QPR-11618 add fd engine builder

Author: pcaspers

OREData/ored/portfolio/builders/swaption.cpp

@@ -206,7 +206,7 @@ boost::shared_ptr<PricingEngine> LGMGridBermudanSwaptionEngineBuilder::engineImp
                                                                                   const std::vector<Date>& expiries,
                                                                                   const Date& maturity,
                                                                                   const std::vector<Real>& strikes) {
-    DLOG("Building Bermudan Swaption engine for trade " << id);
+    DLOG("Building LGM Grid Bermudan Swaption engine for trade " << id);
 
     boost::shared_ptr<QuantExt::LGM> lgm = model(id, key, expiries, maturity, strikes);
 
@@ -224,6 +224,29 @@ boost::shared_ptr<PricingEngine> LGMGridBermudanSwaptionEngineBuilder::engineImp
         lgm, sy, ny, sx, nx, market_->discountCurve(ccy, configuration(MarketContext::pricing)));
 }
 
+boost::shared_ptr<PricingEngine> LGMFDBermudanSwaptionEngineBuilder::engineImpl(const string& id, const string& key,
+                                                                                const std::vector<Date>& expiries,
+                                                                                const Date& maturity,
+                                                                                const std::vector<Real>& strikes) {
+    DLOG("Building LGM FD Bermudan Swaption engine for trade " << id);
+
+    boost::shared_ptr<QuantExt::LGM> lgm = model(id, key, expiries, maturity, strikes);
+
+    DLOG("Get engine data");
+    Size stateGridPoints = parseInteger(engineParameter("StateGridPoints"));
+    Size timeStepsPerYear = parseInteger(engineParameter("TimeStepsPerYear"));
+    Real mesherEpsilon = parseReal(engineParameter("MesherEpsilon"));
+
+    Real maxTime = lgm->termStructure()->timeFromReference(maturity);
+
+    DLOG("Build engine (configuration " << configuration(MarketContext::pricing) << ")");
+    boost::shared_ptr<IborIndex> index;
+    std::string ccy = tryParseIborIndex(key, index) ? index->currency().code() : key;
+    return boost::make_shared<QuantExt::NumericLgmMultiLegOptionEngine>(
+        lgm, maxTime, stateGridPoints, timeStepsPerYear, mesherEpsilon,
+        market_->discountCurve(ccy, configuration(MarketContext::pricing)));
+}
+
 boost::shared_ptr<PricingEngine> LgmMcBermudanSwaptionEngineBuilder::engineImpl(const string& id, const string& key,
                                                                                 const std::vector<Date>& expiries,
                                                                                 const Date& maturity,

OREData/ored/portfolio/builders/swaption.hpp

@@ -111,6 +111,27 @@ class LGMGridBermudanSwaptionEngineBuilder : public LGMBermudanSwaptionEngineBui
         const std::vector<Real>& strikes) override;
 };
 
+//! Implementation of BermudanSwaptionEngineBuilder using LGM FD pricer
+/*! \ingroup builders
+ */
+class LGMFDBermudanSwaptionEngineBuilder : public LGMBermudanSwaptionEngineBuilder {
+public:
+    LGMFDBermudanSwaptionEngineBuilder() : LGMBermudanSwaptionEngineBuilder("FD") {}
+
+protected:
+    virtual boost::shared_ptr<PricingEngine> engineImpl(
+        //! a unique (trade) id, for caching
+        const string& id,
+        //! the key (index or ccy)
+        const string& key,
+        //! Excercise dates
+        const std::vector<Date>& dates,
+        //! maturity of the underlying
+        const Date& maturity,
+        //! Fixed rate (null means ATM)
+        const std::vector<Real>& strikes) override;
+};
+
 //! Implementation of LGMBermudanSwaptionEngineBuilder using MC pricer
 /*! \ingroup portfolio
  */

OREData/ored/utilities/initbuilders.cpp

@@ -418,6 +418,7 @@ void initBuilders() {
     ORE_REGISTER_ENGINE_BUILDER(FxTouchOptionEngineBuilder, false)
     ORE_REGISTER_ENGINE_BUILDER(EuropeanSwaptionEngineBuilder, false)
     ORE_REGISTER_ENGINE_BUILDER(LGMGridBermudanSwaptionEngineBuilder, false)
+    ORE_REGISTER_ENGINE_BUILDER(LGMFDBermudanSwaptionEngineBuilder, false)
     ORE_REGISTER_ENGINE_BUILDER(LgmMcBermudanSwaptionEngineBuilder, false)
     ORE_REGISTER_ENGINE_BUILDER(VarSwapEngineBuilder, false)
     ORE_REGISTER_ENGINE_BUILDER(FxDoubleTouchOptionAnalyticEngineBuilder, false)