QPR-11618 add ctors for fd variant of engine

Author: pcaspers

QuantExt/qle/models/lgmfdsolver.hpp

@@ -33,7 +33,7 @@
 namespace QuantExt {
 
 //! Numerical FD solver for the LGM model
-class LgmFdSolver : LgmBackwardSolver {
+class LgmFdSolver : public LgmBackwardSolver {
 public:
     LgmFdSolver(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime = 50.0,
                 const Size stateGridPoints = 64, const Size timeStepsPerYear = 24, const Real mesherEpsilon = 1E-4);

QuantExt/qle/pricingengines/numericlgmmultilegoptionengine.cpp

@@ -23,6 +23,9 @@
 #include <qle/cashflows/overnightindexedcoupon.hpp>
 #include <qle/cashflows/subperiodscoupon.hpp>
 #include <qle/instruments/rebatedexercise.hpp>
+#include <qle/models/lgmconvolutionsolver2.hpp>
+#include <qle/models/lgmfdsolver.hpp>
+#include <qle/models/lgmvectorised.hpp>
 
 #include <ql/cashflows/averagebmacoupon.hpp>
 #include <ql/cashflows/capflooredcoupon.hpp>
@@ -371,6 +374,17 @@ NumericLgmMultiLegOptionEngine::NumericLgmMultiLegOptionEngine(const boost::shar
     registerWith(discountCurve_);
 }
 
+NumericLgmMultiLegOptionEngine::NumericLgmMultiLegOptionEngine(const boost::shared_ptr<LinearGaussMarkovModel>& model,
+                                                               const Real maxTime, const Size stateGridPoints,
+                                                               const Size timeStepsPerYear, const Real mesherEpsilon,
+                                                               const Handle<YieldTermStructure>& discountCurve)
+    : NumericLgmMultiLegOptionEngineBase(
+          boost::make_shared<LgmFdSolver>(model, maxTime, stateGridPoints, timeStepsPerYear, mesherEpsilon),
+          discountCurve) {
+    registerWith(solver_->model());
+    registerWith(discountCurve_);
+}
+
 void NumericLgmMultiLegOptionEngine::calculate() const {
     legs_ = arguments_.legs;
     payer_ = arguments_.payer;
@@ -396,6 +410,17 @@ NumericLgmSwaptionEngine::NumericLgmSwaptionEngine(const boost::shared_ptr<Linea
     registerWith(discountCurve_);
 }
 
+NumericLgmSwaptionEngine::NumericLgmSwaptionEngine(const boost::shared_ptr<LinearGaussMarkovModel>& model,
+                                                   const Real maxTime, const Size stateGridPoints,
+                                                   const Size timeStepsPerYear, const Real mesherEpsilon,
+                                                   const Handle<YieldTermStructure>& discountCurve)
+    : NumericLgmMultiLegOptionEngineBase(
+          boost::make_shared<LgmFdSolver>(model, maxTime, stateGridPoints, timeStepsPerYear, mesherEpsilon),
+          discountCurve) {
+    registerWith(solver_->model());
+    registerWith(discountCurve_);
+}
+
 void NumericLgmSwaptionEngine::calculate() const {
     legs_ = arguments_.legs;
     payer_ = arguments_.payer;
@@ -420,6 +445,16 @@ NumericLgmNonstandardSwaptionEngine::NumericLgmNonstandardSwaptionEngine(
     registerWith(discountCurve_);
 }
 
+NumericLgmNonstandardSwaptionEngine::NumericLgmNonstandardSwaptionEngine(
+    const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime, const Size stateGridPoints,
+    const Size timeStepsPerYear, const Real mesherEpsilon, const Handle<YieldTermStructure>& discountCurve)
+    : NumericLgmMultiLegOptionEngineBase(
+          boost::make_shared<LgmFdSolver>(model, maxTime, stateGridPoints, timeStepsPerYear, mesherEpsilon),
+          discountCurve) {
+    registerWith(solver_->model());
+    registerWith(discountCurve_);
+}
+
 void NumericLgmNonstandardSwaptionEngine::calculate() const {
     legs_ = arguments_.legs;
     payer_ = arguments_.payer;

QuantExt/qle/pricingengines/numericlgmmultilegoptionengine.hpp

@@ -21,8 +21,7 @@
 #include <ql/instruments/nonstandardswaption.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <qle/instruments/multilegoption.hpp>
-#include <qle/models/lgmconvolutionsolver2.hpp>
-#include <qle/models/lgmvectorised.hpp>
+#include <qle/models/lgmbackwardsolver.hpp>
 
 #include <ql/pricingengines/genericmodelengine.hpp>
 
@@ -61,6 +60,11 @@ class NumericLgmMultiLegOptionEngine
                                    const Real sx, const Size nx,
                                    const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>());
 
+    NumericLgmMultiLegOptionEngine(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime = 50.0,
+                                   const Size stateGridPoints = 64, const Size timeStepsPerYear = 24,
+                                   const Real mesherEpsilon = 1E-4,
+                                   const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>());
+
     void calculate() const override;
 };
 
@@ -71,6 +75,11 @@ class NumericLgmSwaptionEngine : public QuantLib::GenericEngine<Swaption::argume
                              const Real sx, const Size nx,
                              const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>());
 
+    NumericLgmSwaptionEngine(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime = 50.0,
+                             const Size stateGridPoints = 64, const Size timeStepsPerYear = 24,
+                             const Real mesherEpsilon = 1E-4,
+                             const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>());
+
     void calculate() const override;
 };
 
@@ -82,6 +91,11 @@ class NumericLgmNonstandardSwaptionEngine
                                         const Size ny, const Real sx, const Size nx,
                                         const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>());
 
+    NumericLgmNonstandardSwaptionEngine(const boost::shared_ptr<LinearGaussMarkovModel>& model,
+                                        const Real maxTime = 50.0, const Size stateGridPoints = 64,
+                                        const Size timeStepsPerYear = 24, const Real mesherEpsilon = 1E-4,
+                                        const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>());
+
     void calculate() const override;
 };