QPR-12288: merge update

Author: Farah Khashman

App/ore.cpp

@@ -76,7 +76,7 @@ int main(int argc, char** argv) {
     string inputFile(argv[1]);
 
     try {
-        auto params = boost::make_shared<Parameters>();
+        auto params = QuantLib::ext::make_shared<Parameters>();
         params->fromFile(inputFile);
         OREApp ore(params, true);
         ore.run();

OREAnalytics/orea/aggregation/collateralaccount.cpp

@@ -35,13 +35,13 @@ namespace ore {
 using namespace data;
 namespace analytics {
 
-CollateralAccount::CollateralAccount(const boost::shared_ptr<NettingSetDefinition>& csaDef, const Date& date_t0)
+CollateralAccount::CollateralAccount(const QuantLib::ext::shared_ptr<NettingSetDefinition>& csaDef, const Date& date_t0)
     : csaDef_(csaDef), balance_t0_(0.0) {
     accountBalances_.push_back(balance_t0_);
     accountDates_.push_back(date_t0);
 }
 
-CollateralAccount::CollateralAccount(const boost::shared_ptr<NettingSetDefinition>& csaDef, const Real& balance_t0,
+CollateralAccount::CollateralAccount(const QuantLib::ext::shared_ptr<NettingSetDefinition>& csaDef, const Real& balance_t0,
                                      const Date& date_t0)
     : csaDef_(csaDef), balance_t0_(balance_t0) {
     accountBalances_.push_back(balance_t0_);

OREAnalytics/orea/aggregation/collateralaccount.hpp

@@ -28,7 +28,7 @@
 
 #include <ql/time/date.hpp>
 
-#include <boost/shared_ptr.hpp>
+#include <ql/shared_ptr.hpp>
 
 namespace ore {
 namespace analytics {
@@ -56,12 +56,12 @@ class CollateralAccount {
     CollateralAccount() {}
     //! Constructor assuming initial collateral account balance is zero
     CollateralAccount( //! CSA details including threshold, minimum transfer amount, margining frequency etc
-        const boost::shared_ptr<NettingSetDefinition>& csaDef,
+        const QuantLib::ext::shared_ptr<NettingSetDefinition>& csaDef,
         //! Today's date
         const Date& date_t0);
     //! Constructor taking an initial collateral account balance
     CollateralAccount( //! CSA details including threshold, minimum transfer amount, margining frequency etc
-        const boost::shared_ptr<NettingSetDefinition>& csaDef,
+        const QuantLib::ext::shared_ptr<NettingSetDefinition>& csaDef,
         //! Initial collateral account balance
         const Real& balance_t0,
         //! Today's date
@@ -102,7 +102,7 @@ class CollateralAccount {
     //! Inspectors
     //@{
     /*! csa (netting set) definition */
-    boost::shared_ptr<NettingSetDefinition> csaDef() const { return csaDef_; }
+    QuantLib::ext::shared_ptr<NettingSetDefinition> csaDef() const { return csaDef_; }
     /*! account balance at start date */
     Real balance_t0() const { return balance_t0_; }
     /*! most up-to-date account balance */
@@ -136,7 +136,7 @@ class CollateralAccount {
     void closeAccount(const Date& closeDate);
 
 private:
-    boost::shared_ptr<NettingSetDefinition> csaDef_;
+    QuantLib::ext::shared_ptr<NettingSetDefinition> csaDef_;
     Real balance_t0_;
     vector<Real> accountBalances_;
     vector<Date> accountDates_;

OREAnalytics/orea/aggregation/collatexposurehelper.cpp

@@ -57,7 +57,7 @@ std::ostream& operator<<(std::ostream& out, CollateralExposureHelper::Calculatio
     return out;
 }
 
-Real CollateralExposureHelper::marginRequirementCalc(const boost::shared_ptr<CollateralAccount>& collat,
+Real CollateralExposureHelper::marginRequirementCalc(const QuantLib::ext::shared_ptr<CollateralAccount>& collat,
                                                      const Real& uncollatValue, const Date& simulationDate) {
     // first step, make sure collateral balance is up to date.
     //        collat->updateAccountBalance(simulationDate);
@@ -80,7 +80,7 @@ Real CollateralExposureHelper::marginRequirementCalc(const boost::shared_ptr<Col
 }
 
  Real CollateralExposureHelper::creditSupportAmount(
-    const boost::shared_ptr<ore::data::NettingSetDefinition>& nettingSet, 
+    const QuantLib::ext::shared_ptr<ore::data::NettingSetDefinition>& nettingSet, 
     const Real& uncollatValueCsaCur) {
 
     Real ia = nettingSet->csaDetails()->independentAmountHeld();
@@ -152,7 +152,7 @@ Real CollateralExposureHelper::estimateUncollatValue(const Date& simulationDate,
     return newPv;
 }
 
-void CollateralExposureHelper::updateMarginCall(const boost::shared_ptr<CollateralAccount>& collat,
+void CollateralExposureHelper::updateMarginCall(const QuantLib::ext::shared_ptr<CollateralAccount>& collat,
                                                 const Real& uncollatValue, const Date& simulationDate,
                                                 const Real& annualisedZeroRate, const CalculationType& calcType,
                                                 const bool& eligMarginReqDateUs, const bool& eligMarginReqDateCtp) {
@@ -186,12 +186,12 @@ void CollateralExposureHelper::updateMarginCall(const boost::shared_ptr<Collater
     }
 }
 
-boost::shared_ptr<vector<boost::shared_ptr<CollateralAccount>>> CollateralExposureHelper::collateralBalancePaths(
-    const boost::shared_ptr<NettingSetDefinition>& csaDef, const Real& nettingSetPv, const Date& date_t0,
+QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CollateralAccount>>> CollateralExposureHelper::collateralBalancePaths(
+    const QuantLib::ext::shared_ptr<NettingSetDefinition>& csaDef, const Real& nettingSetPv, const Date& date_t0,
     const vector<vector<Real>>& nettingSetValues, const Date& nettingSet_maturity, const vector<Date>& dateGrid,
     const Real& csaFxTodayRate, const vector<vector<Real>>& csaFxScenarioRates, const Real& csaTodayCollatCurve,
     const vector<vector<Real>>& csaScenCollatCurves, const CalculationType& calcType,
-    const boost::shared_ptr<CollateralBalance>& balance) {
+    const QuantLib::ext::shared_ptr<CollateralBalance>& balance) {
 
     try {
         // step 1; build a collateral account object, assuming t0 VM balance from the balance object (zero balance if missing),
@@ -206,7 +206,7 @@ boost::shared_ptr<vector<boost::shared_ptr<CollateralAccount>>> CollateralExposu
             DLOG("initial collateral balance not found");
         }
 
-        boost::shared_ptr<CollateralAccount> tmpAcc(new CollateralAccount(csaDef, initialBalance, date_t0));
+        QuantLib::ext::shared_ptr<CollateralAccount> tmpAcc(new CollateralAccount(csaDef, initialBalance, date_t0));
         DLOG("tmp initial collateral balance: " << tmpAcc->balance_t0());
         DLOG("tmp current collateral balance: " << tmpAcc->accountBalance());
 
@@ -218,15 +218,15 @@ boost::shared_ptr<vector<boost::shared_ptr<CollateralAccount>>> CollateralExposu
         DLOG("base current collateral balance: " << bal_t0 << ", " << baseAcc.accountBalance());
 
         // step 3; build an empty container for the return value(s)
-        boost::shared_ptr<vector<boost::shared_ptr<CollateralAccount>>> scenarioCollatPaths(
-            new vector<boost::shared_ptr<CollateralAccount>>());
+        QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CollateralAccount>>> scenarioCollatPaths(
+            new vector<QuantLib::ext::shared_ptr<CollateralAccount>>());
 
         // step 4; start loop over scenarios
         Size numScenarios = nettingSetValues.front().size();
         QL_REQUIRE(numScenarios == csaFxScenarioRates.front().size(), "netting values -v- scenario FX rate mismatch");
         Date simEndDate = std::min(nettingSet_maturity, dateGrid.back()) + csaDef->csaDetails()->marginPeriodOfRisk();
         for (unsigned i = 0; i < numScenarios; i++) {
-            boost::shared_ptr<CollateralAccount> collat(new CollateralAccount(baseAcc));
+            QuantLib::ext::shared_ptr<CollateralAccount> collat(new CollateralAccount(baseAcc));
             Date tmpDate = date_t0; // the date which gets evolved
             Date nextMarginReqDateUs = date_t0;
             Date nextMarginReqDateCtp = date_t0;

OREAnalytics/orea/aggregation/collatexposurehelper.hpp

@@ -71,7 +71,7 @@ class CollateralExposureHelper {
       - minimum transfer amount
       - independent amount
     */
-    static Real marginRequirementCalc(const boost::shared_ptr<CollateralAccount>& collat, const Real& uncollatValue,
+    static Real marginRequirementCalc(const QuantLib::ext::shared_ptr<CollateralAccount>& collat, const Real& uncollatValue,
                                       const Date& simulationDate);
 
     /*!
@@ -87,7 +87,7 @@ class CollateralExposureHelper {
     /*!
       Checks if margin call is in need of update, and updates if necessary
     */
-    static void updateMarginCall(const boost::shared_ptr<CollateralAccount>& collat, const Real& uncollatValue,
+    static void updateMarginCall(const QuantLib::ext::shared_ptr<CollateralAccount>& collat, const Real& uncollatValue,
                                  const Date& simulationDate, const Real& accrualFactor,
                                  const CalculationType& calcType = Symmetric, const bool& eligMarginReqDateUs = true,
                                  const bool& eligMarginReqDateCtp = true);
@@ -97,19 +97,19 @@ class CollateralExposureHelper {
         All calculations done in CSA currency
     */
     static Real creditSupportAmount(
-        const boost::shared_ptr<ore::data::NettingSetDefinition>& nettingSet,
+        const QuantLib::ext::shared_ptr<ore::data::NettingSetDefinition>& nettingSet,
         const Real& uncollatValueCsaCur);
 
     /*!
       Takes a netting set (and scenario exposures) as input
       and returns collateral balance paths per scenario
     */
-    static boost::shared_ptr<vector<boost::shared_ptr<CollateralAccount>>> collateralBalancePaths(
-        const boost::shared_ptr<NettingSetDefinition>& csaDef, const Real& nettingSetPv, const Date& date_t0,
+    static QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CollateralAccount>>> collateralBalancePaths(
+        const QuantLib::ext::shared_ptr<NettingSetDefinition>& csaDef, const Real& nettingSetPv, const Date& date_t0,
         const vector<vector<Real>>& nettingSetValues, const Date& nettingSet_maturity, const vector<Date>& dateGrid,
         const Real& csaFxTodayRate, const vector<vector<Real>>& csaFxScenarioRates, const Real& csaTodayCollatCurve,
         const vector<vector<Real>>& csaScenCollatCurves, const CalculationType& calcType = Symmetric,
-        const boost::shared_ptr<CollateralBalance>& balance = boost::shared_ptr<CollateralBalance>());
+        const QuantLib::ext::shared_ptr<CollateralBalance>& balance = QuantLib::ext::shared_ptr<CollateralBalance>());
 };
 
 //! Convert text representation to CollateralExposureHelper::CalculationType

OREAnalytics/orea/aggregation/creditmigrationcalculator.cpp

@@ -23,11 +23,11 @@ namespace ore {
 namespace analytics {
 
 CreditMigrationCalculator::CreditMigrationCalculator(
-    const boost::shared_ptr<Portfolio>& portfolio,
-    const boost::shared_ptr<CreditSimulationParameters>& creditSimulationParameters,
-    const boost::shared_ptr<NPVCube>& cube, const boost::shared_ptr<CubeInterpretation> cubeInterpretation,
-    const boost::shared_ptr<NPVCube>& nettedCube,
-    const boost::shared_ptr<AggregationScenarioData>& aggregationScenarioData,
+    const QuantLib::ext::shared_ptr<Portfolio>& portfolio,
+    const QuantLib::ext::shared_ptr<CreditSimulationParameters>& creditSimulationParameters,
+    const QuantLib::ext::shared_ptr<NPVCube>& cube, const QuantLib::ext::shared_ptr<CubeInterpretation> cubeInterpretation,
+    const QuantLib::ext::shared_ptr<NPVCube>& nettedCube,
+    const QuantLib::ext::shared_ptr<AggregationScenarioData>& aggregationScenarioData,
     const std::vector<Real>& creditMigrationDistributionGrid, const std::vector<Size>& creditMigrationTimeSteps,
     const Matrix& creditStateCorrelationMatrix, const std::string baseCurrency)
     : portfolio_(portfolio), creditSimulationParameters_(creditSimulationParameters), cube_(cube),

OREAnalytics/orea/aggregation/creditmigrationcalculator.hpp

@@ -28,7 +28,7 @@
 #include <orea/cube/npvcube.hpp>
 #include <ored/portfolio/portfolio.hpp>
 
-#include <boost/shared_ptr.hpp>
+#include <ql/shared_ptr.hpp>
 
 namespace ore {
 namespace analytics {
@@ -41,12 +41,12 @@ using namespace std;
 //! Credit Migration Calculator
 class CreditMigrationCalculator {
 public:
-    CreditMigrationCalculator(const boost::shared_ptr<Portfolio>& portfolio,
-                              const boost::shared_ptr<CreditSimulationParameters>& creditSimulationParameters,
-                              const boost::shared_ptr<NPVCube>& cube,
-                              const boost::shared_ptr<CubeInterpretation> cubeInterpretation,
-                              const boost::shared_ptr<NPVCube>& nettedcube,
-                              const boost::shared_ptr<AggregationScenarioData>& aggregationScenarioData,
+    CreditMigrationCalculator(const QuantLib::ext::shared_ptr<Portfolio>& portfolio,
+                              const QuantLib::ext::shared_ptr<CreditSimulationParameters>& creditSimulationParameters,
+                              const QuantLib::ext::shared_ptr<NPVCube>& cube,
+                              const QuantLib::ext::shared_ptr<CubeInterpretation> cubeInterpretation,
+                              const QuantLib::ext::shared_ptr<NPVCube>& nettedcube,
+                              const QuantLib::ext::shared_ptr<AggregationScenarioData>& aggregationScenarioData,
                               const std::vector<Real>& creditMigrationDistributionGrid,
                               const std::vector<Size>& creditMigrationTimeSteps,
                               const Matrix& creditStateCorrelationMatrix, const std::string baseCurrency);
@@ -58,12 +58,12 @@ class CreditMigrationCalculator {
     const std::vector<std::vector<Real>> pdf() const { return pdf_; }
 
 private:
-    boost::shared_ptr<Portfolio> portfolio_;
-    boost::shared_ptr<CreditSimulationParameters> creditSimulationParameters_;
-    boost::shared_ptr<NPVCube> cube_;
-    boost::shared_ptr<CubeInterpretation> cubeInterpretation_;
-    boost::shared_ptr<NPVCube> nettedCube_;
-    boost::shared_ptr<AggregationScenarioData> aggregationScenarioData_;
+    QuantLib::ext::shared_ptr<Portfolio> portfolio_;
+    QuantLib::ext::shared_ptr<CreditSimulationParameters> creditSimulationParameters_;
+    QuantLib::ext::shared_ptr<NPVCube> cube_;
+    QuantLib::ext::shared_ptr<CubeInterpretation> cubeInterpretation_;
+    QuantLib::ext::shared_ptr<NPVCube> nettedCube_;
+    QuantLib::ext::shared_ptr<AggregationScenarioData> aggregationScenarioData_;
     std::vector<Real> creditMigrationDistributionGrid_;
     std::vector<Size> creditMigrationTimeSteps_;
     Matrix creditStateCorrelationMatrix_;

OREAnalytics/orea/aggregation/creditmigrationhelper.cpp

@@ -38,10 +38,10 @@ using namespace QuantExt;
 namespace ore {
 namespace analytics {
 
-CreditMigrationHelper::CreditMigrationHelper(const boost::shared_ptr<CreditSimulationParameters> parameters,
-                                             const boost::shared_ptr<NPVCube> cube,
-                                             const boost::shared_ptr<NPVCube> nettedCube,
-                                             const boost::shared_ptr<AggregationScenarioData> aggData,
+CreditMigrationHelper::CreditMigrationHelper(const QuantLib::ext::shared_ptr<CreditSimulationParameters> parameters,
+                                             const QuantLib::ext::shared_ptr<NPVCube> cube,
+                                             const QuantLib::ext::shared_ptr<NPVCube> nettedCube,
+                                             const QuantLib::ext::shared_ptr<AggregationScenarioData> aggData,
                                              const Size cubeIndexCashflows, const Size cubeIndexStateNpvs,
                                              const Real distributionLowerBound, const Real distributionUpperBound,
                                              const Size buckets, const Matrix& globalFactorCorrelation,
@@ -581,7 +581,7 @@ Array CreditMigrationHelper::pnlDistribution(const Size date) {
     return res;
 } // pnlDistribution
 
-void CreditMigrationHelper::build(const std::map<std::string, boost::shared_ptr<Trade>>& trades) {
+void CreditMigrationHelper::build(const std::map<std::string, QuantLib::ext::shared_ptr<Trade>>& trades) {
     LOG("CreditMigrationHelper: Build trade ID map");
     issuerTradeIds_.resize(parameters_->entities().size());
     cptyNettingSetIds_.resize(parameters_->entities().size());
@@ -597,14 +597,14 @@ void CreditMigrationHelper::build(const std::map<std::string, boost::shared_ptr<
                           t->envelope().nettingSetId()) != parameters_->nettingSetIds().end()) {
                 tmp2.insert(t->envelope().nettingSetId());
             }
-            boost::shared_ptr<Bond> bond = boost::dynamic_pointer_cast<Bond>(t);
+            QuantLib::ext::shared_ptr<Bond> bond = QuantLib::ext::dynamic_pointer_cast<Bond>(t);
             if (bond) {
                 tradeCreditCurves_[t->id()] = bond->bondData().creditCurveId();
                 // FIXME: We actually need the notional schedule here to determine future notionals
                 tradeNotionals_[t->id()] = bond->notional();
                 tradeCurrencies_[t->id()] = bond->bondData().currency();
             }
-            boost::shared_ptr<CreditDefaultSwap> cds = boost::dynamic_pointer_cast<CreditDefaultSwap>(t);
+            QuantLib::ext::shared_ptr<CreditDefaultSwap> cds = QuantLib::ext::dynamic_pointer_cast<CreditDefaultSwap>(t);
             if (cds) {
                 string cpty = cds->envelope().counterparty();
                 QL_REQUIRE(cpty != t->issuer(), "CDS has same CPTY and issuer " << cpty);

OREAnalytics/orea/aggregation/creditmigrationhelper.hpp

@@ -54,15 +54,15 @@ class CreditMigrationHelper {
     enum class LoanExposureMode { Notional, Value };
     enum class Evaluation { Analytic, ForwardSimulationA, ForwardSimulationB, TerminalSimulation };
 
-    CreditMigrationHelper(const boost::shared_ptr<CreditSimulationParameters> parameters,
-                          const boost::shared_ptr<NPVCube> cube, const boost::shared_ptr<NPVCube> nettedCube,
-                          const boost::shared_ptr<AggregationScenarioData> aggData, const Size cubeIndexCashflows,
+    CreditMigrationHelper(const QuantLib::ext::shared_ptr<CreditSimulationParameters> parameters,
+                          const QuantLib::ext::shared_ptr<NPVCube> cube, const QuantLib::ext::shared_ptr<NPVCube> nettedCube,
+                          const QuantLib::ext::shared_ptr<AggregationScenarioData> aggData, const Size cubeIndexCashflows,
                           const Size cubeIndexStateNpvs, const Real distributionLowerBound,
                           const Real distributionUpperBound, const Size buckets, const Matrix& globalFactorCorrelation,
                           const std::string& baseCurrency);
 
     //! builds the helper for a specific subset of trades stored in the cube
-    void build(const std::map<std::string, boost::shared_ptr<Trade>>& trades);
+    void build(const std::map<std::string, QuantLib::ext::shared_ptr<Trade>>& trades);
 
     const std::vector<Real>& upperBucketBound() const { return bucketing_.upperBucketBound(); }
     //
@@ -106,9 +106,9 @@ class CreditMigrationHelper {
     void generateConditionalMigrationPnl(const Size date, const Size path, const std::map<string, Matrix>& transMat,
                                          std::vector<Array>& condProbs, std::vector<Array>& pnl) const;
 
-    boost::shared_ptr<CreditSimulationParameters> parameters_;
-    boost::shared_ptr<NPVCube> cube_, nettedCube_;
-    boost::shared_ptr<AggregationScenarioData> aggData_;
+    QuantLib::ext::shared_ptr<CreditSimulationParameters> parameters_;
+    QuantLib::ext::shared_ptr<NPVCube> cube_, nettedCube_;
+    QuantLib::ext::shared_ptr<AggregationScenarioData> aggData_;
     Size cubeIndexCashflows_, cubeIndexStateNpvs_;
     Matrix globalFactorCorrelation_;
     std::string baseCurrency_;

OREAnalytics/orea/aggregation/cvaspreadsensitivitycalculator.hpp

@@ -34,7 +34,7 @@
 
 #include <ql/time/date.hpp>
 
-#include <boost/shared_ptr.hpp>
+#include <ql/shared_ptr.hpp>
 
 namespace ore {
 namespace analytics {