QPR-12398 enable commodity components in scripted trade GCam model

pcaspers · jenkins · commit d9bc39caad0f · 2024-05-17T08:35:36.000Z
diff --git a/OREData/ored/model/commodityschwartzmodelbuilder.cpp b/OREData/ored/model/commodityschwartzmodelbuilder.cpp
@@ -148,13 +148,13 @@ void CommoditySchwartzModelBuilder::performCalculations() const {
             return;
         }
 
+        // use identical start values for each calibration to ensure identical results for identical baskets
+        model_->setParams(params_);
+
         LOG("CommoditySchwartzModel for name " << data_->name() << " before calibration:"
             << " sigma=" << parametrization_->sigmaParameter()
             << " kappa=" << parametrization_->kappaParameter());
 
-        // use identical start values for each calibration to ensure identical results for identical baskets
-        model_->setParams(params_);
-
         model_->calibrate(optionBasket_, *data_->optimizationMethod(), data_->endCriteria(), data_->constraint(), weights, fix);
 
         LOG("CommoditySchwartzModel for name " << data_->name() << " after calibration:"
diff --git a/OREData/ored/model/crossassetmodelbuilder.cpp b/OREData/ored/model/crossassetmodelbuilder.cpp
@@ -485,6 +485,8 @@ void CrossAssetModelBuilder::buildModel() const {
         }
         auto builder = QuantLib::ext::dynamic_pointer_cast<CommoditySchwartzModelBuilder>(
             subBuilders_[CrossAssetModel::AssetType::COM][i]);
+        if (dontCalibrate_)
+            builder->freeze();
         csBuilder.push_back(builder);
         QuantLib::ext::shared_ptr<QuantExt::CommoditySchwartzParametrization> parametrization = builder->parametrization();
         comOptionBaskets_[i] = builder->optionBasket();
diff --git a/OREData/ored/portfolio/builders/scriptedtrade.cpp b/OREData/ored/portfolio/builders/scriptedtrade.cpp
@@ -1301,8 +1301,8 @@ void ScriptedTradeEngineBuilder::buildGaussianCam(const std::string& id, const I
 
     map<CorrelationKey, Handle<Quote>> camCorrelations;
     for (auto const& c : tmpCorrelations) {
-        CorrelationFactor f_1 = parseCorrelationFactor(c.first.first);
-        CorrelationFactor f_2 = parseCorrelationFactor(c.first.second);
+        CorrelationFactor f_1 = parseCorrelationFactor(c.first.first, '#');
+        CorrelationFactor f_2 = parseCorrelationFactor(c.first.second, '#');
         // update index for JY from 0 to 1 (i.e. to the factor driving the inf index ("fx") process)
         // in all other cases the index 0 is fine, since there is only one driving factor always
         if (infModelType_ == "JY") {
@@ -1321,11 +1321,11 @@ void ScriptedTradeEngineBuilder::buildGaussianCam(const std::string& id, const I
     std::set<CorrelationFactor> allCorrRiskFactors;
 
     for (auto const& m : modelIndices_)
-        allCorrRiskFactors.insert(parseCorrelationFactor(convertIndexToCamCorrelationEntry(m).first));
+        allCorrRiskFactors.insert(parseCorrelationFactor(convertIndexToCamCorrelationEntry(m).first, '#'));
     for (auto const& m : modelIrIndices_)
-        allCorrRiskFactors.insert(parseCorrelationFactor(convertIndexToCamCorrelationEntry(m.first).first));
+        allCorrRiskFactors.insert(parseCorrelationFactor(convertIndexToCamCorrelationEntry(m.first).first, '#'));
     for (auto const& m : modelInfIndices_)
-        allCorrRiskFactors.insert(parseCorrelationFactor(convertIndexToCamCorrelationEntry(m.first).first));
+        allCorrRiskFactors.insert(parseCorrelationFactor(convertIndexToCamCorrelationEntry(m.first).first, '#'));
     for (auto const& ccy : modelCcys_)
         allCorrRiskFactors.insert({CrossAssetModel::AssetType::IR, ccy, 0});
 
diff --git a/OREData/ored/scripting/models/gaussiancam.cpp b/OREData/ored/scripting/models/gaussiancam.cpp
@@ -197,6 +197,8 @@ void GaussianCam::performCalculations() const {
     }
 
     indexPositionInProcess_.clear();
+    eqIndexInCam_.clear();
+    comIndexInCam_.clear();
     for (Size i = 0; i < indices_.size(); ++i) {
         if (indices_[i].isFx()) {
             // FX
@@ -209,8 +211,14 @@ void GaussianCam::performCalculations() const {
             Size eqIdx = cam_->eqIndex(indices_[i].eq()->name());
             indexPositionInProcess_.push_back(cam_->pIdx(CrossAssetModel::AssetType::EQ, eqIdx));
             eqIndexInCam_.push_back(eqIdx);
+        } else if(indices_[i].isComm()) {
+            // COM
+            Size comIdx = cam_->comIndex(indices_[i].commName());
+            indexPositionInProcess_.push_back(cam_->pIdx(CrossAssetModel::AssetType::COM, comIdx));
+            comIndexInCam_.push_back(comIdx);
         } else {
-            QL_FAIL("index '" << indices_[i].name() << "' expected to be FX or EQ");
+            QL_FAIL("GuassianCam::performCalculations(): index '" << indices_[i].name()
+                                                                  << "' expected to be FX, EQ, COMM");
         }
     }
 
@@ -233,7 +241,7 @@ void GaussianCam::populatePathValues(const Size nSamples, std::map<Date, std::ve
 
     // set reference date values, if there are no future simulation dates, we are done
 
-    // FX and EQ indcies
+    // FX, EQ, COMM indcies
     for (Size k = 0; k < indices_.size(); ++k) {
         paths[referenceDate_][k].setAll(process->initialValues().at(indexPositionInProcess_[k]));
     }
@@ -351,7 +359,7 @@ void GaussianCam::populatePathValues(const Size nSamples, std::map<Date, std::ve
             }
         }
 
-        // FX and EQ indcies
+        // FX, EQ, COMM indices
         std::vector<std::vector<RandomVariable*>> rvs(
             indices_.size(), std::vector<RandomVariable*>(effectiveSimulationDates_.size() - 1));
         auto date = effectiveSimulationDates_.begin();
@@ -417,8 +425,17 @@ void GaussianCam::populatePathValues(const Size nSamples, std::map<Date, std::ve
 
 RandomVariable GaussianCam::getIndexValue(const Size indexNo, const Date& d, const Date& fwd) const {
     auto res = underlyingPaths_.at(d).at(indexNo);
-    // compute forwarding factor
-    if (fwd != Null<Date>()) {
+    if (comIndexInCam_[indexNo] != Null<Size>()) {
+        // handle com (TODO: performace optimization via vectorized version of com model)
+        RandomVariable tmp(res.size());
+        for (Size i = 0; i < tmp.size(); ++i) {
+            tmp.set(i, cam_->comModel(comIndexInCam_[indexNo])
+                           ->forwardPrice(timeFromReference(d), timeFromReference(fwd != Null<Date>() ? fwd : d),
+                                          Array(1, std::log(res[i]))));
+        }
+        return tmp;
+    } else if (fwd != Null<Date>()) {
+        // handle fx, eq -> incorporate forwarding factor if applicable
         auto ccy = std::find(currencies_.begin(), currencies_.end(), indexCurrencies_[indexNo]);
         QL_REQUIRE(ccy != currencies_.end(), "GaussianCam::getIndexValue(): can not get currency for index #"
                                                  << indexNo << "(" << indices_.at(indexNo) << ")");
@@ -430,9 +447,11 @@ RandomVariable GaussianCam::getIndexValue(const Size indexNo, const Date& d, con
             res *= RandomVariable(size(), div->discount(fwd) / div->discount(d)) /
                    getDiscount(std::distance(currencies_.begin(), ccy), d, fwd,
                                cam_->eqbs(eqIndexInCam_[indexNo])->equityIrCurveToday());
+        } else if (comIndexInCam_[indexNo] != Null<Size>()) {
+
         } else {
-            QL_FAIL("GaussianGam::getIndexValue(): did not recognise  index #" << indexNo << "(" << indices_.at(indexNo)
-                                                                               << ")");
+            QL_FAIL("GaussianGam::getIndexValue(): did not recognise  index #" << indexNo << "("
+                                                                               << indices_.at(indexNo));
         }
     }
     return res;
diff --git a/OREData/ored/scripting/models/gaussiancam.hpp b/OREData/ored/scripting/models/gaussiancam.hpp
@@ -130,6 +130,7 @@ class GaussianCam : public ModelImpl, public AmcModel {
     mutable std::vector<Size> infIndexPositionInCam_;     // maps inf index no to inf idx in cam
     mutable std::vector<Size> currencyPositionInCam_;     // maps currency no to position in cam parametrizations
     mutable std::vector<Size> eqIndexInCam_;      // maps index no to eq position in cam (or null, if not an eq index)
+    mutable std::vector<Size> comIndexInCam_;     // maps index no to com position in cam (or null, if not a com index)
     mutable bool conditionalExpectationUseIr_;    // derived from input conditionalExpectationModelState
     mutable bool conditionalExpectationUseInf_;   // derived from input conditionalExpectationModelState
     mutable bool conditionalExpectationUseAsset_; // derived from input conditionalExpectationModelState
diff --git a/OREData/ored/scripting/utilities.cpp b/OREData/ored/scripting/utilities.cpp
@@ -138,16 +138,16 @@ ASTNodePtr parseScript(const std::string& code) {
 std::pair<std::string, Period> convertIndexToCamCorrelationEntry(const std::string& i) {
     IndexInfo info(i);
     if (info.isIr()) {
-        return std::make_pair("IR:" + info.ir()->currency().code(), info.ir()->tenor());
+        return std::make_pair("IR#" + info.ir()->currency().code(), info.ir()->tenor());
     } else if (info.isInf()) {
-        return std::make_pair("INF:" + info.infName(), 0 * Days);
+        return std::make_pair("INF#" + info.infName(), 0 * Days);
     } else if (info.isFx()) {
-        return std::make_pair("FX:" + info.fx()->sourceCurrency().code() + info.fx()->targetCurrency().code(),
+        return std::make_pair("FX#" + info.fx()->sourceCurrency().code() + info.fx()->targetCurrency().code(),
                               0 * Days);
     } else if (info.isEq()) {
-        return std::make_pair("EQ:" + info.eq()->name(), 0 * Days);
+        return std::make_pair("EQ#" + info.eq()->name(), 0 * Days);
     } else if (info.isComm()) {
-        return std::make_pair("COMM:" + info.commName(), 0 * Days);
+        return std::make_pair("COM#" + info.commName(), 0 * Days);
     } else {
         QL_FAIL("convertIndextoCamCorrelationEntry(): index '" << i << "' not recognised");
     }
diff --git a/OREData/ored/utilities/correlationmatrix.cpp b/OREData/ored/utilities/correlationmatrix.cpp
@@ -55,14 +55,15 @@ ostream& operator<<(ostream& out, const CorrelationFactor& f) {
     return out << f.type << ":" << f.name << ":" << f.index;
 }
 
-CorrelationFactor parseCorrelationFactor(const string& name) {
+CorrelationFactor parseCorrelationFactor(const string& name, const char separator) {
 
+    std::string sep(1, separator);
     vector<string> tokens;
-    boost::split(tokens, name, boost::is_any_of(":"));
+    boost::split(tokens, name, boost::is_any_of(sep));
 
     QL_REQUIRE(tokens.size() == 2 || tokens.size() == 3,
-               "parseCorrelationFactor(" << name
-                                         << "): expected 2 or 3 tokens separated by ':', e.g. 'IR:USD' or 'INF:UKRPI:0'");
+               "parseCorrelationFactor(" << name << "): expected 2 or 3 tokens separated by separator ('" << sep
+                                         << "'), e.g. 'IR" << sep << "USD' or 'INF" << sep << "UKRPI" << sep << "0'");
 
     return {parseCamAssetType(tokens[0]), tokens[1],
             static_cast<Size>(tokens.size() == 3 ? parseInteger(tokens[3]) : 0)};
diff --git a/OREData/ored/utilities/correlationmatrix.hpp b/OREData/ored/utilities/correlationmatrix.hpp
@@ -54,7 +54,7 @@ std::ostream& operator<<(std::ostream& out, const CorrelationFactor& f);
     \c type, \c name and \c index set to \c IR, \c EUR and \c 0 respectively. Note that the name is of the form 
     \c type:name and the index is always set to 0 initially. The actual index is set separately.
 */
-CorrelationFactor parseCorrelationFactor(const std::string& name);
+CorrelationFactor parseCorrelationFactor(const std::string& name, const char separator = ':');
 
 /*! The key for storing the correlation data is the pair of factors.
 */

Original file line number	Diff line number	Diff line change
`@@ -485,6 +485,8 @@ void CrossAssetModelBuilder::buildModel() const {`
`485`	`485`	`}`
`486`	`486`	`auto builder = QuantLib::ext::dynamic_pointer_cast<CommoditySchwartzModelBuilder>(`
`487`	`487`	`subBuilders_[CrossAssetModel::AssetType::COM][i]);`
	`488`	`+ if (dontCalibrate_)`
	`489`	`+ builder->freeze();`
`488`	`490`	`csBuilder.push_back(builder);`
`489`	`491`	`QuantLib::ext::shared_ptr<QuantExt::CommoditySchwartzParametrization> parametrization = builder->parametrization();`
`490`	`492`	`comOptionBaskets_[i] = builder->optionBasket();`