McMultiLegBaseEngine Class Reference

Inheritance diagram for McMultiLegBaseEngine:

Protected 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< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true)
void	calculate () const
boost::shared_ptr< AmcCalculator >	amcCalculator () const

Protected Attributes
std::vector< Leg >	leg_
std::vector< Currency >	currency_
std::vector< Real >	payer_
boost::shared_ptr< Exercise >	exercise_
Settlement::Type	optionSettlement_ = Settlement::Physical
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_
boost::shared_ptr< AmcCalculator >	amcCalculator_
Real	resultUnderlyingNpv_
Real	resultValue_

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< Size > &  externalModelIndices = std::vector< Size >(), const bool  minimalObsDate = true  )

protected

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