QPR-11618 allow for optional number of steps

Author: pcaspers

QuantExt/qle/models/lgmfdsolver.cpp

@@ -45,8 +45,9 @@ RandomVariable LgmFdSolver::stateGrid() const { return mesherLocations_; }
 
 const boost::shared_ptr<LinearGaussMarkovModel>& LgmFdSolver::model() const { return model_; }
 
-RandomVariable LgmFdSolver::rollback(const RandomVariable& v, const Real t1, const Real t0) const {
-    Size steps = std::max<Size>(1, static_cast<Size>(static_cast<double>(timeStepsPerYear_) * (t1 - t0) + 0.5));
+RandomVariable LgmFdSolver::rollback(const RandomVariable& v, const Real t1, const Real t0, const Size steps) const {
+    if (steps == Null<Size>())
+        steps = std::max<Size>(1, static_cast<Size>(static_cast<double>(timeStepsPerYear_) * (t1 - t0) + 0.5));
     Array workingArray(v.size());
     v.copyToArray(workingArray);
     solver_->rollback(workingArray, t1, t0, steps, 0);

QuantExt/qle/models/lgmfdsolver.hpp

@@ -35,7 +35,7 @@ namespace QuantExt {
 //! Numerical FD solver for the LGM model
 class LgmFdSolver {
 public:
-    LgmFdSolver(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime,
+    LgmFdSolver(const boost::shared_ptr<LinearGaussMarkovModel>& model, const Real maxTime = 50.0,
                 const Size stateGridPoints = 64, const Size timeStepsPerYear = 24, const Real mesherEpsilon = 1E-4);
 
     /* get grid size */
@@ -44,8 +44,10 @@ class LgmFdSolver {
     /* get discretised states grid */
     RandomVariable stateGrid() const;
 
-    /* roll back an deflated NPV array from t1 to t0 */
-    RandomVariable rollback(const RandomVariable& v, const Real t1, const Real t0) const;
+    /* roll back an deflated NPV array from t1 to t0 using the given number of steps or,
+       if that is not given, the time steps per year specified in the constructor */
+    RandomVariable rollback(const RandomVariable& v, const Real t1, const Real t0,
+                            const Size steps = Null<Size>()) const;
 
     /* the underlying model */
     const boost::shared_ptr<LinearGaussMarkovModel>& model() const;