QPR-11626 comm spread option improve additional results

include averaging fixings and pricing dates

Author: mgroncki

QuantExt/qle/pricingengines/commodityapoengine.cpp

@@ -56,19 +56,23 @@ MomentMatchingResults matchFirstTwoMomentsTurnbullWakeman(
     std::map<Date, Real> futureVols;
     std::vector<double> spotVariances;
     size_t n = flow->indices().size();
-    double forwardUnderlyingCurrency = 0;
+    double atmUnderlyingCcy = 0;
 
     for (const auto& [pricingDate, index] : flow->indices()) {
         Date fixingDate = index->fixingCalendar().adjust(pricingDate, Preceding);
         Real fxRate = (flow->fxIndex()) ? flow->fxIndex()->fixing(fixingDate) : 1.0;
+        res.indexNames.push_back(index->name());
+        res.pricingDates.push_back(fixingDate);
+        res.indexExpiries.push_back(index->expiryDate());
+        res.fixings.push_back(index->fixing(fixingDate) * fxRate);
         if (pricingDate <= today) {
-            res.accruals += index->fixing(fixingDate) * fxRate;
+            res.accruals += res.fixings.back();
         } else {
-            forwardUnderlyingCurrency = index->fixing(fixingDate);
-            res.forwards.push_back(index->fixing(fixingDate) * fxRate);
+            atmUnderlyingCcy = index->fixing(fixingDate);
+            res.forwards.push_back(res.fixings.back());
             res.times.push_back(vol->timeFromReference(pricingDate));
             // use ATM vol if no strike is given
-            double K = strike == Null<Real>() ? forwardUnderlyingCurrency : strike;
+            double K = strike == Null<Real>() ? atmUnderlyingCcy : strike;
             if (flow->useFuturePrice()) {
                 Date expiry = index->expiryDate();
                 futureExpiries.push_back(expiry);

QuantExt/qle/pricingengines/commodityapoengine.hpp

@@ -45,6 +45,10 @@ struct MomentMatchingResults {
     std::vector<Real> forwards;
     std::vector<Real> futureVols;
     std::vector<Real> spotVols;
+    std::vector<std::string> indexNames;
+    std::vector<QuantLib::Date> pricingDates;
+    std::vector<QuantLib::Date> indexExpiries;
+    std::vector<QuantLib::Real> fixings;
     Real EA2;
 
     Real firstMoment();

QuantExt/qle/pricingengines/commodityspreadoptionengine.cpp

@@ -152,6 +152,14 @@ void CommoditySpreadOptionAnalyticalEngine::calculate() const {
     mp["w1"] = w1;
     mp["w2"] = w2;
     mp["rho"] = correlation;
+    mp["index1_pricingDates"] = parameterFlow1.pricingDates;
+    mp["index1_index"] = parameterFlow1.indexNames;
+    mp["index1_index_expiry"] = parameterFlow1.expiries;
+    mp["index1_fixing"] = parameterFlow1.fixings;
+    mp["index2_pricingDates"] = parameterFlow2.pricingDates;
+    mp["index2_index"] = parameterFlow2.indexNames;
+    mp["index2_index_expiry"] = parameterFlow2.expiries;
+    mp["index2_fixing"] = parameterFlow2.fixings;
 }
 
 CommoditySpreadOptionAnalyticalEngine::PricingParameter
@@ -171,6 +179,10 @@ CommoditySpreadOptionAnalyticalEngine::derivePricingParameterFromFlow(const ext:
         res.sigma = res.tn > 0 && !QuantLib::close_enough(res.tn, 0.0)
                         ? vol->blackVol(res.tn, atmUnderlyingCurrency, true)
                         : 0.0;
+        res.indexNames.push_back(cf->index()->name());
+        res.expiries.push_back(cf->index()->expiryDate());
+        res.fixings.push_back(atmUnderlyingCurrency);
+        res.pricingDates.push_back(cf->pricingDate());
     } else if (auto avgCf = ext::dynamic_pointer_cast<CommodityIndexedAverageCashFlow>(flow)) {
         auto parameter = CommodityAveragePriceOptionMomementMatching::matchFirstTwoMomentsTurnbullWakeman(
             avgCf, vol,
@@ -180,6 +192,10 @@ CommoditySpreadOptionAnalyticalEngine::derivePricingParameterFromFlow(const ext:
         res.atm = parameter.forward;
         res.accruals = parameter.accruals;
         res.sigma = parameter.sigma;
+        res.indexNames = parameter.indexNames;
+        res.expiries = parameter.indexExpiries;
+        res.fixings = parameter.fixings;
+        res.pricingDates = parameter.pricingDates;
     } else {
         QL_FAIL("SpreadOptionEngine supports only CommodityIndexedCashFlow or CommodityIndexedAverageCashFlow");
     }

QuantExt/qle/pricingengines/commodityspreadoptionengine.hpp

@@ -54,6 +54,10 @@ class CommoditySpreadOptionAnalyticalEngine : public CommoditySpreadOption::engi
         Real atm;
         Real sigma;
         Real accruals;
+        std::vector<QuantLib::Date> pricingDates;
+        std::vector<std::string> indexNames;
+        std::vector<Real> fixings;
+        std::vector<QuantLib::Date> expiries;
     };
 
     PricingParameter derivePricingParameterFromFlow(const ext::shared_ptr<CommodityCashFlow>& flow,