mclgmswapengine.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 mclgmswapengine.hpp
    \brief MC LGM swap engines
    \ingroup engines
*/
 
#pragma once
 
#include <qle/pricingengines/mcmultilegbaseengine.hpp>
 
#include <ql/instruments/swap.hpp>
 
namespace QuantExt {
 
class McLgmSwapEngine : public GenericEngine<QuantLib::Swap::arguments, QuantLib::Swap::results>,
                        public McMultiLegBaseEngine {
public:
    McLgmSwapEngine(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>())
        : GenericEngine<QuantLib::Swap::arguments, QuantLib::Swap::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,
                               regressionVarianceCutoff) {
        registerWith(model);
    }
 
    void calculate() const override;
};
 
} // namespace QuantExt