Merge branch 'feature/QPR-13657_refactoring' into 'master'

QPR-13657 refactoring mcmultilegbaseengine

Closes QPR-13657

See merge request qs/oreplus!3135

Author: pcaspers

OREAnalytics/orea/app/cleanupsingletons.cpp

@@ -26,6 +26,7 @@
 #include <ored/utilities/calendaradjustmentconfig.hpp>
 #include <ored/utilities/indexnametranslator.hpp>
 #include <ored/utilities/log.hpp>
+#include <qle/utilities/mcstats.hpp>
 
 #include <qle/math/computeenvironment.hpp>
 #include <qle/math/randomvariable.hpp>

OREData/ored/utilities/parsers.cpp

@@ -1454,27 +1454,27 @@ QuantLib::Pillar::Choice parsePillarChoice(const std::string& s) {
     }
 }
 
-QuantExt::McMultiLegBaseEngine::RegressorModel parseRegressorModel(const std::string& s) {
+QuantExt::McRegressionModel::RegressorModel parseRegressorModel(const std::string& s) {
     if (s == "Simple")
-        return McMultiLegBaseEngine::RegressorModel::Simple;
+        return McRegressionModel::RegressorModel::Simple;
     else if (s == "Lagged")
-        return McMultiLegBaseEngine::RegressorModel::Lagged;
+        return McRegressionModel::RegressorModel::Lagged;
     else if (s == "LaggedIR")
-        return McMultiLegBaseEngine::RegressorModel::LaggedIR;
+        return McRegressionModel::RegressorModel::LaggedIR;
     else if (s == "LaggedFX")
-        return McMultiLegBaseEngine::RegressorModel::LaggedFX;
+        return McRegressionModel::RegressorModel::LaggedFX;
     else if (s == "LaggedEQ")
-        return McMultiLegBaseEngine::RegressorModel::LaggedEQ;
+        return McRegressionModel::RegressorModel::LaggedEQ;
     else {
         QL_FAIL("RegressorModel '" << s << "' not recognized, expected Simple, Lagged, LaggedIR, LaggedFX, LaggedEQ");
     }
 }
 
-QuantExt::McMultiLegBaseEngine::VarGroupMode parseVarGroupMode(const std::string& s) {
+QuantExt::McRegressionModel::VarGroupMode parseVarGroupMode(const std::string& s) {
     if (s == "Global")
-        return McMultiLegBaseEngine::VarGroupMode::Global;
+        return McRegressionModel::VarGroupMode::Global;
     else if (s == "Trivial")
-        return McMultiLegBaseEngine::VarGroupMode::Trivial;
+        return McRegressionModel::VarGroupMode::Trivial;
     else {
         QL_FAIL("VarGroupMode '" << s << "' not recognized, expected Global, Trivial");
     }

OREData/ored/utilities/parsers.hpp

@@ -35,7 +35,7 @@
 #include <qle/instruments/cdsoption.hpp>
 #include <qle/methods/multipathgeneratorbase.hpp>
 #include <qle/models/crossassetmodel.hpp>
-#include <qle/pricingengines/mcmultilegbaseengine.hpp>
+#include <qle/pricingengines/mcregressionmodel.hpp>
 #include <qle/termstructures/sabrparametricvolatility.hpp>
 #include <qle/termstructures/scenario.hpp>
 
@@ -595,13 +595,13 @@ QuantLib::Pillar::Choice parsePillarChoice(const std::string& s);
 /*!
 \ingroup utilities
 */
-QuantExt::McMultiLegBaseEngine::RegressorModel parseRegressorModel(const std::string& s);
+QuantExt::McRegressionModel::RegressorModel parseRegressorModel(const std::string& s);
 
 //! Convert text to QuantExt::McMultiLegBaseEngine::VarGroupMode
 /*!
 \ingroup utilities
 */
-QuantExt::McMultiLegBaseEngine::VarGroupMode parseVarGroupMode(const std::string& s);
+QuantExt::McRegressionModel::VarGroupMode parseVarGroupMode(const std::string& s);
 
 enum MporCashFlowMode { Unspecified, NonePay, BothPay, WePay, TheyPay };
 

QuantExt/qle/CMakeLists.txt

@@ -315,12 +315,14 @@ pricingengines/mccamcurrencyswapengine.cpp
 pricingengines/mccamequityforwardengine.cpp
 pricingengines/mccamfxforwardengine.cpp
 pricingengines/mccamfxoptionengine.cpp
+pricingengines/mccashflowinfo.cpp
 pricingengines/mclgmbondengine.cpp
 pricingengines/mclgmfwdbondengine.cpp
 pricingengines/mclgmswapengine.cpp
 pricingengines/mclgmswaptionengine.cpp
 pricingengines/mcmultilegbaseengine.cpp
 pricingengines/mcmultilegoptionengine.cpp
+pricingengines/mcregressionmodel.cpp
 pricingengines/midpointcdoengine.cpp
 pricingengines/midpointcdsenginemultistate.cpp
 pricingengines/midpointindexcdsengine.cpp
@@ -887,12 +889,14 @@ pricingengines/mccamcurrencyswapengine.hpp
 pricingengines/mccamequityforwardengine.hpp
 pricingengines/mccamfxforwardengine.hpp
 pricingengines/mccamfxoptionengine.hpp
+pricingengines/mccashflowinfo.hpp
 pricingengines/mclgmbondengine.hpp
 pricingengines/mclgmfwdbondengine.hpp
 pricingengines/mclgmswapengine.hpp
 pricingengines/mclgmswaptionengine.hpp
 pricingengines/mcmultilegbaseengine.hpp
 pricingengines/mcmultilegoptionengine.hpp
+pricingengines/mcregressionmodel.hpp
 pricingengines/midpointcdoengine.hpp
 pricingengines/midpointcdsenginemultistate.hpp
 pricingengines/midpointindexcdsengine.hpp
@@ -1076,6 +1080,7 @@ utilities/creditcurves.hpp
 utilities/creditindexconstituentcurvecalibration.hpp
 utilities/inflation.hpp
 utilities/interpolation.hpp
+utilities/mcstats.hpp
 utilities/ratehelpers.hpp
 utilities/savedobservablesettings.hpp
 utilities/scenarioinformation.hpp

QuantExt/qle/pricingengines/mccamcurrencyswapengine.cpp

@@ -29,11 +29,11 @@ McCamCurrencySwapEngine::McCamCurrencySwapEngine(
     const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering,
     const SobolRsg::DirectionIntegers directionIntegers, const std::vector<Handle<YieldTermStructure>>& discountCurves,
     const std::vector<Date>& simulationDates, const std::vector<Date>& stickyCloseOutDates,
-    const std::vector<Size>& externalModelIndices, const bool minimalObsDate, const RegressorModel regressorModel,
+    const std::vector<Size>& externalModelIndices, const bool minimalObsDate, const McRegressionModel::RegressorModel regressorModel,
     const Real regressionVarianceCutoff, const bool recalibrateOnStickyCloseOutDates,
     const bool reevaluateExerciseInStickyRun, const Size cfOnCpnMaxSimTimes, const Period& cfOnCpnAddSimTimesCutoff,
     const Size regressionMaxSimTimesIr, const Size regressionMaxSimTimesFx, const Size regressionMaxSimTimesEq,
-    const VarGroupMode regressionVarGroupMode)
+    const McRegressionModel::VarGroupMode regressionVarGroupMode)
     : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                            calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
                            discountCurves, simulationDates, stickyCloseOutDates, externalModelIndices, minimalObsDate,

QuantExt/qle/pricingengines/mccamcurrencyswapengine.hpp

@@ -43,15 +43,15 @@ class McCamCurrencySwapEngine : public McMultiLegBaseEngine, public CurrencySwap
         const std::vector<Date>& simulationDates = std::vector<Date>(),
         const std::vector<Date>& stickyCloseOutDates = std::vector<Date>(),
         const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
-        const RegressorModel regressorModel = RegressorModel::Simple,
+        const McRegressionModel::RegressorModel regressorModel = McRegressionModel::RegressorModel::Simple,
         const Real regressionVarianceCutoff = Null<Real>(), const bool recalibrateOnStickyCloseOutDates = false,
         const bool reevaluateExerciseInStickyRun = false,
         const Size cfOnCpnMaxSimTimes = 1,
         const Period& cfOnCpnAddSimTimesCutoff = Period(),
         const Size regressionMaxSimTimesIr = 0,
         const Size regressionMaxSimTimesFx = 0,
         const Size regressionMaxSimTimesEq = 0,
-        const VarGroupMode regressionVarGroupMode = VarGroupMode::Global);
+        const McRegressionModel::VarGroupMode regressionVarGroupMode = McRegressionModel::VarGroupMode::Global);
 
     void calculate() const override;
     const Handle<CrossAssetModel>& model() const { return model_; }

QuantExt/qle/pricingengines/mccamequityforwardengine.cpp

@@ -31,11 +31,11 @@ McCamEquityForwardEngine::McCamEquityForwardEngine(
     const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering,
     const SobolRsg::DirectionIntegers directionIntegers, const std::vector<Date>& simulationDates,
     const std::vector<Date>& stickyCloseOutDates, const std::vector<Size>& externalModelIndices,
-    const bool minimalObsDate, const RegressorModel regressorModel, const Real regressionVarianceCutoff,
+    const bool minimalObsDate, const McRegressionModel::RegressorModel regressorModel, const Real regressionVarianceCutoff,
     const bool recalibrateOnStickyCloseOutDates, const bool reevaluateExerciseInStickyRun,
     const Size cfOnCpnMaxSimTimes, const Period& cfOnCpnAddSimTimesCutoff,
     const Size regressionMaxSimTimesIr, const Size regressionMaxSimTimesFx, const Size regressionMaxSimTimesEq,
-    const VarGroupMode regressionVarGroupMode)
+    const McRegressionModel::VarGroupMode regressionVarGroupMode)
     : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                            calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers, {},
                            simulationDates, stickyCloseOutDates, externalModelIndices, minimalObsDate, regressorModel,

QuantExt/qle/pricingengines/mccamequityforwardengine.hpp

@@ -46,7 +46,7 @@ class McCamEquityForwardEngine : public McMultiLegBaseEngine, public EquityForwa
                              const std::vector<Date>& stickyCloseOutDates = std::vector<Date>(),
                              const std::vector<Size>& externalModelIndices = std::vector<Size>(),
                              const bool minimalObsDate = true,
-                             const RegressorModel regressorModel = RegressorModel::Simple,
+                             const McRegressionModel::RegressorModel regressorModel = McRegressionModel::RegressorModel::Simple,
                              const Real regressionVarianceCutoff = Null<Real>(),
                              const bool recalibrateOnStickyCloseOutDates = false,
                              const bool reevaluateExerciseInStickyRun = false,
@@ -55,7 +55,7 @@ class McCamEquityForwardEngine : public McMultiLegBaseEngine, public EquityForwa
                              const Size regressionMaxSimTimesIr = 0,
                              const Size regressionMaxSimTimesFx = 0,
                              const Size regressionMaxSimTimesEq = 0,
-                             const VarGroupMode regressionVarGroupMode = VarGroupMode::Global);
+                             const McRegressionModel::VarGroupMode regressionVarGroupMode = McRegressionModel::VarGroupMode::Global);
 
     const Handle<CrossAssetModel>& model() const { return model_; }
 

QuantExt/qle/pricingengines/mccamfxforwardengine.cpp

@@ -32,11 +32,11 @@ McCamFxForwardEngine::McCamFxForwardEngine(
     const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers,
     const std::vector<Handle<YieldTermStructure>>& discountCurves, const std::vector<Date>& simulationDates,
     const std::vector<Date>& stickyCloseOutDates, const std::vector<Size>& externalModelIndices,
-    const bool minimalObsDate, const RegressorModel regressorModel, const Real regressionVarianceCutoff,
+    const bool minimalObsDate, const McRegressionModel::RegressorModel regressorModel, const Real regressionVarianceCutoff,
     const bool recalibrateOnStickyCloseOutDates, const bool reevaluateExerciseInStickyRun,
     const Size cfOnCpnMaxSimTimes, const Period& cfOnCpnAddSimTimesCutoff, const Size regressionMaxSimTimesIr,
     const Size regressionMaxSimTimesFx, const Size regressionMaxSimTimesEq,
-    const VarGroupMode regressionVarGroupMode)
+    const McRegressionModel::VarGroupMode regressionVarGroupMode)
     : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                            calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
                            discountCurves, simulationDates, stickyCloseOutDates, externalModelIndices, minimalObsDate,

QuantExt/qle/pricingengines/mccamfxforwardengine.hpp

@@ -43,12 +43,12 @@ class McCamFxForwardEngine : public McMultiLegBaseEngine, public FxForward::engi
         const std::vector<Date>& simulationDates = std::vector<Date>(),
         const std::vector<Date>& stickyCloseOutDates = std::vector<Date>(),
         const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
-        const RegressorModel regressorModel = RegressorModel::Simple,
+        const McRegressionModel::RegressorModel regressorModel = McRegressionModel::RegressorModel::Simple,
         const Real regressionVarianceCutoff = Null<Real>(), const bool recalibrateOnStickyCloseOutDates = false,
         const bool reevaluateExerciseInStickyRun = false, const Size cfOnCpnMaxSimTimes = 1,
         const Period& cfOnCpnAddSimTimesCutoff = Period(), const Size regressionMaxSimTimesIr = 0,
         const Size regressionMaxSimTimesFx = 0, const Size regressionMaxSimTimesEq = 0,
-        const VarGroupMode regressionVarGroupMode = VarGroupMode::Global);
+        const McRegressionModel::VarGroupMode regressionVarGroupMode = McRegressionModel::VarGroupMode::Global);
 
     void calculate() const override;
     const Handle<CrossAssetModel>& model() const { return model_; }