Merge branch 'feature/QPR-13802' into 'master'

QPR-13802 emit warning if trade date is not given and there are defaults

Closes QPR-13802

See merge request qs/oreplus!3185

Author: mgroncki

Docs/UserGuide/tradedata/indexcdsoption.tex

@@ -100,7 +100,11 @@ \subsubsection{Index Credit Default Swap Option}
 \item 
 \lstinline!TradeDate! [Optional]: The trade date. If not given defaults to the valuation date. In case of an underlying
 default the trade date is used to determine whether the underlying notional before default should be considered part of
-the outstanding notional (TradeDate $<$ AuctionDate) or not (TradeDate $\geq$ AuctionDate).
+the outstanding notional (TradeDate $<$ AuctionDate) or not (TradeDate $\geq$ AuctionDate). Since the trade date is also
+used as the start date of the front end protection (if the field FrontEndProtectionStartDate is not populated), it
+impacts the realized front end protection value. It is therefore essential to populate the TradeDate with the correct
+value if defaults occured in the underlying index. If the trade date is not given and there were defaults a warning is
+emitted stating that the valuation might not be accruate.
 
 Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}. Can not be later than the valuation date.
 

OREData/ored/portfolio/indexcreditdefaultswapoption.cpp

@@ -82,8 +82,10 @@ void IndexCreditDefaultSwapOption::build(const QuantLib::ext::shared_ptr<EngineF
         asof = Settings::instance().evaluationDate();
     }
 
+    bool defaultTradeDateIsUsed = false;
     if (tradeDate_ == Date()) {
         tradeDate_ = asof;
+        defaultTradeDateIsUsed = true;
     } else {
         QL_REQUIRE(tradeDate_ <= asof, "Trade date (" << io::iso_date(tradeDate_) << ") should be on or "
                                                       << "before the valuation date (" << io::iso_date(asof) << ")");
@@ -182,12 +184,25 @@ void IndexCreditDefaultSwapOption::build(const QuantLib::ext::shared_ptr<EngineF
 
     // Populate the constituents and determine the various notional amounts.
     constituents_.clear();
+    defaultHasOccured_ = false;
     if (swap_.basket().constituents().size() > 1) {
         fromBasket(asof, constituents_);
     } else {
         fromReferenceData(asof, constituents_, engineFactory->referenceData());
     }
 
+    // Check if a default trade date might lead to an inaccurate valuation
+    if (defaultTradeDateIsUsed && defaultHasOccured_) {
+        StructuredTradeWarningMessage(id(), tradeType(), "Results might be inaccurate, because no trade date is given.",
+                                      "No trade date is given and there were defaults in the underlying index. This "
+                                      "might lead to wrong notional and realized fep amounts. The trade date is "
+                                      "assumed to be the valuation date (" +
+                                          ore::data::to_string(tradeDate_) +
+                                          "). If this is not correct, consider "
+                                          "populating the trade date.")
+            .log();
+    }
+
     // Transfer to vectors for ctors below
     vector<string> constituentIds;
     constituentIds.reserve(constituents_.size());
@@ -510,6 +525,8 @@ void IndexCreditDefaultSwapOption::fromBasket(const Date& asof, map<string, Real
                 notionals_.realisedFep += fepAmount;
             }
 
+            defaultHasOccured_ = true;
+
         } else if (ntl > 0.0) {
 
             // Entity is still in the index.
@@ -620,6 +637,8 @@ void IndexCreditDefaultSwapOption::fromReferenceData(const Date& asof, map<strin
                 notionals_.realisedFep += fepAmount;
             }
 
+            defaultHasOccured_ = true;
+
         } else if (weight > 0.0) {
 
             // Entity is still in the index.

OREData/ored/portfolio/indexcreditdefaultswapoption.hpp

@@ -99,6 +99,7 @@ class IndexCreditDefaultSwapOption : public Trade {
 
     //! Populated during trade building
     Notionals notionals_;
+    bool defaultHasOccured_ = false;
 
     //! map of all the constituents to notionals
     map<string, Real> constituents_;