QPR-8562 movr optimizer data from model builder to model data

Author: rolandlichters

OREData/ored/model/commodityschwartzmodelbuilder.cpp

@@ -42,10 +42,7 @@ CommoditySchwartzModelBuilder::CommoditySchwartzModelBuilder(
                          const QuantLib::Currency& baseCcy, const std::string& configuration,
                          const std::string& referenceCalibrationGrid)
     : market_(market), configuration_(configuration), data_(data), referenceCalibrationGrid_(referenceCalibrationGrid),
-      baseCcy_(baseCcy),
-      optimizationMethod_(boost::shared_ptr<OptimizationMethod>(new LevenbergMarquardt(1E-8, 1E-8, 1E-8))),
-      endCriteria_(EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8)),
-      calibrationErrorType_(BlackCalibrationHelper::RelativePriceError) {
+      baseCcy_(baseCcy) {
 
     optionActive_ = std::vector<bool>(data_->optionExpiries().size(), false);
     marketObserver_ = boost::make_shared<MarketObserver>();
@@ -132,7 +129,6 @@ void CommoditySchwartzModelBuilder::performCalculations() const {
 
         // check which parameters are kept fixed
         std::vector<bool> fix(model_->parametrization()->numberOfParameters(), true);
-        Constraint constraint;
         std::vector<Real> weights;
         Size freeParams = 0;
         if (data_->calibrateSigma()) {
@@ -155,7 +151,7 @@ void CommoditySchwartzModelBuilder::performCalculations() const {
             << " sigma=" << parametrization_->sigmaParameter()
             << " kappa=" << parametrization_->kappaParameter());
 
-        model_->calibrate(optionBasket_, *optimizationMethod_, endCriteria_, constraint, weights, fix);
+        model_->calibrate(optionBasket_, *data_->optimizationMethod(), data_->endCriteria(), data_->constraint(), weights, fix);
 
         LOG("CommoditySchwartzModel for name " << data_->name() << " after calibration:"
             << " sigma=" << parametrization_->sigmaParameter()
@@ -165,7 +161,7 @@ void CommoditySchwartzModelBuilder::performCalculations() const {
         LOG("CommoditySchwartzModel calibration rmse error " << error_ << " for name " << data_->name());
         try {
             auto d = getCalibrationDetails(optionBasket_, parametrization_);
-            LOG(d);
+            DLOG(d);
         } catch (const std::exception& e) {
             WLOG("An error occurred: " << e.what());
         }
@@ -244,7 +240,7 @@ void CommoditySchwartzModelBuilder::buildOptionBasket() const {
             Real strikeValue = optionStrike(j);
             Handle<Quote> volQuote(boost::make_shared<SimpleQuote>(vol_->blackVol(expiryDate, strikeValue)));
             boost::shared_ptr<QuantExt::FutureOptionHelper> helper = boost::make_shared<QuantExt::FutureOptionHelper>(
-                expiryDate, strikeValue, curve_, volQuote, calibrationErrorType_);
+                expiryDate, strikeValue, curve_, volQuote, data_->calibrationErrorType());
             optionBasket_.push_back(helper);
             helper->performCalculations();
             expiryTimes.push_back(curve_->timeFromReference(helper->option()->exercise()->date(0)));

OREData/ored/model/commodityschwartzmodelbuilder.hpp

@@ -116,10 +116,6 @@ class CommoditySchwartzModelBuilder : public ModelBuilder {
     // market observer
     boost::shared_ptr<MarketObserver> marketObserver_;
 
-    // TODO: move to data
-    boost::shared_ptr<OptimizationMethod> optimizationMethod_;
-    EndCriteria endCriteria_;
-    BlackCalibrationHelper::CalibrationErrorType calibrationErrorType_;
     mutable std::vector<Real> calibrationErrors_;
 };
 } // namespace data

OREData/ored/model/commodityschwartzmodeldata.hpp

@@ -27,6 +27,7 @@
 
 #include <ql/time/daycounters/actualactual.hpp>
 #include <ql/types.hpp>
+#include <ql/math/optimization/levenbergmarquardt.hpp>
 
 #include <qle/models/crossassetmodel.hpp>
 
@@ -48,19 +49,31 @@ using namespace QuantLib;
 class CommoditySchwartzData {
 public:
     //! Default constructor
-    CommoditySchwartzData() : driftFreeState_(false) {}
+    CommoditySchwartzData(bool driftFreeState = false,
+                          boost::shared_ptr<OptimizationMethod> optimizationMethod = boost::make_shared<LevenbergMarquardt>(1E-8, 1E-8, 1E-8),
+                          EndCriteria endCriteria = EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8),
+                          Constraint constraint = Constraint(),
+                          BlackCalibrationHelper::CalibrationErrorType calibrationErrorType = BlackCalibrationHelper::RelativePriceError)
+        : driftFreeState_(driftFreeState), optimizationMethod_(optimizationMethod), endCriteria_(endCriteria),
+          constraint_(constraint), calibrationErrorType_(calibrationErrorType) {}
 
     //! Detailed constructor
     CommoditySchwartzData(std::string name, std::string currency, CalibrationType calibrationType,
                           bool calibrateSigma, Real sigma,
                           bool calibrateKappa, Real kappa,
                           std::vector<std::string> optionExpiries = std::vector<std::string>(),
                           std::vector<std::string> optionStrikes = std::vector<std::string>(),
+                          boost::shared_ptr<OptimizationMethod> optimizationMethod = boost::make_shared<LevenbergMarquardt>(1E-8, 1E-8, 1E-8),
+                          EndCriteria endCriteria = EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8),
+                          Constraint constraint = Constraint(),
+                          BlackCalibrationHelper::CalibrationErrorType calibrationErrorType = BlackCalibrationHelper::RelativePriceError,
                           bool driftFreeState = false)
         : name_(name), ccy_(currency), calibrationType_(calibrationType),
           calibrateSigma_(calibrateSigma), sigmaType_(ParamType::Constant), sigmaValue_(sigma),
           calibrateKappa_(calibrateKappa),kappaType_(ParamType::Constant), kappaValue_(kappa),
-          optionExpiries_(optionExpiries), optionStrikes_(optionStrikes), driftFreeState_(driftFreeState) {}
+          optionExpiries_(optionExpiries), optionStrikes_(optionStrikes),
+          driftFreeState_(driftFreeState), optimizationMethod_(optimizationMethod),
+          endCriteria_(endCriteria), constraint_(constraint), calibrationErrorType_(calibrationErrorType) {}
 
     //! \name Setters/Getters
     //@{
@@ -76,6 +89,10 @@ class CommoditySchwartzData {
     std::vector<std::string>& optionExpiries() { return optionExpiries_; }
     std::vector<std::string>& optionStrikes() { return optionStrikes_; }
     bool& driftFreeState() { return driftFreeState_; }
+    boost::shared_ptr<OptimizationMethod>& optimizationMethod() { return optimizationMethod_; }
+    EndCriteria& endCriteria() { return endCriteria_; }
+    Constraint& constraint() { return constraint_; }
+    BlackCalibrationHelper::CalibrationErrorType calibrationErrorType() { return calibrationErrorType_; }
     //@}
 
     //! \name Serialisation
@@ -103,6 +120,10 @@ class CommoditySchwartzData {
     std::vector<std::string> optionExpiries_;
     std::vector<std::string> optionStrikes_;
     bool driftFreeState_;
+    boost::shared_ptr<OptimizationMethod> optimizationMethod_;
+    EndCriteria endCriteria_;
+    Constraint constraint_;
+    BlackCalibrationHelper::CalibrationErrorType calibrationErrorType_;
 };
 } // namespace data
 } // namespace ore