analyticcclgmfxoptionengine.hpp

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/*
 Copyright (C) 2016 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 analyticcclgmfxoptionengine.hpp
    \brief analytic cc lgm fx option engine
 
        \ingroup engines
*/
 
#ifndef quantext_cclgm_fxoptionengine_hpp
#define quantext_cclgm_fxoptionengine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <qle/models/crossassetmodel.hpp>
 
namespace QuantExt {
 
//! Analytic cc lgm fx option engine
/*! \ingroup engines
 */
class AnalyticCcLgmFxOptionEngine : public VanillaOption::engine {
public:
    AnalyticCcLgmFxOptionEngine(const QuantLib::ext::shared_ptr<CrossAssetModel>& model, const Size foreignCurrency);
    void calculate() const override;
 
    /*! if cache is enabled, the integrals independent of fx
      volatility are cached, which can speed up calibration;
      remember to flush the cache when the ir parameters
      change, this can be done by another call to cache */
    void cache(bool enable = true);
 
    /*! the actual option price calculation, exposed to public,
      since it is useful to directly use the core computation
      sometimes */
    Real value(const Time t0, const Time t, const QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff,
               const Real domesticDiscount, const Real fxForward) const;
 
private:
    const QuantLib::ext::shared_ptr<CrossAssetModel> model_;
    const Size foreignCurrency_;
    bool cacheEnabled_;
    mutable bool cacheDirty_;
    mutable Real cachedIntegrals_, cachedT0_, cachedT_;
};
 
// inline
 
inline void AnalyticCcLgmFxOptionEngine::cache(bool enable) {
    cacheEnabled_ = enable;
    cacheDirty_ = true;
}
 
} // namespace QuantExt
 
#endif