#include <qle/pricingengines/mccamcurrencyswapengine.hpp>

Inheritance diagram for McCamCurrencySwapEngine:

Collaboration diagram for McCamCurrencySwapEngine:

Public Member Functions
	McCamCurrencySwapEngine (const Handle< CrossAssetModel > &model, const std::vector< Currency > &currencies, const Currency &npvCcy, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const std::vector< Handle< YieldTermStructure > > &discountCurves=std::vector< Handle< YieldTermStructure > >(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true, const RegressorModel regressorModel=RegressorModel::Simple, const Real regressionVarianceCutoff=Null< Real >())

void	calculate () const override

const Handle< CrossAssetModel > &	model () const

Private Attributes
const std::vector< Currency >	currencies_

const Currency	npvCcy_

Additional Inherited Members
Public Types inherited from McMultiLegBaseEngine
enum	RegressorModel { Simple , LaggedFX }

Protected Member Functions inherited from McMultiLegBaseEngine
	McMultiLegBaseEngine (const Handle< CrossAssetModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers, const std::vector< Handle< YieldTermStructure > > &discountCurves=std::vector< Handle< YieldTermStructure > >(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true, const RegressorModel regressorModel=RegressorModel::Simple, const Real regressionVarianceCutoff=Null< Real >())

void	calculate () const

QuantLib::ext::shared_ptr< AmcCalculator >	amcCalculator () const

Protected Attributes inherited from McMultiLegBaseEngine
std::vector< Leg >	leg_

std::vector< Currency >	currency_

std::vector< bool >	payer_

QuantLib::ext::shared_ptr< Exercise >	exercise_

Settlement::Type	optionSettlement_ = Settlement::Physical

bool	includeSettlementDateFlows_ = false

Handle< CrossAssetModel >	model_

SequenceType	calibrationPathGenerator_

SequenceType	pricingPathGenerator_

Size	calibrationSamples_

Size	pricingSamples_

Size	calibrationSeed_

Size	pricingSeed_

Size	polynomOrder_

LsmBasisSystem::PolynomialType	polynomType_

SobolBrownianGenerator::Ordering	ordering_

SobolRsg::DirectionIntegers	directionIntegers_

std::vector< Handle< YieldTermStructure > >	discountCurves_

std::vector< Date >	simulationDates_

std::vector< Size >	externalModelIndices_

bool	minimalObsDate_

RegressorModel	regressorModel_

Real	regressionVarianceCutoff_

QuantLib::ext::shared_ptr< AmcCalculator >	amcCalculator_

Real	resultUnderlyingNpv_

Real	resultValue_

Detailed Description

Definition at line 33 of file mccamcurrencyswapengine.hpp.

Constructor & Destructor Documentation

◆ McCamCurrencySwapEngine()

McCamCurrencySwapEngine	(	const Handle< CrossAssetModel > &	model,
		const std::vector< Currency > &	currencies,
		const Currency &	npvCcy,
		const SequenceType	calibrationPathGenerator,
		const SequenceType	pricingPathGenerator,
		const Size	calibrationSamples,
		const Size	pricingSamples,
		const Size	calibrationSeed,
		const Size	pricingSeed,
		const Size	polynomOrder,
		const LsmBasisSystem::PolynomialType	polynomType,
		const SobolBrownianGenerator::Ordering	ordering = `SobolBrownianGenerator::Steps`,
		const SobolRsg::DirectionIntegers	directionIntegers = `SobolRsg::JoeKuoD7`,
		const std::vector< Handle< YieldTermStructure > > &	discountCurves = `std::vector<Handle<YieldTermStructure>>()`,
		const std::vector< Date > &	simulationDates = `std::vector<Date>()`,
		const std::vector< Size > &	externalModelIndices = `std::vector<Size>()`,
		const bool	minimalObsDate = `true`,
		const RegressorModel	regressorModel = `RegressorModel::Simple`,
		const Real	regressionVarianceCutoff = `Null<Real>()`
	)

Definition at line 25 of file mccamcurrencyswapengine.cpp.

    : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                           calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
                           discountCurves, simulationDates, externalModelIndices, minimalObsDate, regressorModel,
                           regressionVarianceCutoff),
      currencies_(currencies), npvCcy_(npvCcy) {
    registerWith(model_);
    for (auto const& h : discountCurves)
        registerWith(h);
}

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 43 of file mccamcurrencyswapengine.cpp.

                                              {
 
    leg_ = arguments_.legs;
    currency_ = arguments_.currency;
    payer_.resize(arguments_.payer.size());
    for (Size i = 0; i < arguments_.payer.size(); ++i) {
        payer_[i] = QuantLib::close_enough(arguments_.payer[i], -1.0);
    }
    exercise_ = nullptr;
 
    McMultiLegBaseEngine::calculate();
 
    // convert base ccy result from McMultiLegbaseEngine to desired npv currency
    Real fxSpot = 1.0;
    Size npvCcyIndex = model_->ccyIndex(npvCcy_);
    if (npvCcyIndex > 0)
        fxSpot = model_->fxbs(npvCcyIndex - 1)->fxSpotToday()->value();
    results_.value = resultValue_ / fxSpot;
    results_.additionalResults["amcCalculator"] = amcCalculator();
} // calculate

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◆ model()

const Handle< CrossAssetModel > & model ( ) const

Definition at line 49 of file mccamcurrencyswapengine.hpp.

49{ return model_; }

Member Data Documentation

◆ currencies_

const std::vector<Currency> currencies_

private

Definition at line 52 of file mccamcurrencyswapengine.hpp.

◆ npvCcy_

const Currency npvCcy_