Re: [Quantlib-users] Where to get this pricing engine

[Peter C. <pca...@gm...>]

Hi Daniel,

I guess it's this one

https://github.com/pcaspers/QuantLib/blob/master/ql/experimental/models/mcgaussian1dnonstandardswaptionengine.hpp

And yes, I created it for my own use only and I honestly don't
remember in which shape this is, probably pretty premature I'd think.
It looks there is a dependency to

https://github.com/pcaspers/QuantLib/blob/master/ql/experimental/models/longstaffschwartzproxypathpricer.hpp

Feel free to grab the stuff from the repo and play around with it though.

Thanks
Peter


On Thu, 8 Oct 2020 at 11:36, Daniel Lobo <dan...@gm...> wrote:
>
> Hi,
>
> I posted a similar question elsewhere, however failed to generate
> enough response.
>
> I was looking at an article here -
> https://quantlib.wordpress.com/2015/06/27/xva-for-bermudan-swaptions/#respond
>
> There they mentioned a specific MC engine called
> MakeMcGaussian1dNonstandardSwaptionEngine.
>
> The use of this engine as it appears there -
>
> boost::shared_ptr<PricingEngine> mcEngine =
>      MakeMcGaussian1dNonstandardSwaptionEngine<>(gsrFixed)
>           .withSteps(1) // the gsr model allows for large steps
>           .withSamples(10000)
>           .withSeed(42)
>           .withCalibrationSamples(10000)
>           .withProxy(true);
>
> However I failed to find any such engine in the Quantlib repository.
>
> Could you please help me to identify this engine?
>
> Is it user created? In that case, how exactly should I create this
> engine to price a typical swaption?
>
> I really appreciate your help.
>
> Many thanks for your time.
>
>
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