McCamFxForwardEngine Class Reference

#include <qle/pricingengines/mccamfxforwardengine.hpp>

Inheritance diagram for McCamFxForwardEngine:

Collaboration diagram for McCamFxForwardEngine:

Public Member Functions
	McCamFxForwardEngine (const Handle< CrossAssetModel > &model, const Currency &domesticCcy, const Currency &foreignCcy, 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 Currency	domesticCcy_
const Currency	foreignCcy_
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 mccamfxforwardengine.hpp.

Constructor & Destructor Documentation

McCamFxForwardEngine()

McCamFxForwardEngine	(	const Handle< CrossAssetModel > &	model,
		const Currency &	domesticCcy,
		const Currency &	foreignCcy,
		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 27 of file mccamfxforwardengine.cpp.

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

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 46 of file mccamfxforwardengine.cpp.

                                           {
 
    Leg foreignLeg{QuantLib::ext::make_shared<SimpleCashFlow>(arguments_.nominal1, arguments_.payDate)};
    Leg domesticLeg{QuantLib::ext::make_shared<SimpleCashFlow>(arguments_.nominal2, arguments_.payDate)};
 
    leg_ = {foreignLeg, domesticLeg};
    currency_ = {foreignCcy_, domesticCcy_};
    payer_ = {false, true};
    exercise_ = nullptr;
    includeSettlementDateFlows_ = arguments_.includeSettlementDateFlows;
        
    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["underlyingNpv"] = resultUnderlyingNpv_ / fxSpot;
    results_.additionalResults["amcCalculator"] = amcCalculator();
 
} // calculate

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model()

const Handle< CrossAssetModel > & model

(

)

const

Definition at line 49 of file mccamfxforwardengine.hpp.

{ return model_; }

Member Data Documentation

domesticCcy_

const Currency domesticCcy_

private

Definition at line 52 of file mccamfxforwardengine.hpp.

foreignCcy_

const Currency foreignCcy_

private

Definition at line 52 of file mccamfxforwardengine.hpp.

npvCcy_

const Currency npvCcy_

private

Definition at line 52 of file mccamfxforwardengine.hpp.