QPR-13698 Add new funciton to scriptedtrade ops/grad + doc

Author: sebastien.bouvard

Docs/ScriptedTrade/docs/language.tex

@@ -41,6 +41,8 @@
     \verb+max+ & \\
     \verb+min+ & \\
     \verb+pow+ & \\
+    \verb+frac+ & \\
+    \verb+round+ & \\
     \verb+black+ & \\
     \verb+dcf+ & \\
     \verb+days+ & \\ \hline
@@ -398,21 +400,21 @@
 \item {\tt REQUIRE Strike >= 0;}
 \end{itemize}
 
-% ====================================================
-\stsubsection{Functions {\tt min}, {\tt max}, {\tt pow}}
-% ====================================================
+% =========================================================================
+\stsubsection{Functions {\tt min}, {\tt max}, {\tt pow}}, {\tt round(x,y)}
+% =========================================================================
 
-Binary functions {\tt min(x,y)}, {\tt max(x,y)}, {\tt pow(x,y)}, applicable to numbers only.
+Binary functions {\tt min(x,y)}, {\tt max(x,y)}, {\tt pow(x,y)}, {\tt round(x,y)}, applicable to numbers only.
 
-% ====================================================
-\stsubsection{Functions {\tt -}, abs, exp, ln, sqrt}
-% ====================================================
+% ========================================================
+\stsubsection{Functions {\tt -}, abs, exp, ln, sqrt, frac}
+% ========================================================
 
-Unary functions {\tt -x}, {\tt abs(x)}, {\tt exp(x)}, {\tt ln(x)}, {\tt sqrt(x)}, applicable to numbers only.
+Unary functions {\tt -x}, {\tt abs(x)}, {\tt exp(x)}, {\tt ln(x)}, {\tt sqrt(x)}, {\tt frac(x)}, applicable to numbers only.
 
-% ====================================================
+% =======================================================
 \stsubsection{Functions {\tt normalPdf}, {\tt normalCdf}}
-% ====================================================
+% =======================================================
 
 Returns the standard normal pdf $\phi(x)$ resp. cdf $\Phi(x)$, applicable to numbers only.
 

OREData/ored/scripting/astprinter.cpp

@@ -94,8 +94,8 @@ class ASTPrinter : public AcyclicVisitor,
     void visit(FunctionNormalPdfNode& n) override { print("FunctionNormalPdf", n); }
     void visit(FunctionMinNode& n) override { print("FunctionMin", n); }
     void visit(FunctionMaxNode& n) override { print("FunctionMax", n); }
-    void visit(FunctionFractionNode& n) override { print("FunctionFractionNode", n); }
-    void visit(FunctionRoundNode& n) override { print("FunctionRoundNode", n); }
+    void visit(FunctionFractionNode& n) override { print("FunctionFraction", n); }
+    void visit(FunctionRoundNode& n) override { print("FunctionRound", n); }
     void visit(FunctionPowNode& n) override { print("FunctionPow", n); }
     void visit(FunctionBlackNode& n) override { print("FunctionBlack", n); }
     void visit(FunctionDcfNode& n) override { print("FunctionDcf", n); }

QuantExt/qle/math/randomvariable_ops.cpp

@@ -188,6 +188,14 @@ getRandomVariableOps(const Size size, const Size regressionOrder, QuantLib::LsmB
     // NormalPdf = 18
     ops.push_back(
         [](const std::vector<const RandomVariable*>& args, const Size node) { return QuantExt::normalPdf(*args[0]); });
+    
+    // Frac = 19
+    ops.push_back(
+        [](const std::vector<const RandomVariable*>& args, const Size node) { return QuantExt::frac(*args[0]); });
+    
+    // Round = 29
+    ops.push_back(
+        [](const std::vector<const RandomVariable*>& args, const Size node) { return QuantExt::round(*args[0], *args[1]); });
 
     return ops;
 }
@@ -300,11 +308,25 @@ std::vector<RandomVariableGrad> getRandomVariableGradients(const Size size, cons
     grads.push_back([](const std::vector<const RandomVariable*>& args, const RandomVariable* v,
                        const Size node) -> std::vector<RandomVariable> { return {-(*args[0]) * *v}; });
 
+    // Frac = 19
+    grads.push_back([](const std::vector<const RandomVariable*>& args, const RandomVariable* v,
+                       const Size node) -> std::vector<RandomVariable> { return {QuantExt::frac(*args[0])}; });
+
+    // Round = 20
+    grads.push_back([](const std::vector<const RandomVariable*>& args, const RandomVariable* v,
+                       const Size node) -> std::vector<RandomVariable> { return {QuantExt::round(*args[0], *args[1])}; });
+
     return grads;
 }
 
 std::vector<RandomVariableOpNodeRequirements> getRandomVariableOpNodeRequirements() {
     std::vector<RandomVariableOpNodeRequirements> res;
+    /*
+    Each op is a function f(x1,...,xn) args. If the value is needed, we set the value to true.
+    The vector represents x1,...,xn and the second element of the pair f(vector<xi>)
+    Note: It is used for optimization, i.e. values that are not needed are deleted early. If everything is set to true, that will increase the memory footprint unnecessarily. 
+    And if something is set to false that is actually required later on to calculate a gradient, a run time error about an uninitilized randomvariable
+     */
 
     // None = 0
     res.push_back([](const std::size_t nArgs) { return std::make_pair(std::vector<bool>(nArgs, false), false); });
@@ -360,9 +382,15 @@ std::vector<RandomVariableOpNodeRequirements> getRandomVariableOpNodeRequirement
     // NormalCdf = 17
     res.push_back([](const std::size_t nArgs) { return std::make_pair(std::vector<bool>(nArgs, true), false); });
 
-    // NormalCdf = 18
+    // NormalPdf = 18
     res.push_back([](const std::size_t nArgs) { return std::make_pair(std::vector<bool>(nArgs, true), true); });
 
+    // Frac = 19
+    res.push_back([](const std::size_t nArgs) { return std::make_pair(std::vector<bool>(nArgs, true), false); });
+
+    // Round = 20
+    res.push_back([](const std::size_t nArgs) { return std::make_pair(std::vector<bool>(nArgs, true), false); });
+
     return res;
 }