lgmcg.hpp

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/*
 Copyright (C) 2023 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file models/lgmcg.hpp
    \brief computation graph based lgm model calculations
    \ingroup models
*/
 
#pragma once
 
#include <qle/ad/computationgraph.hpp>
#include <qle/models/irlgm1fparametrization.hpp>
 
#include <ql/indexes/iborindex.hpp>
 
namespace ore::data {
 
using namespace QuantLib;
using namespace QuantExt;
 
class LgmCG {
public:
    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 = {})
        : qualifier_(qualifier), g_(g), p_(p), modelParameters_(modelParameters),
          effSimDates_(effSimDates) {}
 
    QuantLib::ext::shared_ptr<IrLgm1fParametrization> parametrization() const { return p_(); }
 
    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;
 
    /* Handles IborIndex and SwapIndex. Requires observation time t <= fixingDate */
    std::size_t fixing(const QuantLib::ext::shared_ptr<InterestRateIndex>& index, const Date& fixingDate, const Date& t,
                       const std::size_t x) const;
 
private:
    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_;
};
 
} // namespace ore::data