align

Author: pcaspers

Docker/.env

@@ -2,7 +2,7 @@ DEBIAN_TAG=11.7
 
 # it's recommended to include CMAKE_BUILD_TYPE and BOOST_VARIANT in QL_TAG, ORE_TAG, BOOST_TAG
 # to distinguish a release build from a debug build
-QL_TAG=1.38_81c5850b6
+QL_TAG=1.38_2546e8e82
 ORE_TAG=latest
 
 # debug or release

Docs/UserGuide/parameterisation/curveconfig.tex

@@ -1195,6 +1195,7 @@ \subsubsection{Bootstrap Configuration}
   <MaxFactor>...</MaxFactor>
   <MinFactor>...</MinFactor>
   <DontThrowSteps>...</DontThrowSteps>
+  <Global>...<Global>
 </BootstrapConfig>
 \end{minted}
 \caption{\lstinline!BootstrapConfig! node outline}
@@ -1203,8 +1204,10 @@ \subsubsection{Bootstrap Configuration}
 
 The meaning of each of the elements is:
 \begin{itemize}
-\item \lstinline!Accuracy! [Optional]:
-The accuracy with which the implied quote must match the market quote for each instrument in the curve bootstrap. This node should hold a positive real number. If omitted, the default value is \num[scientific-notation=true]{1.0e-12}.
+\item \lstinline!Accuracy! [Optional]: The accuracy with which the implied quote must match the market quote for each
+  instrument in the curve bootstrap (iterative bootstrap) or the accuracy of the global optimizer (global
+  bootstrap). This node should hold a positive real number. If omitted, the default value is
+  \num[scientific-notation=true]{1.0e-12}.
 
 \item \lstinline!GlobalAccuracy! [Optional]:
 If the interpolation method in the bootstrap is global, e.g. cubic spline, the bootstrap routine needs to perform multiple iterative bootstraps of the curve to converge. After each such bootstrap of the full curve, the absolute value of the change between the current bootstrap and previous bootstrap for the curve value at each pillar is calculated. The global bootstrap is deemed to have converged if the maximum of these changes is less than the global accuracy or the accuracy from the \lstinline!Accuracy! node. This node should hold a positive real number. If omitted, the global accuracy is set equal to the accuracy from the \lstinline!Accuracy! node. This node is useful in some cases where a slightly less restrictive accuracy, than that given by the \lstinline!Accuracy! node, is needed for the global bootstrap.
@@ -1224,6 +1227,12 @@ \subsubsection{Bootstrap Configuration}
 \item \lstinline!DontThrowSteps! [Optional]:
 This node is used only if \lstinline!DontThrow! is \lstinline!true!. The meaning of this node is given in the description of the \lstinline!DontThrow! node. This node should hold a positive integer. If omitted, the default value is 10.
 
+\item \lstinline!Global! [Optional]: This nodes specifies whether the curve should use a global bootstrap over all
+  instruments of the curve (true) or iterative bootstrap (false, default value). If global boostrap is used, only the
+  Accuracy field of the BootstrapConfig is relevant and specifies the accuracy of the global optimizer. If a cycle is
+  present in the dependency graph of the curves, all members of the cycle must use global bootstrap, in this case a
+  global optimization is run over all instrument of all members of the cycle simultaneously.
+
 \end{itemize}
 
 \subsubsection{One Dimensional Solver Configuration}

OREAnalytics/test/testmarket.cpp

@@ -108,9 +108,10 @@ parRateCurveHelpers(const string& ccy, const vector<string>& parInst, const vect
             QuantLib::ext::shared_ptr<OisConvention> oisConv = QuantLib::ext::dynamic_pointer_cast<OisConvention>(conv);
             BOOST_ASSERT(oisConv);
             rateHelper = QuantLib::ext::make_shared<QuantExt::OISRateHelper>(
-                oisConv->spotLag(), tenor, parRateQuote, oisConv->index(), oisConv->fixedDayCounter(),
+                oisConv->spotLag(), tenor, parRateQuote, oisConv->index(), false, oisConv->fixedDayCounter(),
                 oisConv->fixedCalendar(), oisConv->paymentLag(), oisConv->eom(), oisConv->fixedFrequency(),
-                oisConv->fixedConvention(), oisConv->fixedPaymentConvention(), oisConv->rule(), exDiscount, true);
+                oisConv->fixedConvention(), oisConv->fixedPaymentConvention(), oisConv->rule(), exDiscount,
+                !exDiscount.empty(), true);
         } else if (parInst[i] == "FXF") {
             QuantLib::ext::shared_ptr<Convention> conv = conventions->get(ccy + "-FX-CONVENTIONS");
             QuantLib::ext::shared_ptr<FXConvention> fxConv = QuantLib::ext::dynamic_pointer_cast<FXConvention>(conv);
@@ -147,8 +148,8 @@ parRateCurveHelpers(const string& ccy, const vector<string>& parInst, const vect
             bool flatIsDomestic = true; // assumes fxSpot is in form 1*BaseCcy = X*Ccy
             rateHelper = QuantLib::ext::make_shared<CrossCcyBasisSwapHelper>(
                 parRateQuote, fxSpot, basisConv->settlementDays(), basisConv->settlementCalendar(), tenor,
-                basisConv->rollConvention(), flatIndex, spreadIndex, fgnDiscount, exDiscount, basisConv->eom(),
-                flatIsDomestic);
+                basisConv->rollConvention(), flatIndex, spreadIndex, fgnDiscount, exDiscount, true, true, true, false,
+                basisConv->eom(), flatIsDomestic);
         } else {
             BOOST_ERROR("Unrecognised par rate instrument in curve construction - " << i);
         }

OREData/ored/configuration/bootstrapconfig.cpp

@@ -25,10 +25,10 @@ namespace ore {
 namespace data {
 
 BootstrapConfig::BootstrapConfig(Real accuracy, Real globalAccuracy, bool dontThrow, Size maxAttempts, Real maxFactor,
-                                 Real minFactor, Size dontThrowSteps)
+                                 Real minFactor, Size dontThrowSteps, bool global)
     : accuracy_(accuracy), globalAccuracy_(globalAccuracy == Null<Real>() ? accuracy_ : globalAccuracy),
       dontThrow_(dontThrow), maxAttempts_(maxAttempts), maxFactor_(maxFactor), minFactor_(minFactor),
-      dontThrowSteps_(dontThrowSteps) {}
+      dontThrowSteps_(dontThrowSteps), global_(global) {}
 
 void BootstrapConfig::fromXML(XMLNode* node) {
 
@@ -74,6 +74,11 @@ void BootstrapConfig::fromXML(XMLNode* node) {
         QL_REQUIRE(dontThrowSteps > 0, "DontThrowSteps (" << dontThrowSteps << ") must be a positive integer");
         dontThrowSteps_ = static_cast<Size>(dontThrowSteps);
     }
+
+    global_ = false;
+    if (XMLNode* n = XMLUtils::getChildNode(node, "Global")) {
+        global_ = parseBool(XMLUtils::getNodeValue(n));
+    }
 }
 
 XMLNode* BootstrapConfig::toXML(XMLDocument& doc) const {
@@ -86,6 +91,7 @@ XMLNode* BootstrapConfig::toXML(XMLDocument& doc) const {
     XMLUtils::addChild(doc, node, "MaxFactor", maxFactor_);
     XMLUtils::addChild(doc, node, "MinFactor", minFactor_);
     XMLUtils::addChild(doc, node, "DontThrowSteps", static_cast<int>(dontThrowSteps_));
+    XMLUtils::addChild(doc, node, "Global", global_);
 
     return node;
 }

OREData/ored/configuration/bootstrapconfig.hpp

@@ -37,7 +37,7 @@ class BootstrapConfig : public XMLSerializable {
     //! Constructor
     BootstrapConfig(QuantLib::Real accuracy = 1.0e-12, QuantLib::Real globalAccuracy = QuantLib::Null<QuantLib::Real>(),
                     bool dontThrow = false, QuantLib::Size maxAttempts = 5, QuantLib::Real maxFactor = 2.0,
-                    QuantLib::Real minFactor = 2.0, QuantLib::Size dontThrowSteps = 10);
+                    QuantLib::Real minFactor = 2.0, QuantLib::Size dontThrowSteps = 10, bool global = false);
 
     //! \name XMLSerializable interface
     //@{
@@ -54,6 +54,7 @@ class BootstrapConfig : public XMLSerializable {
     QuantLib::Real maxFactor() const { return maxFactor_; }
     QuantLib::Real minFactor() const { return minFactor_; }
     QuantLib::Size dontThrowSteps() const { return dontThrowSteps_; }
+    bool global() const { return global_; }
     //@}
 
 private:
@@ -64,6 +65,7 @@ class BootstrapConfig : public XMLSerializable {
     QuantLib::Real maxFactor_;
     QuantLib::Real minFactor_;
     QuantLib::Size dontThrowSteps_;
+    bool global_;
 };
 
 } // namespace data

OREData/ored/configuration/curveconfigurations.cpp

@@ -455,6 +455,7 @@ CurveConfigurations::requiredCurveIds(const CurveSpec::CurveType& type, const st
 }
 
 bool CurveConfigurations::hasYieldCurveConfig(const string& curveID) const { return has(CurveSpec::CurveType::Yield, curveID); }
+
 QuantLib::ext::shared_ptr<YieldCurveConfig> CurveConfigurations::yieldCurveConfig(const string& curveID) const {
     QuantLib::ext::shared_ptr<CurveConfig> cc = get(CurveSpec::CurveType::Yield, curveID);
     return QuantLib::ext::dynamic_pointer_cast<YieldCurveConfig>(cc);

OREData/ored/marketdata/commoditycurve.cpp

@@ -339,13 +339,15 @@ void CommodityCurve::buildCrossCurrencyPriceCurve(
                                                     << config->curveID());
 
     // Look up the two yield curves in the yieldCurves map
-    auto baseYtsIt = yieldCurves.find(YieldCurveSpec(baseConfig->currency(), config->baseYieldCurveId()).name());
+    auto baseYtsKey = YieldCurveSpec(baseConfig->currency(), config->baseYieldCurveId()).name();
+    auto baseYtsIt = yieldCurves.find(baseYtsKey);
     QL_REQUIRE(baseYtsIt != yieldCurves.end(),
                "Could not find base yield curve with id "
                    << config->baseYieldCurveId() << " and currency " << baseConfig->currency()
                    << " required in the building of commodity curve with id " << config->curveID());
 
-    auto ytsIt = yieldCurves.find(YieldCurveSpec(config->currency(), config->yieldCurveId()).name());
+    auto ytsKey = YieldCurveSpec(config->currency(), config->yieldCurveId()).name();
+    auto ytsIt = yieldCurves.find(ytsKey);
     QL_REQUIRE(ytsIt != yieldCurves.end(), "Could not find yield curve with id "
                                                << config->yieldCurveId() << " and currency " << config->currency()
                                                << " required in the building of commodity curve with id "
@@ -357,7 +359,7 @@ void CommodityCurve::buildCrossCurrencyPriceCurve(
     // Populate the commodityPriceCurve_ member
     commodityPriceCurve_ = QuantLib::ext::make_shared<CrossCurrencyPriceTermStructure>(
         asof, QuantLib::Handle<PriceTermStructure>(commIt->second->commodityPriceCurve()), fxSpot,
-        baseYtsIt->second->handle(), ytsIt->second->handle(), parseCurrency(config->currency()));
+        baseYtsIt->second->handle(baseYtsKey), ytsIt->second->handle(ytsKey), parseCurrency(config->currency()));
 }
 
 void CommodityCurve::buildBasisPriceCurve(const Date& asof, const CommodityCurveConfig& config,

OREData/ored/marketdata/commodityvolcurve.cpp

@@ -1755,7 +1755,7 @@ void CommodityVolCurve::populateCurves(const CommodityVolatilityConfig& config,
         if (!ytsId.empty()) {
             auto itYts = yieldCurves.find(ytsId);
             if (itYts != yieldCurves.end()) {
-                yts_ = itYts->second->handle();
+                yts_ = itYts->second->handle(ytsId);
             } else if (!dontThrow) {
                 QL_FAIL("CommodityVolCurve: can't find yield curve with id " << ytsId);
             }

OREData/ored/marketdata/correlationcurve.cpp

@@ -111,7 +111,7 @@ void CorrelationCurve::calibrateCMSSpreadCorrelations(
     Handle<YieldTermStructure> yts;
     auto it2 = yieldCurves.find(dc);
     if (it2 != yieldCurves.end()) {
-        yts = it2->second->handle();
+        yts = it2->second->handle(dc);
     } else {
         QL_FAIL("The discount curve not found, " << dc);
     }

OREData/ored/marketdata/defaultcurve.cpp

@@ -324,7 +324,7 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
     QL_REQUIRE(it != yieldCurves.end(), "The discount curve, " << config.discountCurveID()
                                                                << ", required in the building of the curve, "
                                                                << spec.name() << ", was not found.");
-    Handle<YieldTermStructure> discountCurve = it->second->handle();
+    Handle<YieldTermStructure> discountCurve = it->second->handle(config.discountCurveID());
 
     // Get the CDS spread / price curve quotes
     set<QuoteData> quotes = getConfiguredQuotes(curveID, config, asof, loader);
@@ -643,9 +643,9 @@ void DefaultCurve::buildBenchmarkCurve(const std::string& curveID, const Default
     Date spot = cal.advance(asof, spotLag * Days);
     for (Size i = 0; i < pillars.size(); ++i) {
         dates.push_back(cal.advance(spot, pillars[i]));
-        Real tmp = dates[i] == asof
-                       ? 1.0
-                       : sourceCurve->handle()->discount(dates[i]) / benchmarkCurve->handle()->discount(dates[i]);
+        Real tmp = dates[i] == asof ? 1.0
+                                    : sourceCurve->handle(config.sourceCurveID())->discount(dates[i]) /
+                                          benchmarkCurve->handle(config.benchmarkCurveID())->discount(dates[i]);
         // if a non-zero recovery rate is given, we adjust the implied surv probability according to a market value
         // recovery model (see the documentation of the benchmark curve in the user guide for more details)
         impliedSurvProb.push_back(std::pow(tmp, 1.0 / (1.0 - recoveryRate_)));