Merge branch 'feature/QPR-10041' into 'master'

QPR-10041 Heston model -> ST

Closes QPR-10041

See merge request qs/oreplus!3031

Author: pcaspers

ORE-SWIG/OREData-SWIG/SWIG/ored_volcurves.i

@@ -24,7 +24,7 @@
 %{
 using ore::data::GenericYieldVolCurve;
 using ore::data::SwaptionVolCurve;
-using ore::data::BlackScholesModelBuilderBase;
+using ore::data::AssetModelBuilderBase;
 using ore::data::LocalVolModelBuilder;
 using namespace std;
 %}
@@ -79,7 +79,7 @@ class LocalVolModelBuilder : public BlackScholesModelBuilderBase {
                               const std::vector<Real>& calibrationMoneyness = {-2.0, -1.0, 0.0, 1.0, 2.0},
                               const std::string& referenceCalibrationGrid = "", const bool dontCalibrate = false,
                               const Handle<YieldTermStructure>& baseCurve = {});
-         std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess>> getCalibratedProcesses() const override;
+         std::vector<ext::shared_ptr<StochasticProcess>> getCalibratedProcesses() const override;
 };
 
 

OREData/ored/CMakeLists.txt

@@ -66,8 +66,8 @@ marketdata/todaysmarketparameters.cpp
 marketdata/wrappedmarket.cpp
 marketdata/yieldcurve.cpp
 marketdata/yieldvolcurve.cpp
+model/assetmodelbuilderbase.cpp
 model/blackscholesmodelbuilder.cpp
-model/blackscholesmodelbuilderbase.cpp
 model/calibrationbasket.cpp
 model/calibrationconfiguration.cpp
 model/calibrationinstrumentfactory.cpp
@@ -87,6 +87,7 @@ model/eqbsbuilder.cpp
 model/eqbsdata.cpp
 model/fxbsbuilder.cpp
 model/fxbsdata.cpp
+model/hestonmodelbuilder.cpp
 model/hwbuilder.cpp
 model/inflation/infdkbuilder.cpp
 model/inflation/infdkdata.cpp
@@ -349,12 +350,16 @@ scripting/engines/scriptedinstrumentamccalculator.cpp
 scripting/engines/scriptedinstrumentpricingengine.cpp
 scripting/engines/scriptedinstrumentpricingenginecg.cpp
 scripting/grammar.cpp
+scripting/models/assetmodel.cpp
 scripting/models/blackscholes.cpp
 scripting/models/blackscholescg.cpp
+scripting/models/blackscholeslocalvolbase.cpp
 scripting/models/fdgaussiancam.cpp
 scripting/models/gaussiancam.cpp
 scripting/models/gaussiancamcg.cpp
+scripting/models/heston.cpp
 scripting/models/lgmcg.cpp
+scripting/models/localvol.cpp
 scripting/models/modelcg.cpp
 scripting/models/modelcgimpl.cpp
 scripting/models/modelimpl.cpp
@@ -471,8 +476,8 @@ marketdata/todaysmarketparameters.hpp
 marketdata/wrappedmarket.hpp
 marketdata/yieldcurve.hpp
 marketdata/yieldvolcurve.hpp
+model/assetmodelbuilderbase.hpp
 model/blackscholesmodelbuilder.hpp
-model/blackscholesmodelbuilderbase.hpp
 model/calibrationbasket.hpp
 model/calibrationconfiguration.hpp
 model/calibrationinstrumentfactory.hpp
@@ -492,6 +497,7 @@ model/eqbsbuilder.hpp
 model/eqbsdata.hpp
 model/fxbsbuilder.hpp
 model/fxbsdata.hpp
+model/hestonmodelbuilder.hpp
 model/hwbuilder.hpp
 model/inflation/infdkbuilder.hpp
 model/inflation/infdkdata.hpp
@@ -770,13 +776,17 @@ scripting/engines/scriptedinstrumentpricingengine.hpp
 scripting/engines/scriptedinstrumentpricingenginecg.hpp
 scripting/grammar.hpp
 scripting/models/amcmodel.hpp
+scripting/models/assetmodel.hpp
 scripting/models/blackscholes.hpp
 scripting/models/blackscholescg.hpp
+scripting/models/blackscholeslocalvolbase.hpp
 scripting/models/dummymodel.hpp
 scripting/models/fdgaussiancam.hpp
 scripting/models/gaussiancam.hpp
 scripting/models/gaussiancamcg.hpp
+scripting/models/heston.hpp
 scripting/models/lgmcg.hpp
+scripting/models/localvol.hpp
 scripting/models/model.hpp
 scripting/models/modelcg.hpp
 scripting/models/modelcgimpl.hpp

…d/model/blackscholesmodelbuilderbase.cpp …ata/ored/model/assetmodelbuilderbase.cppOREData/ored/model/blackscholesmodelbuilderbase.cpp renamed to OREData/ored/model/assetmodelbuilderbase.cpp OREData/ored/model/blackscholesmodelbuilderbase.cpp renamed to OREData/ored/model/assetmodelbuilderbase.cpp

@@ -16,29 +16,29 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
-#include <ored/model/blackscholesmodelbuilderbase.hpp>
+#include <ored/model/assetmodelbuilderbase.hpp>
 #include <ored/model/utilities.hpp>
 
 namespace ore {
 namespace data {
 
-BlackScholesModelBuilderBase::BlackScholesModelBuilderBase(
-    const Handle<YieldTermStructure>& curve, const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
-    const std::set<Date>& simulationDates, const std::set<Date>& addDates, const Size timeStepsPerYear,
-    const Handle<YieldTermStructure>& baseCurve)
-    : BlackScholesModelBuilderBase(std::vector<Handle<YieldTermStructure>>{curve},
-                                   std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>{process},
-                                   simulationDates, addDates, timeStepsPerYear, baseCurve) {}
+AssetModelBuilderBase::AssetModelBuilderBase(const Handle<YieldTermStructure>& curve,
+                                             const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
+                                             const std::set<Date>& simulationDates, const std::set<Date>& addDates,
+                                             const Size timeStepsPerYear, const Handle<YieldTermStructure>& baseCurve)
+    : AssetModelBuilderBase(std::vector<Handle<YieldTermStructure>>{curve},
+                            std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>{process},
+                            simulationDates, addDates, timeStepsPerYear, baseCurve) {}
 
-BlackScholesModelBuilderBase::BlackScholesModelBuilderBase(
+AssetModelBuilderBase::AssetModelBuilderBase(
     const std::vector<Handle<YieldTermStructure>>& curves,
     const std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>& processes,
     const std::set<Date>& simulationDates, const std::set<Date>& addDates, const Size timeStepsPerYear,
     const Handle<YieldTermStructure>& baseCurve)
     : curves_(curves), baseCurve_(baseCurve), processes_(processes), simulationDates_(simulationDates),
       addDates_(addDates), timeStepsPerYear_(timeStepsPerYear) {
 
-    QL_REQUIRE(!curves_.empty(), "BlackScholesModelBuilderBase: no curves given");
+    QL_REQUIRE(!curves_.empty(), "AssetModelBuilderBase: no curves given");
 
     marketObserver_ = QuantLib::ext::make_shared<MarketObserver>();
 
@@ -59,7 +59,7 @@ BlackScholesModelBuilderBase::BlackScholesModelBuilderBase(
     alwaysForwardNotifications();
 
     allCurves_ = curves_;
-    if(!baseCurve_.empty())
+    if (!baseCurve_.empty())
         allCurves_.push_back(baseCurve_);
     for (auto const& p : processes_) {
         vols_.push_back(p->blackVolatility());
@@ -68,29 +68,29 @@ BlackScholesModelBuilderBase::BlackScholesModelBuilderBase(
     }
 }
 
-BlackScholesModelBuilderBase::BlackScholesModelBuilderBase(
-    const Handle<YieldTermStructure>& curve, const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process)
-    : BlackScholesModelBuilderBase(curve, process, {}, {}, 1) {}
+AssetModelBuilderBase::AssetModelBuilderBase(const Handle<YieldTermStructure>& curve,
+                                             const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process)
+    : AssetModelBuilderBase(curve, process, {}, {}, 1) {}
 
-Handle<BlackScholesModelWrapper> BlackScholesModelBuilderBase::model() const {
+Handle<AssetModelWrapper> AssetModelBuilderBase::model() const {
     calculate();
     return model_;
 }
 
-bool BlackScholesModelBuilderBase::requiresRecalibration() const {
+bool AssetModelBuilderBase::requiresRecalibration() const {
     setupDatesAndTimes();
     return calibrationPointsChanged(false) || marketObserver_->hasUpdated(false) || forceCalibration_;
 }
 
-void BlackScholesModelBuilderBase::newCalcWithoutRecalibration() const { calculate(); }
+void AssetModelBuilderBase::newCalcWithoutRecalibration() const { calculate(); }
 
-void BlackScholesModelBuilderBase::forceRecalculate() {
+void AssetModelBuilderBase::forceRecalculate() {
     forceCalibration_ = true;
     ModelBuilder::forceRecalculate();
     forceCalibration_ = false;
 }
 
-void BlackScholesModelBuilderBase::setupDatesAndTimes() const {
+void AssetModelBuilderBase::setupDatesAndTimes() const {
     Date referenceDate = curves_.front()->referenceDate();
     effectiveSimulationDates_.clear();
     effectiveSimulationDates_.insert(referenceDate);
@@ -108,7 +108,7 @@ void BlackScholesModelBuilderBase::setupDatesAndTimes() const {
     discretisationTimeGrid_ = TimeGrid(times.begin(), times.end(), steps);
 }
 
-void BlackScholesModelBuilderBase::performCalculations() const {
+void AssetModelBuilderBase::performCalculations() const {
     if (requiresRecalibration()) {
 
         // update vol and curves cache
@@ -121,15 +121,15 @@ void BlackScholesModelBuilderBase::performCalculations() const {
 
         // setup model
 
-        model_.linkTo(QuantLib::ext::make_shared<BlackScholesModelWrapper>(getCalibratedProcesses(), effectiveSimulationDates_,
-                                                                   discretisationTimeGrid_));
+        model_.linkTo(QuantLib::ext::make_shared<AssetModelWrapper>(
+            processType(), getCalibratedProcesses(), effectiveSimulationDates_, discretisationTimeGrid_));
 
         // notify model observers
         model_->notifyObservers();
     }
 }
 
-bool BlackScholesModelBuilderBase::calibrationPointsChanged(const bool updateCache) const {
+bool AssetModelBuilderBase::calibrationPointsChanged(const bool updateCache) const {
 
     // get times for curves and times / strikes for vols
 

…d/model/blackscholesmodelbuilderbase.hpp …ata/ored/model/assetmodelbuilderbase.hppOREData/ored/model/blackscholesmodelbuilderbase.hpp renamed to OREData/ored/model/assetmodelbuilderbase.hpp OREData/ored/model/blackscholesmodelbuilderbase.hpp renamed to OREData/ored/model/assetmodelbuilderbase.hpp

@@ -16,8 +16,8 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
-/*! \file ored/model/blackscholesmodelbuilderbase.hpp
-    \brief builder for an array of black scholes processes
+/*! \file ored/model/assetmodelbuilderbase.hpp
+    \brief builder for an array of processes
     \ingroup utilities
 */
 
@@ -28,7 +28,7 @@
 #include <qle/models/marketobserver.hpp>
 #include <qle/models/modelbuilder.hpp>
 
-#include <qle/models/blackscholesmodelwrapper.hpp>
+#include <qle/models/assetmodelwrapper.hpp>
 
 #include <ql/processes/blackscholesprocess.hpp>
 
@@ -38,19 +38,18 @@ namespace data {
 using namespace QuantExt;
 using namespace QuantLib;
 
-class BlackScholesModelBuilderBase : public ModelBuilder {
+class AssetModelBuilderBase : public ModelBuilder {
 public:
-    BlackScholesModelBuilderBase(
-        const std::vector<Handle<YieldTermStructure>>& curves,
-        const std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>& processes,
-        const std::set<Date>& simulationDates, const std::set<Date>& addDates, const Size timeStepsPerYear,
-        const Handle<YieldTermStructure>& baseCurve = {});
-    BlackScholesModelBuilderBase(const Handle<YieldTermStructure>& curve,
-                                 const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
-                                 const std::set<Date>& simulationDates, const std::set<Date>& addDates,
-                                 const Size timeStepsPerYear, const Handle<YieldTermStructure>& baseCurve = {});
-
-    Handle<BlackScholesModelWrapper> model() const;
+    AssetModelBuilderBase(const std::vector<Handle<YieldTermStructure>>& curves,
+                          const std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>& processes,
+                          const std::set<Date>& simulationDates, const std::set<Date>& addDates,
+                          const Size timeStepsPerYear, const Handle<YieldTermStructure>& baseCurve = {});
+    AssetModelBuilderBase(const Handle<YieldTermStructure>& curve,
+                          const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
+                          const std::set<Date>& simulationDates, const std::set<Date>& addDates,
+                          const Size timeStepsPerYear, const Handle<YieldTermStructure>& baseCurve = {});
+
+    Handle<AssetModelWrapper> model() const;
 
     //! \name ModelBuilder interface
     //@{
@@ -61,16 +60,16 @@ class BlackScholesModelBuilderBase : public ModelBuilder {
 
 protected:
     // generic ctor, you should override setupDateAndTimes() if using this one
-    BlackScholesModelBuilderBase(const Handle<YieldTermStructure>& curve,
-                                 const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
+    AssetModelBuilderBase(const Handle<YieldTermStructure>& curve,
+                          const QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
 
     virtual void setupDatesAndTimes() const;
 
-    virtual std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>> getCalibratedProcesses() const = 0;
+    virtual AssetModelWrapper::ProcessType processType() const = 0;
+    virtual std::vector<QuantLib::ext::shared_ptr<StochasticProcess>> getCalibratedProcesses() const = 0;
     virtual std::vector<std::vector<Real>> getCurveTimes() const = 0;
     virtual std::vector<std::vector<std::pair<Real, Real>>> getVolTimesStrikes() const = 0;
 
-
     void performCalculations() const override;
     bool calibrationPointsChanged(const bool updateCache) const;
 
@@ -83,7 +82,7 @@ class BlackScholesModelBuilderBase : public ModelBuilder {
     mutable std::set<Date> effectiveSimulationDates_; // the dates effectively simulated (including today)
     mutable TimeGrid discretisationTimeGrid_;         // the (possibly refined) time grid for the simulation
 
-    mutable RelinkableHandle<BlackScholesModelWrapper> model_;
+    mutable RelinkableHandle<AssetModelWrapper> model_;
 
     bool forceCalibration_ = false;
     QuantLib::ext::shared_ptr<MarketObserver> marketObserver_;

OREData/ored/model/blackscholesmodelbuilder.cpp

@@ -28,7 +28,7 @@ BlackScholesModelBuilder::BlackScholesModelBuilder(
     const std::set<Date>& simulationDates, const std::set<Date>& addDates, const Size timeStepsPerYear,
     const std::string& calibration, const std::vector<std::vector<Real>>& calibrationStrikes,
     const Handle<YieldTermStructure>& baseCurve)
-    : BlackScholesModelBuilderBase(curves, processes, simulationDates, addDates, timeStepsPerYear, baseCurve),
+    : AssetModelBuilderBase(curves, processes, simulationDates, addDates, timeStepsPerYear, baseCurve),
       calibration_(calibration),
       calibrationStrikes_(calibrationStrikes.empty() ? std::vector<std::vector<Real>>(processes.size())
                                                      : calibrationStrikes) {
@@ -42,13 +42,15 @@ BlackScholesModelBuilder::BlackScholesModelBuilder(
     const std::set<Date>& simulationDates, const std::set<Date>& addDates, const Size timeStepsPerYear,
     const std::string& calibration, const std::vector<Real>& calibrationStrikes,
     const Handle<YieldTermStructure>& baseCurve)
-    : BlackScholesModelBuilderBase(curve, process, simulationDates, addDates, timeStepsPerYear, baseCurve),
+    : AssetModelBuilderBase(curve, process, simulationDates, addDates, timeStepsPerYear, baseCurve),
       calibration_(calibration), calibrationStrikes_(1, calibrationStrikes) {}
 
-std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>
-BlackScholesModelBuilder::getCalibratedProcesses() const {
+std::vector<QuantLib::ext::shared_ptr<StochasticProcess>> BlackScholesModelBuilder::getCalibratedProcesses() const {
     // nothing to do, return original processes
-    return processes_;
+    std::vector<QuantLib::ext::shared_ptr<StochasticProcess>> result(processes_.size());
+    std::transform(processes_.begin(), processes_.end(), result.begin(),
+                   [](const QuantLib::ext::shared_ptr<StochasticProcess>& p) { return p; });
+    return result;
 }
 
 std::vector<std::vector<Real>> BlackScholesModelBuilder::getCurveTimes() const {
@@ -84,5 +86,9 @@ std::vector<std::vector<std::pair<Real, Real>>> BlackScholesModelBuilder::getVol
     return volTimesStrikes;
 }
 
+AssetModelWrapper::ProcessType BlackScholesModelBuilder::processType() const {
+    return AssetModelWrapper::ProcessType::BlackScholes;
+}
+
 } // namespace data
 } // namespace ore

OREData/ored/model/blackscholesmodelbuilder.hpp

@@ -23,15 +23,15 @@
 
 #pragma once
 
-#include <ored/model/blackscholesmodelbuilderbase.hpp>
+#include <ored/model/assetmodelbuilderbase.hpp>
 
 namespace ore {
 namespace data {
 
 using namespace ore::data;
 using namespace QuantLib;
 
-class BlackScholesModelBuilder : public BlackScholesModelBuilderBase {
+class BlackScholesModelBuilder final : public AssetModelBuilderBase {
 public:
     BlackScholesModelBuilder(const std::vector<Handle<YieldTermStructure>>& curves,
                              const std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>>& processes,
@@ -46,7 +46,9 @@ class BlackScholesModelBuilder : public BlackScholesModelBuilderBase {
                              const std::vector<Real>& calibrationStrikes = {},
                              const Handle<YieldTermStructure>& baseCurve = {});
 
-    std::vector<QuantLib::ext::shared_ptr<GeneralizedBlackScholesProcess>> getCalibratedProcesses() const override;
+    std::vector<QuantLib::ext::shared_ptr<StochasticProcess>> getCalibratedProcesses() const override;
+
+    AssetModelWrapper::ProcessType processType() const override;
 
 protected:
     std::vector<std::vector<Real>> getCurveTimes() const override;