mccamcurrencyswapengine.hpp

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/*
 Copyright (C) 2019 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 mccamcurrencyswapengine.hpp
    \brief MC CAM engine for currency swaps
*/
 
#pragma once
 
#include <qle/pricingengines/mcmultilegbaseengine.hpp>
 
#include <qle/instruments/currencyswap.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/crossassetmodel.hpp>
 
namespace QuantExt {
 
class McCamCurrencySwapEngine : public McMultiLegBaseEngine, public CurrencySwap::engine {
public:
    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 { return model_; }
 
private:
    const std::vector<Currency> currencies_;
    const Currency npvCcy_;
};
 
} // namespace QuantExt