lgmconvolutionsolver2.hpp

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/*
 Copyright (C) 2020 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 lgmconvolutionsolver2.hpp
    \brief numeric convolution solver for the LGM model using RandoMVariable
 
    \ingroup engines
*/
 
#pragma once
 
#include <qle/math/randomvariable.hpp>
#include <qle/models/lgmbackwardsolver.hpp>
 
namespace QuantExt {
 
//! Numerical convolution solver for the LGM model
/*! Reference: Hagan, Methodology for callable swaps and Bermudan
               exercise into swaptions
*/
 
class LgmConvolutionSolver2 : public LgmBackwardSolver {
public:
    LgmConvolutionSolver2(const QuantLib::ext::shared_ptr<LinearGaussMarkovModel>& model, const Real sy, const Size ny,
                          const Real sx, const Size nx);
    Size gridSize() const override { return 2 * mx_ + 1; }
    RandomVariable stateGrid(const Real t) const override;
    // steps are always ignored, since we can take large steps
    RandomVariable rollback(const RandomVariable& v, const Real t1, const Real t0,
                            Size steps = Null<Size>()) const override;
    const QuantLib::ext::shared_ptr<LinearGaussMarkovModel>& model() const override { return model_; }
 
private:
    QuantLib::ext::shared_ptr<LinearGaussMarkovModel> model_;
    int mx_, my_, nx_;
    Real h_;
    std::vector<Real> y_, w_;
};
 
} // namespace QuantExt