McMultiLegBaseEngine Class Reference

Inheritance diagram for McMultiLegBaseEngine:

Classes
struct	CashflowInfo
class	RegressionModel
class	MultiLegBaseAmcCalculator

Public Types
enum	RegressorModel {   Simple , Lagged , LaggedIR , LaggedFX ,   LaggedEQ }
enum	VarGroupMode { Global , Trivial }

Public Member Functions
	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< Date > &stickyCloseOutDates=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 >(), const bool recalibrateOnStickyCloseOutDates=false, const bool reevaluateExerciseInStickyRun=false, const Size cfOnCpnMaxSimTimes=1, const Period &cfOnCpnAddSimTimesCutoff=Period(), const Size regressionMaxSimTimesIr=0, const Size regressionMaxSimTimesFx=0, const Size regressionMaxSimTimesEq=0, const VarGroupMode regressionVarGroupMode=VarGroupMode::Global)
virtual	~McMultiLegBaseEngine ()
	Destructor.
void	calculate () const
QuantLib::ext::shared_ptr< AmcCalculator >	amcCalculator () const
virtual RandomVariable	overwritePathValueUndDirty (double t, const RandomVariable &pathValueUndDirty, const std::set< Real > &exerciseXvaTimes, const std::vector< std::vector< QuantExt::RandomVariable > > &paths) const
virtual bool	useOverwritePathValueUndDirty () const
void	generatePathValues (const std::vector< Real > &simulationTimes, std::vector< std::vector< RandomVariable > > &pathValues) const
void	calculateModels (const std::set< Real > &simulationTimes, const std::set< Real > &exerciseXvaTimes, const std::set< Real > &exerciseTimes, const std::set< Real > &xvaTimes, const std::vector< CashflowInfo > &cashflowInfo, const std::vector< std::vector< RandomVariable > > &pathValues, const std::vector< std::vector< const RandomVariable * > > &pathValuesRef, std::vector< RegressionModel > &regModelUndDirty, std::vector< RegressionModel > &regModelUndExInto, std::vector< RegressionModel > &regModelRebate, std::vector< RegressionModel > &regModelContinuationValue, std::vector< RegressionModel > &regModelOption, RandomVariable &pathValueUndDirty, RandomVariable &pathValueUndExInto, RandomVariable &pathValueOption) const
Real	time (const Date &d) const
CashflowInfo	createCashflowInfo (QuantLib::ext::shared_ptr< CashFlow > flow, const Currency &payCcy, bool payer, Size legNo, Size cfNo) const
Size	timeIndex (const Time t, const std::set< Real > &simulationTimes) const
RandomVariable	cashflowPathValue (const CashflowInfo &cf, const std::vector< std::vector< RandomVariable > > &pathValues, const std::set< Real > &simulationTimes) const

Public Attributes
std::vector< Leg >	leg_
std::vector< Currency >	currency_
std::vector< bool >	payer_
QuantLib::ext::shared_ptr< Exercise >	exercise_
Settlement::Type	optionSettlement_ = Settlement::Physical
std::vector< QuantLib::Date >	cashSettlementDates_
bool	exerciseIntoIncludeSameDayFlows_ = 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< Date >	stickyCloseOutDates_
std::vector< Size >	externalModelIndices_
bool	minimalObsDate_
RegressorModel	regressorModel_
Real	regressionVarianceCutoff_
bool	recalibrateOnStickyCloseOutDates_
bool	reevaluateExerciseInStickyRun_
Size	cfOnCpnMaxSimTimes_
Period	cfOnCpnAddSimTimesCutoff_
Size	regressionMaxSimTimesIr_
Size	regressionMaxSimTimesFx_
Size	regressionMaxSimTimesEq_
VarGroupMode	regressionVarGroupMode_
bool	includeTodaysCashflows_
bool	includeReferenceDateEvents_
QuantLib::ext::shared_ptr< AmcCalculator >	amcCalculator_
Real	resultUnderlyingNpv_
Real	resultValue_
Date	today_
std::vector< LgmVectorised >	lgmVectorised_

Static Public Attributes
static constexpr Real	tinyTime = 1E-10

Constructor & Destructor Documentation

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< Date > &	stickyCloseOutDates = 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 >(),
		const bool	recalibrateOnStickyCloseOutDates = false,
		const bool	reevaluateExerciseInStickyRun = false,
		const Size	cfOnCpnMaxSimTimes = 1,
		const Period &	cfOnCpnAddSimTimesCutoff = Period(),
		const Size	regressionMaxSimTimesIr = 0,
		const Size	regressionMaxSimTimesFx = 0,
		const Size	regressionMaxSimTimesEq = 0,
		const VarGroupMode	regressionVarGroupMode = VarGroupMode::Global )

The npv is computed in the model's base currency, discounting curves are taken from the model. simulationDates are additional simulation dates. The cross asset model here must be consistent with the multi path that is the input to AmcCalculator::simulatePath().

Current limitations:

• the parameter minimalObsDate is ignored, the corresponding optimization is not implemented yet
• pricingSamples are ignored, the npv from the training phase is used alway