McLgmNonstandardSwaptionEngine Class Reference

#include <qle/pricingengines/mclgmswaptionengine.hpp>

Inheritance diagram for McLgmNonstandardSwaptionEngine:

Collaboration diagram for McLgmNonstandardSwaptionEngine:

Public Member Functions
	McLgmNonstandardSwaptionEngine (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &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=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const Handle< YieldTermStructure > &discountCurve=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)
void	calculate () const override

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 61 of file mclgmswaptionengine.hpp.

Constructor & Destructor Documentation

McLgmNonstandardSwaptionEngine()

McLgmNonstandardSwaptionEngine	(	const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	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 = SobolBrownianGenerator::Steps,
		const SobolRsg::DirectionIntegers	directionIntegers = SobolRsg::JoeKuoD7,
		const Handle< YieldTermStructure > &	discountCurve = 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
	)

Definition at line 65 of file mclgmswaptionengine.hpp.

        : GenericEngine<QuantLib::NonstandardSwaption::arguments, QuantLib::NonstandardSwaption::results>(),
          McMultiLegBaseEngine(Handle<CrossAssetModel>(QuantLib::ext::make_shared<CrossAssetModel>(
                                   std::vector<QuantLib::ext::shared_ptr<IrModel>>(1, model),
                                   std::vector<QuantLib::ext::shared_ptr<FxBsParametrization>>())),
                               calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                               calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
                               {discountCurve}, simulationDates, externalModelIndices, minimalObsDate, regressorModel) {
        registerWith(model);
    }

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 40 of file mclgmswaptionengine.cpp.

                                                     {
    leg_ = arguments_.legs;
    currency_ = std::vector<Currency>(leg_.size(), model_->irlgm1f(0)->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_ = arguments_.exercise;
    optionSettlement_ = arguments_.settlementType;
    McMultiLegBaseEngine::calculate();
    results_.value = resultValue_;
    results_.additionalResults["underlyingNpv"] = resultUnderlyingNpv_;
    results_.additionalResults["amcCalculator"] = amcCalculator();
} // McLgmSwaptionEngine::calculate

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