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‎Docs/UserGuide/parameterisation/pricingengines.tex‎

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@@ -3516,6 +3516,116 @@ \subsubsection{Product Type: MultiLegOption}
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LGM/AMC builds a McMultiLegOptionEngine for use in AMC simulations. We refer to the AMC module documentation for further
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details.
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%--------------------------------------------------------
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\subsubsection{Product Type: Swap}
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%--------------------------------------------------------
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Used by trade type: Swap for single-currency swaps
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Available Model/Engine pairs:
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\begin{itemize}
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\item DiscountedCashflows/DiscountingSwapEngine
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\item DiscountedCashflows/DiscountingSwapEngineOptimised
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\item CrossAssetModel/AMC
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\end{itemize}
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Engine description:
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DiscountedCashflows/DiscountingSwapEngine builds a DiscountingSwapEngine. A sample configuration is shown in listing
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\ref{lst:peconfig_Swap_DiscountedCashflows_DiscountingSwapEngine}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="Swap">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>DiscountingSwapEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product Swap, Model DiscountedCashflows, Engine DiscountingSwapEngine}
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\label{lst:peconfig_Swap_DiscountedCashflows_DiscountingSwapEngine}
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\end{longlisting}
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DiscountedCashflows/DiscountingSwapEngineOptimised builds a DiscountingSwapEngineOptimised. This is a speed-optimized
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version of the DiscountingSwapEngine. In general, results should be validated against DiscountingSwapEngine.A sample
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configuration is shown in listing \ref{lst:peconfig_Swap_DiscountedCashflows_DiscountingSwapEngineOptimised}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="Swap">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>DiscountingSwapEngineOptimised</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product Swap, Model DiscountedCashflows, Engine DiscountingSwapEngineOptimised}
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\label{lst:peconfig_Swap_DiscountedCashflows_DiscountingSwapEngineOptimised}
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\end{longlisting}
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CrossAssetModel/AMC builds a McLgmSwapEngine for use in AMC simulations. We refer to the AMC module documentation for
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further details.
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%--------------------------------------------------------
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\subsubsection{Product Type: CurrencySwap}
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%--------------------------------------------------------
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Used by trade type: Swap for cross-currency swaps
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Available Model/Engine pairs:
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\begin{itemize}
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\item DiscountedCashflows/DiscountingCrossCurrencySwapEngine
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\item CrossAssetModel/AMC
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\end{itemize}
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Engine description:
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DiscountedCashflows/DiscountingCrossCurrencySwapEngine builds a DiscountingCurrencySwapEngine. A sample configuration is
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shown in listing \ref{lst:peconfig_Swap_DiscountedCashflows_DiscountingCurrencySwapEngine}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="CurrencySwap">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>DiscountingCurrencySwapEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product Swap, Model DiscountedCashflows, Engine DiscountingCurrencySwapEngine}
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\label{lst:peconfig_Swap_DiscountedCashflows_DiscountingCurrencySwapEngine}
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\end{longlisting}
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CrossAssetModel/AMC builds a McCamCurrencySwapEngine for use in AMC simulations. We refer to the AMC module
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documentation for further details.
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% ===================== template ========================
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%--------------------------------------------------------

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