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Merge remote-tracking branch 'origin/master' into QPR-11618
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‎QuantExt/qle/CMakeLists.txt‎

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@@ -167,6 +167,7 @@ methods/fdmblackscholesmesher.cpp
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methods/fdmblackscholesop.cpp
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methods/fdmdefaultableequityjumpdiffusionfokkerplanckop.cpp
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methods/fdmdefaultableequityjumpdiffusionop.cpp
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methods/fdmlgmop.cpp
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methods/fdmquantohelper.cpp
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methods/multipathgeneratorbase.cpp
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methods/multipathvariategenerator.cpp
@@ -209,6 +210,7 @@ models/jyimpliedzeroinflationtermstructure.cpp
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models/lgm.cpp
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models/lgmcalibrationinfo.cpp
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models/lgmconvolutionsolver2.cpp
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models/lgmfdsolver.cpp
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models/lgmimplieddefaulttermstructure.cpp
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models/lgmimpliedyieldtermstructure.cpp
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models/lgmvectorised.cpp
@@ -642,6 +644,7 @@ methods/fdmblackscholesmesher.hpp
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methods/fdmblackscholesop.hpp
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methods/fdmdefaultableequityjumpdiffusionfokkerplanckop.hpp
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methods/fdmdefaultableequityjumpdiffusionop.hpp
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methods/fdmlgmop.hpp
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methods/fdmquantohelper.hpp
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methods/multipathgeneratorbase.hpp
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methods/multipathvariategenerator.hpp
@@ -712,6 +715,7 @@ models/jyimpliedzeroinflationtermstructure.hpp
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models/lgm.hpp
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models/lgmcalibrationinfo.hpp
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models/lgmconvolutionsolver2.hpp
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models/lgmfdsolver.hpp
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models/lgmimplieddefaulttermstructure.hpp
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models/lgmimpliedyieldtermstructure.hpp
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models/lgmvectorised.hpp

‎QuantExt/qle/methods/fdmlgmop.cpp‎

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/*
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Copyright (C) 2024 Quaternion Risk Management Ltd
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <qle/methods/fdmlgmop.hpp>
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#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
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#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
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#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
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namespace QuantExt {
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FdmLgmOp::FdmLgmOp(const ext::shared_ptr<FdmMesher>& mesher, const ext::shared_ptr<StochasticProcess1D>& process)
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: mesher_(mesher), process_(process), dxMap_(FirstDerivativeOp(0, mesher)), dxxMap_(SecondDerivativeOp(0, mesher)),
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mapT_(0, mesher) {}
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void FdmLgmOp::setTime(Time t1, Time t2) {
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Real v = process_->variance(t1, 0.0, t2 - t1) / (t2 - t1);
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mapT_.axpyb(Array(), dxMap_, dxxMap_.mult(0.5 * Array(mesher_->layout()->size(), v)), Array(1, 0));
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}
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Size FdmLgmOp::size() const { return 1u; }
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Array FdmLgmOp::apply(const Array& u) const { return mapT_.apply(u); }
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Array FdmLgmOp::apply_direction(Size direction, const Array& r) const {
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if (direction == 0)
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return mapT_.apply(r);
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else {
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Array retVal(r.size(), 0.0);
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return retVal;
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}
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}
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Array FdmLgmOp::apply_mixed(const Array& r) const {
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Array retVal(r.size(), 0.0);
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return retVal;
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}
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Array FdmLgmOp::solve_splitting(Size direction, const Array& r, Real dt) const {
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if (direction == 0)
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return mapT_.solve_splitting(r, dt, 1.0);
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else {
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Array retVal(r);
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return retVal;
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}
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}
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Array FdmLgmOp::preconditioner(const Array& r, Real dt) const { return solve_splitting(0, r, dt); }
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#if !defined(QL_NO_UBLAS_SUPPORT)
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std::vector<QuantLib::SparseMatrix> FdmLgmOp::toMatrixDecomp() const {
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std::vector<QuantLib::SparseMatrix> retVal(1, mapT_.toMatrix());
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return retVal;
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}
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#endif
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} // namespace QuantExt

‎QuantExt/qle/methods/fdmlgmop.hpp‎

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/*
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Copyright (C) 2024 Quaternion Risk Management Ltd
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
9+
under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file fdmlgmop.hpp
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\brief finite difference operator LGM model
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*/
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#pragma once
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#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
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#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
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#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
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#include <ql/stochasticprocess.hpp>
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namespace QuantExt {
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using namespace QuantLib;
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class FdmLgmOp : public FdmLinearOpComposite {
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public:
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FdmLgmOp(const ext::shared_ptr<FdmMesher>& mesher, const ext::shared_ptr<StochasticProcess1D>& process);
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Size size() const override;
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void setTime(Time t1, Time t2) override;
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Array apply(const Array& r) const override;
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Array apply_mixed(const Array& r) const override;
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Array apply_direction(Size direction, const Array& r) const override;
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Array solve_splitting(Size direction, const Array& r, Real s) const override;
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Array preconditioner(const Array& r, Real s) const override;
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#if !defined(QL_NO_UBLAS_SUPPORT)
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std::vector<QuantLib::SparseMatrix> toMatrixDecomp() const override;
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#endif
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private:
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ext::shared_ptr<FdmMesher> mesher_;
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ext::shared_ptr<StochasticProcess1D> process_;
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FirstDerivativeOp dxMap_;
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TripleBandLinearOp dxxMap_;
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TripleBandLinearOp mapT_;
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};
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} // namespace QuantExt

‎QuantExt/qle/models/lgmfdsolver.cpp‎

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/*
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Copyright (C) 2024 Quaternion Risk Management Ltd
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <qle/models/lgmfdsolver.hpp>
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#include <qle/methods/fdmlgmop.hpp>
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#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
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#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
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namespace QuantExt {
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LgmFdSolver::LgmFdSolver(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime,
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const Size stateGridPoints, const Size timeStepsPerYear, const Real mesherEpsilon)
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: model_(model), maxTime_(maxTime), stateGridPoints_(stateGridPoints), timeStepsPerYear_(timeStepsPerYear),
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mesherEpsilon_(mesherEpsilon) {
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mesher_ = boost::make_shared<FdmMesherComposite>(boost::make_shared<FdmSimpleProcess1dMesher>(
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stateGridPoints, boost::dynamic_pointer_cast<StochasticProcess1D>(model->stateProcess()), maxTime_,
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timeStepsPerYear_, mesherEpsilon_));
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mesherLocations_ = RandomVariable(mesher_->locations(0));
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operator_ = boost::make_shared<QuantExt::FdmLgmOp>(
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mesher_, boost::dynamic_pointer_cast<StochasticProcess1D>(model->stateProcess()));
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solver_ = boost::make_shared<FdmBackwardSolver>(
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operator_, std::vector<boost::shared_ptr<BoundaryCondition<FdmLinearOp>>>(), nullptr, FdmSchemeDesc::Douglas());
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}
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Size LgmFdSolver::gridSize() const { return stateGridPoints_; }
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RandomVariable LgmFdSolver::stateGrid() const { return mesherLocations_; }
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const boost::shared_ptr<LinearGaussMarkovModel>& LgmFdSolver::model() const { return model_; }
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RandomVariable LgmFdSolver::rollback(const RandomVariable& v, const Real t1, const Real t0) const {
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Size steps = std::max<Size>(1, static_cast<Size>(static_cast<double>(timeStepsPerYear_) * (t1 - t0) + 0.5));
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Array workingArray(v.size());
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v.copyToArray(workingArray);
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solver_->rollback(workingArray, t1, t0, steps, 0);
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return RandomVariable(workingArray);
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}
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} // namespace QuantExt

‎QuantExt/qle/models/lgmfdsolver.hpp‎

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/*
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Copyright (C) 2024 Quaternion Risk Management Ltd
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All rights reserved.
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5+
This file is part of ORE, a free-software/open-source library
6+
for transparent pricing and risk analysis - http://opensourcerisk.org
7+
8+
ORE is free software: you can redistribute it and/or modify it
9+
under the terms of the Modified BSD License. You should have received a
10+
copy of the license along with this program.
11+
The license is also available online at <http://opensourcerisk.org>
12+
13+
This program is distributed on the basis that it will form a useful
14+
contribution to risk analytics and model standardisation, but WITHOUT
15+
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16+
FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
17+
*/
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/*! \file lgmfdsolverx.hpp
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\brief numeric fd solver for LGM model
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\ingroup models
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*/
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#pragma once
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#include <qle/math/randomvariable.hpp>
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#include <qle/models/lgm.hpp>
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#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
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#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
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namespace QuantExt {
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//! Numerical FD solver for the LGM model
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class LgmFdSolver {
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public:
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LgmFdSolver(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime,
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const Size stateGridPoints = 64, const Size timeStepsPerYear = 24, const Real mesherEpsilon = 1E-4);
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/* get grid size */
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Size gridSize() const;
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/* get discretised states grid */
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RandomVariable stateGrid() const;
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/* roll back an deflated NPV array from t1 to t0 */
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RandomVariable rollback(const RandomVariable& v, const Real t1, const Real t0) const;
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/* the underlying model */
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const boost::shared_ptr<LinearGaussMarkovModel>& model() const;
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private:
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boost::shared_ptr<LinearGaussMarkovModel> model_;
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Real maxTime_;
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Size stateGridPoints_;
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Size timeStepsPerYear_;
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Real mesherEpsilon_;
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mutable boost::shared_ptr<FdmMesher> mesher_; // the mesher for the FD solver
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mutable boost::shared_ptr<FdmLinearOpComposite> operator_; // the operator
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mutable boost::shared_ptr<FdmBackwardSolver> solver_; // the sovler
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RandomVariable mesherLocations_;
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};
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} // namespace QuantExt

‎QuantExt/qle/quantext.hpp‎

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#include <qle/methods/fdmblackscholesop.hpp>
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#include <qle/methods/fdmdefaultableequityjumpdiffusionfokkerplanckop.hpp>
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#include <qle/methods/fdmdefaultableequityjumpdiffusionop.hpp>
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#include <qle/methods/fdmlgmop.hpp>
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#include <qle/methods/fdmquantohelper.hpp>
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#include <qle/methods/multipathgeneratorbase.hpp>
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#include <qle/methods/multipathvariategenerator.hpp>
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#include <qle/models/lgm.hpp>
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#include <qle/models/lgmcalibrationinfo.hpp>
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#include <qle/models/lgmconvolutionsolver2.hpp>
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#include <qle/models/lgmfdsolver.hpp>
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#include <qle/models/lgmimplieddefaulttermstructure.hpp>
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#include <qle/models/lgmimpliedyieldtermstructure.hpp>
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#include <qle/models/lgmvectorised.hpp>

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