LgmCG Class Reference

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

Collaboration diagram for LgmCG:

Public Member Functions
	LgmCG (const std::string &qualifier, QuantExt::ComputationGraph &g, const std::function< QuantLib::ext::shared_ptr< IrLgm1fParametrization >()> &p, std::vector< std::pair< std::size_t, std::function< double(void)> > > &modelParameters, const bool sloppySimDates=false, const std::set< Date > &effSimDates={})
QuantLib::ext::shared_ptr< IrLgm1fParametrization >	parametrization () const
std::size_t	numeraire (const Date &d, const std::size_t x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const std::string &discountCurveId="default") const
std::size_t	discountBond (const Date &d, const Date &e, const std::size_t x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const std::string &discountCurveId="default") const
std::size_t	reducedDiscountBond (const Date &d, Date e, const std::size_t x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const std::string &discountCurveId="default") const
std::size_t	fixing (const QuantLib::ext::shared_ptr< InterestRateIndex > &index, const Date &fixingDate, const Date &t, const std::size_t x) const

Private Attributes
std::string	qualifier_
QuantExt::ComputationGraph &	g_
std::function< QuantLib::ext::shared_ptr< IrLgm1fParametrization >()>	p_
std::vector< std::pair< std::size_t, std::function< double(void)> > > &	modelParameters_
std::set< Date >	effSimDates_

Detailed Description

Definition at line 36 of file lgmcg.hpp.

Constructor & Destructor Documentation

LgmCG()

LgmCG	(	const std::string &	qualifier,
		QuantExt::ComputationGraph &	g,
		const std::function< QuantLib::ext::shared_ptr< IrLgm1fParametrization >()> &	p,
		std::vector< std::pair< std::size_t, std::function< double(void)> > > &	modelParameters,
		const bool	sloppySimDates = false,
		const std::set< Date > &	effSimDates = {}
	)

Definition at line 38 of file lgmcg.hpp.

                                                                               {})
        : qualifier_(qualifier), g_(g), p_(p), modelParameters_(modelParameters),
          effSimDates_(effSimDates) {}

Member Function Documentation

parametrization()

QuantLib::ext::shared_ptr< IrLgm1fParametrization > parametrization

(

)

const

Definition at line 45 of file lgmcg.hpp.

{ return p_(); }

numeraire()

std::size_t numeraire	(	const Date &	d,
		const std::size_t	x,
		const Handle< YieldTermStructure > &	discountCurve = Handle<YieldTermStructure>(),
		const std::string &	discountCurveId = "default"
	)		const

Definition at line 34 of file lgmcg.cpp.

                                                                     {
    std::string id = "__lgm_" + qualifier_ + "_N_" + ore::data::to_string(d) + "_" + discountCurveId;
    std::size_t n;
    if (n = cg_var(g_, id, ComputationGraph::VarDoesntExist::Nan); n == ComputationGraph::nan) {
        auto p(p_);
        // Date ds = getSloppyDate(d, sloppySimDates_, effSimDates_);
        Real t = p()->termStructure()->timeFromReference(d);
        // Real ts = p()->termStructure()->timeFromReference(ds);
        std::string id_P0t = "__dsc_" + ore::data::to_string(d) + "_" + discountCurveId;
        std::string id_H = "__lgm_" + qualifier_ + "_H_" + ore::data::to_string(d);
        std::string id_zeta = "__lgm_" + qualifier_ + "_zeta_" + ore::data::to_string(d);
        std::size_t H = addModelParameter(g_, modelParameters_, id_H, [p, t] { return p()->H(t); });
        std::size_t zeta = addModelParameter(g_, modelParameters_, id_zeta, [p, t] { return p()->zeta(t); });
        std::size_t P0t = addModelParameter(g_, modelParameters_, id_P0t, [p, discountCurve, t] {
            return (discountCurve.empty() ? p()->termStructure() : discountCurve)->discount(t);
        });
        n = cg_div(g_,
                   cg_exp(g_, cg_add(g_, cg_mult(g_, H, x),
                                     cg_mult(g_, cg_mult(g_, cg_const(g_, 0.5), zeta), cg_mult(g_, H, H)))),
                   P0t);
        g_.setVariable(id, n);
    }
    return n;
}

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discountBond()

std::size_t discountBond	(	const Date &	d,
		const Date &	e,
		const std::size_t	x,
		const Handle< YieldTermStructure > &	discountCurve = Handle<YieldTermStructure>(),
		const std::string &	discountCurveId = "default"
	)		const

Definition at line 60 of file lgmcg.cpp.

                                                                        {
    std::string id =
        "__lgm_" + qualifier_ + "_P_" + ore::data::to_string(d) + "_" + ore::data::to_string(e) + "_" + discountCurveId;
    std::size_t n;
    if (n = cg_var(g_, id, ComputationGraph::VarDoesntExist::Nan), n == ComputationGraph::nan) {
        n = cg_mult(g_, numeraire(d, x, discountCurve, discountCurveId),
                    reducedDiscountBond(d, e, x, discountCurve, discountCurveId));
    }
    return n;
}

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reducedDiscountBond()

std::size_t reducedDiscountBond	(	const Date &	d,
		Date	e,
		const std::size_t	x,
		const Handle< YieldTermStructure > &	discountCurve = Handle<YieldTermStructure>(),
		const std::string &	discountCurveId = "default"
	)		const

Definition at line 73 of file lgmcg.cpp.

                                                                               {
    e = std::max(d, e);
    std::string id = "__lgm_" + qualifier_ + "_Pr_" + ore::data::to_string(d) + "_" + ore::data::to_string(e) + "_" +
                     discountCurveId;
    std::size_t n;
    if (n = cg_var(g_, id, ComputationGraph::VarDoesntExist::Nan), n == ComputationGraph::nan) {
        auto p = p_;
        // Date ds = getSloppyDate(d, sloppySimDates_, effSimDates_);
        // Date es = getSloppyDate(e, sloppySimDates_, effSimDates_);
        Real t = p()->termStructure()->timeFromReference(d);
        Real T = p()->termStructure()->timeFromReference(e);
        // Real ts = p()->termStructure()->timeFromReference(ds);
        // Real Ts = p()->termStructure()->timeFromReference(es);
        std::string id_P0T = "__dsc_" + ore::data::to_string(e) + "_" + discountCurveId;
        std::string id_H = "__lgm_" + qualifier_ + "_H_" + ore::data::to_string(e);
        std::string id_zeta = "__lgm_" + qualifier_ + "_zeta_" + ore::data::to_string(d);
        std::size_t H = addModelParameter(g_, modelParameters_, id_H, [p, T] { return p()->H(T); });
        std::size_t zeta = addModelParameter(g_, modelParameters_, id_zeta, [p, t] { return p()->zeta(t); });
        std::size_t P0T = addModelParameter(g_, modelParameters_, id_P0T, [p, discountCurve, T] {
            return (discountCurve.empty() ? p()->termStructure() : discountCurve)->discount(T);
        });
        n = cg_mult(
            g_, P0T,
            cg_exp(g_, cg_negative(g_, cg_add(g_, cg_mult(g_, H, x),
                                              cg_mult(g_, cg_mult(g_, cg_const(g_, 0.5), zeta), cg_mult(g_, H, H))))));
    }
    return n;
}

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fixing()

std::size_t fixing	(	const QuantLib::ext::shared_ptr< InterestRateIndex > &	index,
		const Date &	fixingDate,
		const Date &	t,
		const std::size_t	x
	)		const

Definition at line 105 of file lgmcg.cpp.

                                                   {
 
    std::string id =
        "__irFix_" + index->name() + "_" + ore::data::to_string(fixingDate) + "_" + ore::data::to_string(t);
    std::size_t n;
    if (n = cg_var(g_, id, ComputationGraph::VarDoesntExist::Nan); n == ComputationGraph::nan) {
 
        // handle case where fixing is deterministic
 
        Date today = Settings::instance().evaluationDate();
        if (fixingDate <= today) {
 
            // handle historical fixing
 
            n = addModelParameter(g_, modelParameters_, id,
                                  [index, fixingDate]() { return index->fixing(fixingDate); });
 
        } else if (auto ibor = QuantLib::ext::dynamic_pointer_cast<IborIndex>(index)) {
 
            // Ibor Index
 
            Date d1 = std::max(t, ibor->valueDate(fixingDate));
            Date d2 = ibor->maturityDate(d1);
 
            Time dt = ibor->dayCounter().yearFraction(d1, d2);
 
            std::size_t disc1 = reducedDiscountBond(t, d1, x, ibor->forwardingTermStructure(), "fwd_" + index->name());
            std::size_t disc2 = reducedDiscountBond(t, d2, x, ibor->forwardingTermStructure(), "fwd_" + index->name());
 
            n = cg_div(g_, cg_subtract(g_, cg_div(g_, disc1, disc2), cg_const(g_, 1.0)), cg_const(g_, dt));
 
        } else {
            QL_FAIL("LgmCG::fixing(): only ibor indices handled so far, index = " << index->name());
        }
    }
    return n;
}

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Member Data Documentation

qualifier_

std::string qualifier_

private

Definition at line 64 of file lgmcg.hpp.

g_

QuantExt::ComputationGraph& g_

private

Definition at line 65 of file lgmcg.hpp.

p_

std::function<QuantLib::ext::shared_ptr<IrLgm1fParametrization>()> p_

private

Definition at line 66 of file lgmcg.hpp.

modelParameters_

std::vector<std::pair<std::size_t, std::function<double(void)> > >& modelParameters_

private

Definition at line 67 of file lgmcg.hpp.

effSimDates_

std::set<Date> effSimDates_

private

Definition at line 68 of file lgmcg.hpp.