Refactor AMC regression calibration

frame-consulting · Dec 4, 2023 · b11d880 · b11d880
1 parent c7fb3e7
commit b11d880
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Showing 4 changed files with 36 additions and 11 deletions.
diff --git a/docs/src/payoffs/payoffs.md b/docs/src/payoffs/payoffs.md
@@ -263,5 +263,5 @@ DiffFusion.string
 ```
 
 ```@docs
-DiffFusion.calibrate_regression!
+DiffFusion.calibrate_regression
 ```
diff --git a/src/chainrules/payoffs.jl b/src/chainrules/payoffs.jl
@@ -0,0 +1,26 @@
+
+# do not differentiate AMC regression setting
+
+ChainRulesCore.@non_differentiable reset_regression!(
+    p::AmcPayoff,
+    path::Union{AbstractPath, Nothing},
+    make_regression::Union{Function, Nothing},
+)
+
+ChainRulesCore.@non_differentiable reset_regression!(
+    p::UnaryNode,
+    path::Union{AbstractPath, Nothing},
+    make_regression::Union{Function, Nothing},
+)
+
+ChainRulesCore.@non_differentiable reset_regression!(
+    p::BinaryNode,
+    path::Union{AbstractPath, Nothing},
+    make_regression::Union{Function, Nothing},
+)
+
+ChainRulesCore.@non_differentiable reset_regression!(
+    p::Union{Leaf, CompoundedRate, Optionlet, Swaption},
+    path::Union{AbstractPath, Nothing},
+    make_regression::Union{Function, Nothing},
+)
diff --git a/src/payoffs/AmcPayoffs.jl b/src/payoffs/AmcPayoffs.jl
@@ -76,11 +76,11 @@ end
 
 
 """
-    calibrate_regression!(links::AmcPayoffLinks, regr::AmcPayoffRegression)
+    calibrate_regression(links::AmcPayoffLinks, regr::AmcPayoffRegression)
 
 Calibrate the regression for an AMC payoff.
 """
-function calibrate_regression!(links::AmcPayoffLinks, regr::AmcPayoffRegression)
+function calibrate_regression(links::AmcPayoffLinks, regr::AmcPayoffRegression)
     if length(links.z) > 0 && !isnothing(regr.path) && !isnothing(regr.make_regression)
         T = zeros(length(regr.path))
         for x in links.x
@@ -92,10 +92,9 @@ function calibrate_regression!(links::AmcPayoffLinks, regr::AmcPayoffRegression)
         T = T .* numeraire(regr.path, links.obs_time, links.curve_key)
         Z = hcat([ z(regr.path) for z in links.z ]...)'
         #
-        regr.regression = regr.make_regression(Z, T)
-        return true
+        return regr.make_regression(Z, T)
     end
-    return false  # cannot do calibration
+    return nothing  # cannot calibrate
 end
 
 """
@@ -105,7 +104,7 @@ Calculate the common components of AMC payoffs for a given valuation path.
 """
 function at(links::AmcPayoffLinks, regr::AmcPayoffRegression, path::AbstractPath)
     if isnothing(regr.regression)  # try to calibrate
-        calibrate_regression!(links, regr)
+        regr.regression = calibrate_regression(links, regr)
     end
     if length(links.z) > 0 && !isnothing(regr.regression)
         # use regression to calculate payoff

diff --git a/test/unittests/payoffs/amc_payoffs.jl b/test/unittests/payoffs/amc_payoffs.jl
@@ -51,10 +51,10 @@ using Test
         p3 = DiffFusion.AmcOne(5.0, x, y, z, path, make_regression, "Std")
         p4 = DiffFusion.AmcSum(5.0, x, z, path, make_regression, "Std")
         #
-        @test DiffFusion.calibrate_regression!(p1.links, p1.regr) == true
-        @test DiffFusion.calibrate_regression!(p2.links, p2.regr) == true
-        @test DiffFusion.calibrate_regression!(p3.links, p3.regr) == true
-        @test DiffFusion.calibrate_regression!(p4.links, p4.regr) == true
+        @test !isnothing(DiffFusion.calibrate_regression(p1.links, p1.regr))
+        @test !isnothing(DiffFusion.calibrate_regression(p2.links, p2.regr))
+        @test !isnothing(DiffFusion.calibrate_regression(p3.links, p3.regr))
+        @test !isnothing(DiffFusion.calibrate_regression(p4.links, p4.regr))
         #
         DiffFusion.reset_regression!(p1, path, make_regression)
         DiffFusion.reset_regression!(p2, path, make_regression)