametrization());
    return lgmv.numeraire(timeFromReference(s), solver_->stateGrid(timeFromReference(s)));
}

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◆ getFxSpot()

Real getFxSpot ( const Size idx ) const

overrideprivatevirtual

Implements ModelImpl.

Definition at line 179 of file fdgaussiancam.cpp.

                                                  {
    QL_FAIL("FdGaussianCam::getFxSpot(): this is a single ccy model, there is no fx spot for idx " << idx
                                                                                                   << " available.");
}

Member Data Documentation

◆ cam_

Handle<CrossAssetModel> cam_

private

Definition at line 80 of file fdgaussiancam.hpp.

◆ currency_

std::string currency_

private

Definition at line 81 of file fdgaussiancam.hpp.

◆ curve_

Handle<YieldTermStructure> curve_

private

Definition at line 82 of file fdgaussiancam.hpp.

◆ simulationDates_

std::set<Date> simulationDates_

private

Definition at line 83 of file fdgaussiancam.hpp.

◆ stateGridPoints_

Size stateGridPoints_

private

Definition at line 84 of file fdgaussiancam.hpp.

◆ timeStepsPerYear_

Size timeStepsPerYear_

private

Definition at line 85 of file fdgaussiancam.hpp.

◆ mesherEpsilon_

Real mesherEpsilon_

private

Definition at line 86 of file fdgaussiancam.hpp.

◆ iborFallbackConfig_

IborFallbackConfig iborFallbackConfig_

private

Definition at line 87 of file fdgaussiancam.hpp.

◆ referenceDate_

Date referenceDate_

mutableprivate

Definition at line 90 of file fdgaussiancam.hpp.

◆ effectiveSimulationDates_

std::set<Date> effectiveSimulationDates_

mutableprivate

Definition at line 91 of file fdgaussiancam.hpp.

◆ solver_

std::unique_ptr<LgmBackwardSolver> solver_

mutableprivate

Definition at line 92 of file fdgaussiancam.hpp.

◆ irIndexValueCache_

std::map<std::tuple<Size, Date, Date>, RandomVariable> irIndexValueCache_

mutableprivate

Definition at line 95 of file fdgaussiancam.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FdGaussianCam()

Member Function Documentation

◆ type()

◆ referenceDate()

◆ npv()

◆ fwdCompAvg()

◆ extractT0Result()

◆ pay()

◆ releaseMemory()

◆ performCalculations()

◆ getFutureBarrierProb()

◆ getIndexValue()

◆ getIrIndexValue()

◆ getInfIndexValue()

◆ getDiscount()

◆ getNumeraire()

◆ getFxSpot()

Member Data Documentation

◆ cam_

◆ currency_

◆ curve_

◆ simulationDates_

◆ stateGridPoints_

◆ timeStepsPerYear_

◆ mesherEpsilon_

◆ iborFallbackConfig_

◆ referenceDate_

◆ effectiveSimulationDates_

◆ solver_

◆ irIndexValueCache_