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mgronckimgroncki
committed
QPR-13657 renaming and some comments
1 parent e30944e commit 191e47a

25 files changed

Lines changed: 164 additions & 150 deletions

‎OREData/ored/scripting/engines/amccgbaseengine.cpp‎

Lines changed: 4 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -64,11 +64,11 @@ Real AmcCgBaseEngine::time(const Date& d) const {
6464
return QuantLib::ActualActual(QuantLib::ActualActual::ISDA).yearFraction(modelCg_->referenceDate(), d);
6565
}
6666

67-
AmcCgBaseEngine::CashflowInfo AmcCgBaseEngine::createCashflowInfo(QuantLib::ext::shared_ptr<QuantLib::CashFlow> flow,
67+
AmcCgBaseEngine::McCashflowInfo AmcCgBaseEngine::createCashflowInfo(QuantLib::ext::shared_ptr<QuantLib::CashFlow> flow,
6868
const std::string& payCcy, bool payer, Size legNo,
6969
Size cfNo) const {
7070

71-
CashflowInfo info;
71+
McCashflowInfo info;
7272
QuantExt::ComputationGraph& g = *modelCg_->computationGraph();
7373

7474
// set some common info: pay time, pay ccy, payer, exercise into decision time
@@ -523,7 +523,7 @@ void AmcCgBaseEngine::buildComputationGraph(const bool stickyCloseOutDateRun,
523523

524524
// populate the info to generate the (alive) cashflow amounts
525525

526-
std::vector<CashflowInfo> cashflowInfo;
526+
std::vector<McCashflowInfo> cashflowInfo;
527527

528528
Size legNo = 0;
529529
for (auto const& leg : leg_) {
@@ -902,7 +902,7 @@ void AmcCgBaseEngine::buildComputationGraph(const bool stickyCloseOutDateRun,
902902
}
903903

904904
std::size_t AmcCgBaseEngine::createRegressionModel(const std::size_t amount, const Date& d,
905-
const std::vector<CashflowInfo>& cashflowInfo,
905+
const std::vector<McCashflowInfo>& cashflowInfo,
906906
const std::function<bool(std::size_t)>& cashflowRelevant,
907907
const std::size_t filter) const {
908908
// TODO use relevant cashflow info to refine regressor if regressor model == LaggedFX

‎OREData/ored/scripting/engines/amccgbaseengine.hpp‎

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -76,7 +76,7 @@ class AmcCgBaseEngine : public AmcCgPricingEngine {
7676

7777
private:
7878
// data structure storing info needed to generate the amount for a cashflow
79-
struct CashflowInfo {
79+
struct McCashflowInfo {
8080
Size legNo = Null<Size>(), cfNo = Null<Size>();
8181
Date payDate = Null<Date>();
8282
Date exIntoCriterionDate = Null<Date>();
@@ -90,12 +90,12 @@ class AmcCgBaseEngine : public AmcCgPricingEngine {
9090
Real time(const Date& d) const;
9191

9292
// create the info for a given flow
93-
CashflowInfo createCashflowInfo(QuantLib::ext::shared_ptr<QuantLib::CashFlow> flow, const std::string& payCcy,
93+
McCashflowInfo createCashflowInfo(QuantLib::ext::shared_ptr<QuantLib::CashFlow> flow, const std::string& payCcy,
9494
bool payer, Size legNo, Size cfNo) const;
9595

9696
// create a regression model (i.e. an npv - node in the graph)
9797
std::size_t createRegressionModel(const std::size_t amount, const Date& d,
98-
const std::vector<CashflowInfo>& cashflowInfo,
98+
const std::vector<McCashflowInfo>& cashflowInfo,
9999
const std::function<bool(std::size_t)>& cashflowRelevant,
100100
const std::size_t filter) const;
101101
};

‎OREData/ored/utilities/parsers.cpp‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1454,27 +1454,27 @@ QuantLib::Pillar::Choice parsePillarChoice(const std::string& s) {
14541454
}
14551455
}
14561456

1457-
QuantExt::RegressionModel::RegressorModel parseRegressorModel(const std::string& s) {
1457+
QuantExt::McRegressionModel::RegressorModel parseRegressorModel(const std::string& s) {
14581458
if (s == "Simple")
1459-
return RegressionModel::RegressorModel::Simple;
1459+
return McRegressionModel::RegressorModel::Simple;
14601460
else if (s == "Lagged")
1461-
return RegressionModel::RegressorModel::Lagged;
1461+
return McRegressionModel::RegressorModel::Lagged;
14621462
else if (s == "LaggedIR")
1463-
return RegressionModel::RegressorModel::LaggedIR;
1463+
return McRegressionModel::RegressorModel::LaggedIR;
14641464
else if (s == "LaggedFX")
1465-
return RegressionModel::RegressorModel::LaggedFX;
1465+
return McRegressionModel::RegressorModel::LaggedFX;
14661466
else if (s == "LaggedEQ")
1467-
return RegressionModel::RegressorModel::LaggedEQ;
1467+
return McRegressionModel::RegressorModel::LaggedEQ;
14681468
else {
14691469
QL_FAIL("RegressorModel '" << s << "' not recognized, expected Simple, Lagged, LaggedIR, LaggedFX, LaggedEQ");
14701470
}
14711471
}
14721472

1473-
QuantExt::RegressionModel::VarGroupMode parseVarGroupMode(const std::string& s) {
1473+
QuantExt::McRegressionModel::VarGroupMode parseVarGroupMode(const std::string& s) {
14741474
if (s == "Global")
1475-
return RegressionModel::VarGroupMode::Global;
1475+
return McRegressionModel::VarGroupMode::Global;
14761476
else if (s == "Trivial")
1477-
return RegressionModel::VarGroupMode::Trivial;
1477+
return McRegressionModel::VarGroupMode::Trivial;
14781478
else {
14791479
QL_FAIL("VarGroupMode '" << s << "' not recognized, expected Global, Trivial");
14801480
}

‎OREData/ored/utilities/parsers.hpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -595,13 +595,13 @@ QuantLib::Pillar::Choice parsePillarChoice(const std::string& s);
595595
/*!
596596
\ingroup utilities
597597
*/
598-
QuantExt::RegressionModel::RegressorModel parseRegressorModel(const std::string& s);
598+
QuantExt::McRegressionModel::RegressorModel parseRegressorModel(const std::string& s);
599599

600600
//! Convert text to QuantExt::McMultiLegBaseEngine::VarGroupMode
601601
/*!
602602
\ingroup utilities
603603
*/
604-
QuantExt::RegressionModel::VarGroupMode parseVarGroupMode(const std::string& s);
604+
QuantExt::McRegressionModel::VarGroupMode parseVarGroupMode(const std::string& s);
605605

606606
enum MporCashFlowMode { Unspecified, NonePay, BothPay, WePay, TheyPay };
607607

‎QuantExt/qle/pricingengines/mccamcurrencyswapengine.cpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -29,11 +29,11 @@ McCamCurrencySwapEngine::McCamCurrencySwapEngine(
2929
const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering,
3030
const SobolRsg::DirectionIntegers directionIntegers, const std::vector<Handle<YieldTermStructure>>& discountCurves,
3131
const std::vector<Date>& simulationDates, const std::vector<Date>& stickyCloseOutDates,
32-
const std::vector<Size>& externalModelIndices, const bool minimalObsDate, const RegressionModel::RegressorModel regressorModel,
32+
const std::vector<Size>& externalModelIndices, const bool minimalObsDate, const McRegressionModel::RegressorModel regressorModel,
3333
const Real regressionVarianceCutoff, const bool recalibrateOnStickyCloseOutDates,
3434
const bool reevaluateExerciseInStickyRun, const Size cfOnCpnMaxSimTimes, const Period& cfOnCpnAddSimTimesCutoff,
3535
const Size regressionMaxSimTimesIr, const Size regressionMaxSimTimesFx, const Size regressionMaxSimTimesEq,
36-
const RegressionModel::VarGroupMode regressionVarGroupMode)
36+
const McRegressionModel::VarGroupMode regressionVarGroupMode)
3737
: McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
3838
calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
3939
discountCurves, simulationDates, stickyCloseOutDates, externalModelIndices, minimalObsDate,

‎QuantExt/qle/pricingengines/mccamcurrencyswapengine.hpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -43,15 +43,15 @@ class McCamCurrencySwapEngine : public McMultiLegBaseEngine, public CurrencySwap
4343
const std::vector<Date>& simulationDates = std::vector<Date>(),
4444
const std::vector<Date>& stickyCloseOutDates = std::vector<Date>(),
4545
const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
46-
const RegressionModel::RegressorModel regressorModel = RegressionModel::RegressorModel::Simple,
46+
const McRegressionModel::RegressorModel regressorModel = McRegressionModel::RegressorModel::Simple,
4747
const Real regressionVarianceCutoff = Null<Real>(), const bool recalibrateOnStickyCloseOutDates = false,
4848
const bool reevaluateExerciseInStickyRun = false,
4949
const Size cfOnCpnMaxSimTimes = 1,
5050
const Period& cfOnCpnAddSimTimesCutoff = Period(),
5151
const Size regressionMaxSimTimesIr = 0,
5252
const Size regressionMaxSimTimesFx = 0,
5353
const Size regressionMaxSimTimesEq = 0,
54-
const RegressionModel::VarGroupMode regressionVarGroupMode = RegressionModel::VarGroupMode::Global);
54+
const McRegressionModel::VarGroupMode regressionVarGroupMode = McRegressionModel::VarGroupMode::Global);
5555

5656
void calculate() const override;
5757
const Handle<CrossAssetModel>& model() const { return model_; }

‎QuantExt/qle/pricingengines/mccamequityforwardengine.cpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -31,11 +31,11 @@ McCamEquityForwardEngine::McCamEquityForwardEngine(
3131
const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering,
3232
const SobolRsg::DirectionIntegers directionIntegers, const std::vector<Date>& simulationDates,
3333
const std::vector<Date>& stickyCloseOutDates, const std::vector<Size>& externalModelIndices,
34-
const bool minimalObsDate, const RegressionModel::RegressorModel regressorModel, const Real regressionVarianceCutoff,
34+
const bool minimalObsDate, const McRegressionModel::RegressorModel regressorModel, const Real regressionVarianceCutoff,
3535
const bool recalibrateOnStickyCloseOutDates, const bool reevaluateExerciseInStickyRun,
3636
const Size cfOnCpnMaxSimTimes, const Period& cfOnCpnAddSimTimesCutoff,
3737
const Size regressionMaxSimTimesIr, const Size regressionMaxSimTimesFx, const Size regressionMaxSimTimesEq,
38-
const RegressionModel::VarGroupMode regressionVarGroupMode)
38+
const McRegressionModel::VarGroupMode regressionVarGroupMode)
3939
: McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
4040
calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers, {},
4141
simulationDates, stickyCloseOutDates, externalModelIndices, minimalObsDate, regressorModel,

‎QuantExt/qle/pricingengines/mccamequityforwardengine.hpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -46,7 +46,7 @@ class McCamEquityForwardEngine : public McMultiLegBaseEngine, public EquityForwa
4646
const std::vector<Date>& stickyCloseOutDates = std::vector<Date>(),
4747
const std::vector<Size>& externalModelIndices = std::vector<Size>(),
4848
const bool minimalObsDate = true,
49-
const RegressionModel::RegressorModel regressorModel = RegressionModel::RegressorModel::Simple,
49+
const McRegressionModel::RegressorModel regressorModel = McRegressionModel::RegressorModel::Simple,
5050
const Real regressionVarianceCutoff = Null<Real>(),
5151
const bool recalibrateOnStickyCloseOutDates = false,
5252
const bool reevaluateExerciseInStickyRun = false,
@@ -55,7 +55,7 @@ class McCamEquityForwardEngine : public McMultiLegBaseEngine, public EquityForwa
5555
const Size regressionMaxSimTimesIr = 0,
5656
const Size regressionMaxSimTimesFx = 0,
5757
const Size regressionMaxSimTimesEq = 0,
58-
const RegressionModel::VarGroupMode regressionVarGroupMode = RegressionModel::VarGroupMode::Global);
58+
const McRegressionModel::VarGroupMode regressionVarGroupMode = McRegressionModel::VarGroupMode::Global);
5959

6060
const Handle<CrossAssetModel>& model() const { return model_; }
6161

‎QuantExt/qle/pricingengines/mccamfxforwardengine.cpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -32,11 +32,11 @@ McCamFxForwardEngine::McCamFxForwardEngine(
3232
const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers,
3333
const std::vector<Handle<YieldTermStructure>>& discountCurves, const std::vector<Date>& simulationDates,
3434
const std::vector<Date>& stickyCloseOutDates, const std::vector<Size>& externalModelIndices,
35-
const bool minimalObsDate, const RegressionModel::RegressorModel regressorModel, const Real regressionVarianceCutoff,
35+
const bool minimalObsDate, const McRegressionModel::RegressorModel regressorModel, const Real regressionVarianceCutoff,
3636
const bool recalibrateOnStickyCloseOutDates, const bool reevaluateExerciseInStickyRun,
3737
const Size cfOnCpnMaxSimTimes, const Period& cfOnCpnAddSimTimesCutoff, const Size regressionMaxSimTimesIr,
3838
const Size regressionMaxSimTimesFx, const Size regressionMaxSimTimesEq,
39-
const RegressionModel::VarGroupMode regressionVarGroupMode)
39+
const McRegressionModel::VarGroupMode regressionVarGroupMode)
4040
: McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
4141
calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
4242
discountCurves, simulationDates, stickyCloseOutDates, externalModelIndices, minimalObsDate,

‎QuantExt/qle/pricingengines/mccamfxforwardengine.hpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -43,12 +43,12 @@ class McCamFxForwardEngine : public McMultiLegBaseEngine, public FxForward::engi
4343
const std::vector<Date>& simulationDates = std::vector<Date>(),
4444
const std::vector<Date>& stickyCloseOutDates = std::vector<Date>(),
4545
const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
46-
const RegressionModel::RegressorModel regressorModel = RegressionModel::RegressorModel::Simple,
46+
const McRegressionModel::RegressorModel regressorModel = McRegressionModel::RegressorModel::Simple,
4747
const Real regressionVarianceCutoff = Null<Real>(), const bool recalibrateOnStickyCloseOutDates = false,
4848
const bool reevaluateExerciseInStickyRun = false, const Size cfOnCpnMaxSimTimes = 1,
4949
const Period& cfOnCpnAddSimTimesCutoff = Period(), const Size regressionMaxSimTimesIr = 0,
5050
const Size regressionMaxSimTimesFx = 0, const Size regressionMaxSimTimesEq = 0,
51-
const RegressionModel::VarGroupMode regressionVarGroupMode = RegressionModel::VarGroupMode::Global);
51+
const McRegressionModel::VarGroupMode regressionVarGroupMode = McRegressionModel::VarGroupMode::Global);
5252

5353
void calculate() const override;
5454
const Handle<CrossAssetModel>& model() const { return model_; }

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