numericlgmriskparticipationagreementengine_tlock.hpp

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/*
 Copyright (C) 2021 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 ored/scripting/engines/numericlgmriskparticipationagreementengine_tlock.hpp
    \brief
*/
 
#pragma once
 
#include <qle/instruments/riskparticipationagreement_tlock.hpp>
 
#include <qle/models/lgmconvolutionsolver2.hpp>
 
#include <ql/termstructures/defaulttermstructure.hpp>
 
namespace ore {
namespace data {
 
using namespace QuantLib;
 
class NumericLgmRiskParticipationAgreementEngineTLock : public QuantExt::RiskParticipationAgreementTLock::engine,
                                                        protected QuantExt::LgmConvolutionSolver2 {
public:
    NumericLgmRiskParticipationAgreementEngineTLock(
        const std::string& baseCcy, const std::map<std::string, Handle<YieldTermStructure>>& discountCurves,
        const std::map<std::string, Handle<Quote>>& fxSpots, const QuantLib::ext::shared_ptr<QuantExt::LinearGaussMarkovModel>& model,
        const Real sy, const Size ny, const Real sx, const Size nx, const Handle<YieldTermStructure>& treasuryCurve,
        const Handle<DefaultProbabilityTermStructure>& defaultCurve, const Handle<Quote>& recoveryRate,
        const Size timeStepsPerYear);
 
private:
    std::string baseCcy_;
    mutable std::map<std::string, Handle<YieldTermStructure>> discountCurves_;
    mutable std::map<std::string, Handle<Quote>> fxSpots_;
    Handle<YieldTermStructure> treasuryCurve_;
    Handle<DefaultProbabilityTermStructure> defaultCurve_;
    Handle<Quote> recoveryRate_;
    Size timeStepsPerYear_;
 
    mutable Date referenceDate_;
 
    void calculate() const override;
    QuantExt::RandomVariable computePayoff() const;
};
 
} // namespace data
} // namespace ore