Skip to content

Commit b16ce08

Browse files
pcaspersjenkins
pcaspers
authored and
jenkins
committed
QPR-12337 wip
1 parent 4f59c8d commit b16ce08

1 file changed

Lines changed: 127 additions & 2 deletions

File tree

‎Docs/UserGuide/parameterisation/pricingengines.tex‎

Lines changed: 127 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -804,6 +804,74 @@ \subsubsection{Product Type: CapFlooredOvernightIndexedCouponLeg}
804804
\label{lst:peconfig_CapFlooredOvernightIndexedCouponLeg_BlackOrBachelier_BlackOvernightIndexedCouponPricer}
805805
\end{longlisting}
806806

807+
%--------------------------------------------------------
808+
\subsubsection{Product Type: CapFlooredAverageONIndexedCouponLeg}
809+
%--------------------------------------------------------
810+
811+
Used by trade type: any trade with a cap / floored OIS leg
812+
813+
Available Model/Engine pairs: BlackOrBachelier/BlackAverageONIndexedCouponPricer
814+
815+
Engine description:
816+
817+
BlackOrBachelier/BlackAverageONIndexedCouponPricer builds a BlackAverageONIndexedCouponPricer. A sample configuration is
818+
shown in listing \ref{lst:peconfig_CapFlooredAverageONIndexedCouponLeg_BlackOrBachelier_BlackAverageONIndexedCouponPricer}.
819+
820+
The parameters have the following meaning:
821+
822+
\begin{itemize}
823+
\item SensitivityTemplate [optional]: the sensitivity template to use
824+
\end{itemize}
825+
826+
\begin{longlisting}
827+
\begin{minted}[fontsize=\footnotesize]{xml}
828+
<Product type="CapFlooredAverageONIndexedCouponLeg">
829+
<Model>BlackOrBachelier</Model>
830+
<ModelParameters/>
831+
<Engine>BlackAverageONIndexedCouponPricer</Engine>
832+
<EngineParameters>
833+
<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
834+
</EngineParameters>
835+
</Product>
836+
\end{minted}
837+
\caption{Configuration for Product CapFlooredAverageONIndexedCouponLeg, Model BlackOrBachelier, Engine BlackAverageONIndexedCouponPricer}
838+
\label{lst:peconfig_CapFlooredAverageONIndexedCouponLeg_BlackOrBachelier_BlackAverageONIndexedCouponPricer}
839+
\end{longlisting}
840+
841+
%--------------------------------------------------------
842+
\subsubsection{Product Type: CapFlooredAverageBMAIndexedCouponLeg}
843+
%--------------------------------------------------------
844+
845+
Used by trade type: any trade with a cap / floored OIS leg
846+
847+
Available Model/Engine pairs: BlackOrBachelier/BlackAverageBMAIndexedCouponPricer
848+
849+
Engine description:
850+
851+
BlackOrBachelier/BlackAverageBMAIndexedCouponPricer builds a BlackAverageBMAIndexedCouponPricer. A sample configuration is
852+
shown in listing \ref{lst:peconfig_CapFlooredAverageBMAIndexedCouponLeg_BlackOrBachelier_BlackAverageBMAIndexedCouponPricer}.
853+
854+
The parameters have the following meaning:
855+
856+
\begin{itemize}
857+
\item SensitivityTemplate [optional]: the sensitivity template to use
858+
\end{itemize}
859+
860+
\begin{longlisting}
861+
\begin{minted}[fontsize=\footnotesize]{xml}
862+
<Product type="CapFlooredAverageBMAIndexedCouponLeg">
863+
<Model>BlackOrBachelier</Model>
864+
<ModelParameters/>
865+
<Engine>BlackAverageBMAIndexedCouponPricer</Engine>
866+
<EngineParameters>
867+
<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
868+
</EngineParameters>
869+
</Product>
870+
\end{minted}
871+
\caption{Configuration for Product CapFlooredAverageBMAIndexedCouponLeg, Model BlackOrBachelier, Engine BlackAverageBMAIndexedCouponPricer}
872+
\label{lst:peconfig_CapFlooredAverageBMAIndexedCouponLeg_BlackOrBachelier_BlackAverageBMAIndexedCouponPricer}
873+
\end{longlisting}
874+
807875
%--------------------------------------------------------
808876
\subsubsection{Product Type: CappedFlooredCpiLegCoupons}
809877
%--------------------------------------------------------
@@ -1023,6 +1091,63 @@ \subsubsection{Product Type: CappedFlooredNonStdYYLeg}
10231091
\label{lst:peconfig_CapFlooredNonStdYYLeg_CapFlooredNonStdYYModel_CapFlooredNonStdYYCouponPricer}
10241092
\end{longlisting}
10251093

1094+
%--------------------------------------------------------
1095+
\subsubsection{Product Type: CMS}
1096+
%--------------------------------------------------------
1097+
1098+
Used by trade type: any trade referencing a CMS leg, also used by CMS Spread coupon pricers
1099+
1100+
Available Model/Engine pairs:
1101+
1102+
\begin{itemize}
1103+
\item LinearTSR/LinearTSRPricer
1104+
\item Hagan/Analytic
1105+
\item Hagan/Numerical
1106+
\end{itemize}
1107+
1108+
Engine description:
1109+
1110+
LinearTSR/LinearTSRPricer builds a LinearTRSPricer. A sample configuration is shown in listing
1111+
\ref{lst:peconfig_CMS_LinearTSR_LinearTSRPricer}.
1112+
1113+
The parameters have the following meaning:
1114+
1115+
\begin{itemize}
1116+
\item MeanReversion: the mean reversion for the model
1117+
\item Policy: RateBound, VegaRatio, PriceThreshold, BsStdDev
1118+
\item LowerRateBoundLogNormal, UpperRateBoundLogNormal: rate bounds for ln / sln vol input
1119+
\item LowerRateNormal, UpperRateNormal: rate bounds for normal vol input
1120+
\item VegaRatio: vega ratio for policy
1121+
\item PriceThreshold: price threshold for policy
1122+
\item BsStdDev: std devs for BsStdDev
1123+
\item SensitivityTemplate [optional]: the sensitivity template to use
1124+
\end{itemize}
1125+
1126+
\begin{longlisting}
1127+
\begin{minted}[fontsize=\footnotesize]{xml}
1128+
roduct type="CMS">
1129+
<Model>LinearTSR</Model>
1130+
<ModelParameters/>
1131+
<Engine>LinearTSRPricer</Engine>
1132+
<EngineParameters>
1133+
<Parameter name="MeanReversion">0.0</Parameter>
1134+
<Parameter name="Policy">RateBound</Parameter>
1135+
<Parameter name="LowerRateBoundLogNormal">0.0001</Parameter>
1136+
<Parameter name="UpperRateBoundLogNormal">2.0000</Parameter>
1137+
<Parameter name="LowerRateBoundNormal">-2.0000</Parameter>
1138+
<Parameter name="UpperRateBoundNormal">2.0000</Parameter>
1139+
<Parameter name="VegaRatio">0.01</Parameter>
1140+
<Parameter name="PriceThreshold">0.0000001</Parameter>
1141+
<Parameter name="BsStdDev">3.0</Parameter>
1142+
<Parameter name="SensitivityTemplate">IR_Semianalytical</Parameter>
1143+
</EngineParameters>
1144+
</Product>\end{minted}
1145+
\caption{Configuration for Product CMS, Model LinearTSR, Engine LinearTSRPricer}
1146+
\label{lst:peconfig_CMS_LinearTSR_LinearTSRPricer}
1147+
\end{longlisting}
1148+
1149+
Hagan/Analytic, Hagan/Numerical build AnalyticHaganPricer, NumericHaganPricer (TODO add parameters and sample config).
1150+
10261151
%--------------------------------------------------------
10271152
\subsubsection{Product Type: CommodityAsianOptionArithmeticPrice}
10281153
%--------------------------------------------------------
@@ -3509,8 +3634,8 @@ \subsubsection{Product Type: MultiLegOption}
35093634
</EngineParameters>
35103635
</Product>
35113636
\end{minted}
3512-
\caption{Configuration for Product MultiLegSwaption, Model BlackBachelier, Engine BlackBachelierSwaptionEngine}
3513-
\label{lst:peconfig_MultiLegSwaption_LGM_MC}
3637+
\caption{Configuration for Product MultiLegSwaption, Model CrossAssetModel, Engine MC}
3638+
\label{lst:peconfig_MultiLegOption_CrossAssetModel_MC}
35143639
\end{longlisting}
35153640

35163641
LGM/AMC builds a McMultiLegOptionEngine for use in AMC simulations. We refer to the AMC module documentation for further

0 commit comments

Comments
 (0)