QPR-9793 merge with master

Author: damienbarker

Docs/ScriptedTrade/docs/models.tex

@@ -27,6 +27,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Model_SingleAssetOptionBwd(FX)">BlackScholes</Parameter>
       <Parameter name="Model_SingleAssetOptionBwd(COMM)">BlackScholes</Parameter>
       <Parameter name="Model_SingleUnderlyingIrOption">GaussianCam</Parameter>
+      <Parameter name="Model_SingleUnderlyingIrOptionBwd">GaussianCam</Parameter>
       <Parameter name="Model_MultiUnderlyingIrOption">GaussianCam</Parameter>
       <Parameter name="Model_IrHybrid(EQ)">GaussianCam</Parameter>
       <Parameter name="Model_IrHybrid(FX)">GaussianCam</Parameter>
@@ -38,6 +39,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Engine">MC</Parameter>
       <Parameter name="Samples">10000</Parameter>
       <Parameter name="StateGridPoints">200</Parameter>
+      <Parameter name="StateGridPoints_SingleUnderlyingIrOptionBwd">50</Parameter>
       <Parameter name="MesherEpsilon">1E-4</Parameter>
       <Parameter name="MesherScaling">1.5</Parameter>
       <Parameter name="MesherConcentration">0.1</Parameter>
@@ -54,7 +56,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Engine_SingleAssetOptionBwd(EQ)">FD</Parameter>
       <Parameter name="Engine_SingleAssetOptionBwd(FX)">FD</Parameter>
       <Parameter name="Engine_SingleAssetOptionBwd(COMM)">FD</Parameter>
-      <Parameter name="Engine_SingleUnderlyingIrOption">6</Parameter>
+      <Parameter name="Engine_SingleUnderlyingIrOption">FD</Parameter>
       <Parameter name="useAD_MultiAssetOptionAD(EQ)">true</Parameter>
       <Parameter name="useAD_MultiAssetOptionAD(FX)">true</Parameter>
       <Parameter name="useAD_MultiAssetOptionAD(COMM)">true</Parameter>
@@ -188,11 +190,15 @@ \subsection{BlackScholes model}\label{blackscholes}
 
 See \ref{pricingengine_config} for the impact of the model parameter FullDynamicFx on the model setup.
 
-TimeStepsPerYear are ignored if the correlation structure is trivial, because then the process can be discretised
+For MC TimeStepsPerYear are ignored if the correlation structure is trivial, because then the process can be discretised
 exactly. Otherwise the given time steps per year are used to build a grid on which covariance matrices are computed
 assuming a constant volatility between the grid points. The actual MC paths are evoloved using these covariance matrices
 on the original (non-refined) time grid, i.e. taking large, exact steps again.
 
+For FD TimeStepsPerYear, StateGridPoints, MesherEpsilon, MesherScaling, MesherConcentration,
+MesehMaxConcentrationPoints, MesherIsStatic are used, see the description of these parameters for their detailled
+interpretation.
+
 \smallskip
 Available Engine types: MC, FD
 
@@ -229,8 +235,12 @@ \subsection{GaussianCam models}
 
 See \ref{pricingengine_config} for the impact of the model parameters FullDynamicFx, FullDynamicIr on the model setup.
 
+The FD model variant is supported for a single underlying IR model only. A single calibration strike is supported that
+can be specified for any IR model index appearing in the script. TimeStepsPerYear, StateGridPoints, MesherEpsilon are
+used, see the description of these parameters for their detailled interpretation.
+
 \smallskip
-Available Engine types: MC
+Available Engine types: MC, FD
 
 \subsection{Base Currency Determination}\label{baseccy_determination}
 
@@ -312,12 +322,12 @@ \subsection{Calibration}\label{calibration}
 The usage of the calibration strikes is twofold:
 
 \begin{itemize}
-\item For the determination of calibration strikes. This is only relevant / supported by the BlackScholes model, which
-  will use the first strike from the list to read the volatility from the market term structure (if Calibration is set
-  to Deal in the model parameters).
+\item For the determination of calibration strikes. This is only relevant / supported by the BlackScholes and
+  GaussianCam-FD model, which will use the first strike from the list to read the volatility from the market term
+  structure (if Calibration is set to Deal in the model parameters).
 \item To determine concentration points for an FD mesher if \verb+Engine+ is set to \verb+FD+. The first $n$ strikes are
   used as concentration points where $n$ is the minimum of specified strikes and the engine parameter
-  \verb+MesherMaxConcentrationPoints+.
+  \verb+MesherMaxConcentrationPoints+. This is supported by the BlackScholes model only.
 \end{itemize}
 
 \subsection{FX tags and correlation curves}\label{fxtags_correlationcurves}

Docs/ScriptedTrade/scriptedtrade.tex

@@ -135,7 +135,8 @@ \section*{Document History}
   01-07-2021 & Peter Caspers & add case $d1>d2$ for ABOVEPROB, BELOWPROB \\
   13-09-2021 & Nathaniel Volfango & update Index section and add note on payment currency \\
   11-02-2022 & Peter Caspers & extend FWDCOMP, add FWDAVG function (breaking change) \\
-  22-06-2023 & Peter Caspers & add config flags for external devices
+  22-06-2023 & Peter Caspers & add config flags for external devices \\
+  12-02-2024 & Peter Caspers & additions for FD GaussianCam model
  \\ \hline
 \end{supertabular}
 \end{center}