McMultiLegOptionEngine Class Reference

#include <qle/pricingengines/mcmultilegoptionengine.hpp>

Inheritance diagram for McMultiLegOptionEngine:

Collaboration diagram for McMultiLegOptionEngine:

Public Member Functions
	McMultiLegOptionEngine (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=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 >())
	McMultiLegOptionEngine (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, const Real regressionVarianceCutoff=Null< Real >())
void	calculate () const override
const Handle< CrossAssetModel > &	model () const

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 35 of file mcmultilegoptionengine.hpp.

Constructor & Destructor Documentation

McMultiLegOptionEngine() [1/2]

McMultiLegOptionEngine	(	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 = 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 23 of file mcmultilegoptionengine.cpp.

    : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                           calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
                           discountCurves, simulationDates, externalModelIndices, minObsDate, regressorModel,
                           regressionVarianceCutoff) {
    registerWith(model_);
    for (auto& h : discountCurves_) {
        registerWith(h);
    }
}

McMultiLegOptionEngine() [2/2]

McMultiLegOptionEngine	(	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,
		const Real	regressionVarianceCutoff = Null<Real>()
	)

Definition at line 41 of file mcmultilegoptionengine.cpp.

    : McMultiLegOptionEngine(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,
                             regressionVarianceCutoff) {}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 57 of file mcmultilegoptionengine.cpp.

                                             {
 
    leg_ = arguments_.legs;
    currency_ = arguments_.currency;
    payer_ = arguments_.payer;
    exercise_ = arguments_.exercise;
    optionSettlement_ = arguments_.settlementType;
 
    McMultiLegBaseEngine::calculate();
 
    // convert base ccy result from McMultiLegbaseEngine to desired npv currency
    Real fxSpot = 1.0;
    Size npvCcyIndex = model_->ccyIndex(currency_.front());
    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 67 of file mcmultilegoptionengine.hpp.

{ return model_; }