Merge remote-tracking branch 'origin/master' into 71_into_master

damienbarker · jenkins · commit 078e6317538b · 2023-08-23T14:17:08.000Z
diff --git a/OREAnalytics/orea/simm/crifrecord.hpp b/OREAnalytics/orea/simm/crifrecord.hpp
@@ -159,6 +159,7 @@ struct RiskTypeTag {};
 struct BucketTag {};
 struct BucketQualifierTag {};
 struct QualifierTag {};
+struct NoProductClassQualifierTag {};
 
 /*! A structure that we can use to aggregate CrifRecords across trades in a portfolio
     to provide the net sensitivities that we need to perform a downstream SIMM calculation.
@@ -199,6 +200,13 @@ typedef boost::multi_index_container<
                 boost::multi_index::member<CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass>,
                 boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>,
                 boost::multi_index::member<CrifRecord, std::string, &CrifRecord::qualifier>>>,
+        boost::multi_index::ordered_non_unique<
+            boost::multi_index::tag<NoProductClassQualifierTag>,
+            boost::multi_index::composite_key<
+                CrifRecord,
+                boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>,
+                boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>,
+                boost::multi_index::member<CrifRecord, std::string, &CrifRecord::qualifier>>>,
         boost::multi_index::ordered_non_unique<
             boost::multi_index::tag<BucketQualifierTag>,
             boost::multi_index::composite_key<
diff --git a/OREAnalytics/orea/simm/simmcalculator.cpp b/OREAnalytics/orea/simm/simmcalculator.cpp
@@ -1675,7 +1675,7 @@ void SimmCalculator::addCrifRecord(const CrifRecord& crifRecord, const bool enfo
         auto newCrifRecord = crifRecord;
         newCrifRecord.collectRegulations.clear();
         newCrifRecord.postRegulations.clear();
-        for (const string& r : regs)
+        for (const string& r : regs) {
             if (r == "Excluded" ||
                 (r == "Unspecified" && enforceIMRegulations && !(collectRegsIsEmpty && postRegsIsEmpty))) {
                 continue;
@@ -1684,19 +1684,22 @@ void SimmCalculator::addCrifRecord(const CrifRecord& crifRecord, const bool enfo
                 if (!newCrifRecord.isSimmParameter())
                     tradeIds_[side][nettingSetDetails][r].insert(newCrifRecord.tradeId);
 
-            // Add CRIF record to the appropriate regulations
-            if (regSensitivities_[side][nettingSetDetails][r] == nullptr) {
-                // We aggregate SEC/CFTC CRIF records later because we do not want to lose trade ID data until we have combined these later.
-                const bool aggregateTrades = r == "SEC" || r == "CFTC" ? false : true;
-                regSensitivities_[side][nettingSetDetails][r] = boost::make_shared<CrifLoader>(simmConfiguration_, CrifRecord::additionalHeaders, true, aggregateTrades);
-            }
+                // Add CRIF record to the appropriate regulations
+                if (regSensitivities_[side][nettingSetDetails][r] == nullptr) {
+                    // We aggregate SEC/CFTC CRIF records later because we do not want to lose trade ID data until we
+                    // have combined these later.
+                    const bool aggregateTrades = r == "SEC" || r == "CFTC" ? false : true;
+                    regSensitivities_[side][nettingSetDetails][r] = boost::make_shared<CrifLoader>(
+                        simmConfiguration_, CrifRecord::additionalHeaders, true, aggregateTrades);
+                }
 
                 // We make sure to ignore amountCcy when aggregating the records, since we will only be using amountUsd,
                 // and we may have CRIF records that are equal everywhere except for the amountCcy, and this will fail
                 // in the case of Risk_XCcyBasis and Risk_Inflation.
                 const bool onDiffAmountCcy = true;
                 regSensitivities_[side][nettingSetDetails][r]->add(newCrifRecord, onDiffAmountCcy);
             }
+        }
     }
 }
 
diff --git a/OREAnalytics/orea/simm/simmconcentrationisdav2_6.cpp b/OREAnalytics/orea/simm/simmconcentrationisdav2_6.cpp
@@ -31,31 +31,31 @@ SimmConcentration_ISDA_V2_6::SimmConcentration_ISDA_V2_6(const boost::shared_ptr
     // clang-format off
 
     // Populate flat thresholds
-    flatThresholds_[RiskType::CreditVol] = 260;
-    flatThresholds_[RiskType::CreditVolNonQ] = 145;
+    flatThresholds_[RiskType::CreditVol] = 360;
+    flatThresholds_[RiskType::CreditVolNonQ] = 70;
 
     // Populate bucketed thresholds
     bucketedThresholds_[RiskType::IRCurve] = {
-        { "1", 33 },
-        { "2", 230 },
-        { "3", 44 },
-        { "4", 70 }
+        { "1", 30 },
+        { "2", 330 },
+        { "3", 130 },
+        { "4", 61 }
     };
 
     bucketedThresholds_[RiskType::CreditQ] = {
-        { "1", 0.91 },
-        { "2", 0.19 },
-        { "3", 0.19 },
-        { "4", 0.19 },
-        { "5", 0.19 },
-        { "6", 0.19 },
-        { "7", 0.91 },
-        { "8", 0.19 },
-        { "9", 0.19 },
-        { "10", 0.19 },
-        { "11", 0.19 },
-        { "12", 0.19 },
-        { "Residual", 0.19 }
+        { "1", 1 },
+        { "2", 0.17 },
+        { "3", 0.17 },
+        { "4", 0.17 },
+        { "5", 0.17 },
+        { "6", 0.17 },
+        { "7", 1 },
+        { "8", 0.17 },
+        { "9", 0.17 },
+        { "10", 0.17 },
+        { "11", 0.17 },
+        { "12", 0.17 },
+        { "Residual", 0.17 }
     };
 
     bucketedThresholds_[RiskType::CreditNonQ] = {
@@ -65,19 +65,19 @@ SimmConcentration_ISDA_V2_6::SimmConcentration_ISDA_V2_6(const boost::shared_ptr
     };
 
     bucketedThresholds_[RiskType::Equity] = {
-        { "1", 10 },
-        { "2", 10 },
-        { "3", 10 },
-        { "4", 10 },
-        { "5", 21 },
-        { "6", 21 },
-        { "7", 21 },
-        { "8", 21 },
-        { "9", 1.4 },
-        { "10", 0.6 },
-        { "11", 2100 },
-        { "12", 2100 },
-        { "Residual", 0.6 }
+        { "1", 3 },
+        { "2", 3 },
+        { "3", 3 },
+        { "4", 3 },
+        { "5", 12 },
+        { "6", 12 },
+        { "7", 12 },
+        { "8", 12 },
+        { "9", 0.64 },
+        { "10", 0.37 },
+        { "11", 810 },
+        { "12", 810 },
+        { "Residual", 0.37 }
     };
 
     bucketedThresholds_[RiskType::Commodity] = {
@@ -86,13 +86,13 @@ SimmConcentration_ISDA_V2_6::SimmConcentration_ISDA_V2_6(const boost::shared_ptr
         { "3", 1700 },
         { "4", 1700 },
         { "5", 1700 },
-        { "6", 3200 },
-        { "7", 3200 },
+        { "6", 2800 },
+        { "7", 2800 },
         { "8", 2700 },
         { "9", 2700 },
         { "10", 52 },
         { "11", 530 },
-        { "12", 1600 },
+        { "12", 1300 },
         { "13", 100 },
         { "14", 100 },
         { "15", 100 },
@@ -101,16 +101,16 @@ SimmConcentration_ISDA_V2_6::SimmConcentration_ISDA_V2_6(const boost::shared_ptr
     };
 
     bucketedThresholds_[RiskType::FX] = {
-        { "1", 5100 },
-        { "2", 1200 },
-        { "3", 190 }
+        { "1", 3300 },
+        { "2", 880 },
+        { "3", 170 }
     };
 
     bucketedThresholds_[RiskType::IRVol] = {
-        { "1", 120 },
-        { "2", 3300 },
-        { "3", 470 },
-        { "4", 570 }
+        { "1", 74 },
+        { "2", 4900 },
+        { "3", 520 },
+        { "4", 970 }
     };
 
     bucketedThresholds_[RiskType::EquityVol] = {
@@ -122,40 +122,40 @@ SimmConcentration_ISDA_V2_6::SimmConcentration_ISDA_V2_6(const boost::shared_ptr
         { "6", 1300 },
         { "7", 1300 },
         { "8", 1300 },
-        { "9", 40 },
-        { "10", 200 },
-        { "11", 5900 },
-        { "12", 5900 },
-        { "Residual", 40 }
+        { "9", 39 },
+        { "10", 190 },
+        { "11", 6400 },
+        { "12", 6400 },
+        { "Residual", 39 }
     };
 
     bucketedThresholds_[RiskType::CommodityVol] = {
-        { "1", 210 },
-        { "2", 2700 },
-        { "3", 290 },
-        { "4", 290 },
-        { "5", 290 },
-        { "6", 5000 },
-        { "7", 5000 },
-        { "8", 920 },
-        { "9", 920 },
-        { "10", 100 },
-        { "11", 350 },
-        { "12", 720 },
-        { "13", 500 },
-        { "14", 500 },
-        { "15", 500 },
-        { "16", 65 },
-        { "17", 65 }
+        { "1", 390 },
+        { "2", 2900 },
+        { "3", 310 },
+        { "4", 310 },
+        { "5", 310 },
+        { "6", 6300 },
+        { "7", 6300 },
+        { "8", 1200 },
+        { "9", 1200 },
+        { "10", 120 },
+        { "11", 390 },
+        { "12", 1300 },
+        { "13", 590 },
+        { "14", 590 },
+        { "15", 590 },
+        { "16", 69 },
+        { "17", 69 }
     };
 
     bucketedThresholds_[RiskType::FXVol] = {
         { "1", 2800 },
-        { "2", 1300 },
-        { "3", 550 },
-        { "4", 490 },
-        { "5", 310 },
-        { "6", 200 }
+        { "2", 1400 },
+        { "3", 590 },
+        { "4", 520 },
+        { "5", 340 },
+        { "6", 210 }
     };
 
     // clang-format on
diff --git a/OREAnalytics/orea/simm/simmconcentrationisdav2_6.hpp b/OREAnalytics/orea/simm/simmconcentrationisdav2_6.hpp
@@ -2,7 +2,7 @@
  Copyright (C) 2023 Quaternion Risk Management Ltd
  All rights reserved.
 */
-/*! \file orea/simm/simmconcentrationisdav2_6.hpp
+/*! \file orepsimm/orea/simmconcentrationisdav2_6.hpp
     \brief SIMM concentration thresholds for SIMM version 2.6
 */
 
@@ -15,12 +15,12 @@
 #include <set>
 #include <string>
 
-namespace ore {
+namespace ore{
 namespace analytics {
 
 /*! Class giving the SIMM concentration thresholds as outlined in the document
-    <em>ISDA SIMM Methodology, version 2.6.
-        Effective Date: December 3, 2022.</em>
+    <em>ISDA SIMM Methodology, version 2.6 .
+        Effective Date: December 2, 2023.</em>
 */
 class SimmConcentration_ISDA_V2_6 : public SimmConcentrationBase {
 public:
diff --git a/OREAnalytics/orea/simm/simmconfigurationisdav2_6.cpp b/OREAnalytics/orea/simm/simmconfigurationisdav2_6.cpp
@@ -38,8 +38,8 @@ QuantLib::Size SimmConfiguration_ISDA_V2_6::group(const string& qualifier,
 }
 
 QuantLib::Real SimmConfiguration_ISDA_V2_6::weight(const RiskType& rt, boost::optional<string> qualifier,
-                                                     boost::optional<std::string> label_1,
-                                                     const std::string& calculationCurrency) const {
+                                                   boost::optional<std::string> label_1,
+                                                   const std::string& calculationCurrency) const {
 
     if (rt == RiskType::FX) {
         QL_REQUIRE(calculationCurrency != "", "no calculation currency provided weight");
@@ -80,7 +80,7 @@ QuantLib::Real SimmConfiguration_ISDA_V2_6::correlation(const RiskType& firstRt,
 SimmConfiguration_ISDA_V2_6::SimmConfiguration_ISDA_V2_6(const boost::shared_ptr<SimmBucketMapper>& simmBucketMapper,
                                                          const QuantLib::Size& mporDays, const std::string& name,
                                                          const std::string version)
-     : SimmConfigurationBase(simmBucketMapper, name, version, mporDays) {
+    : SimmConfigurationBase(simmBucketMapper, name, version, mporDays) {
 
     // The differences in methodology for 1 Day horizon is described in
     // Standard Initial Margin Model: Technical Paper, ISDA SIMM Governance Forum, Version 10:
@@ -162,7 +162,7 @@ SimmConfiguration_ISDA_V2_6::SimmConfiguration_ISDA_V2_6(const boost::shared_ptr
         rwBucket_ = {
             { RiskType::CreditQ, { 75, 90, 84, 54, 62, 48, 185, 343, 255, 250, 214, 173, 343 } },
             { RiskType::CreditNonQ, { 280, 1300, 1300 } },
-            { RiskType::Equity, { 26, 28, 33, 27, 23, 25, 31, 27, 30, 29, 18, 18, 33 } },
+            { RiskType::Equity, { 30, 33, 36, 29, 26, 25, 34, 28, 36, 50, 19, 19, 50 } },
             { RiskType::Commodity, { 48, 29, 33, 25, 35, 30, 60, 52, 68, 63, 21, 21, 15, 16, 13, 68, 17 } },
             { RiskType::EquityVol, { 0.45, 0.45, 0.45, 0.45, 0.45, 0.45, 0.45, 0.45, 0.45, 0.45, 0.45, 0.96, 0.45 } },
         };
@@ -233,7 +233,7 @@ SimmConfiguration_ISDA_V2_6::SimmConfiguration_ISDA_V2_6(const boost::shared_ptr
         rwBucket_ = {
             { RiskType::CreditQ, { 20, 27, 17, 12, 13, 12, 50, 93, 51, 57, 43, 37, 93 } },
             { RiskType::CreditNonQ, { 66, 280, 280 } },
-            { RiskType::Equity, { 9.1, 9.8, 10.0, 9.0, 7.7, 8.5, 9.9, 9.8, 9.9, 10, 6.1, 6.1, 10.0 } },
+            { RiskType::Equity, { 8.8, 9.6, 10, 9.0, 8.6, 8.6, 11, 10, 9.8, 14, 6.1, 6.1, 14 } },
             { RiskType::Commodity, { 11, 9.1, 8.3, 7.4, 10, 9.3, 17, 12, 14, 18, 6.6, 6.7, 5.0, 4.8, 3.8, 18, 5.2 } },
             { RiskType::EquityVol, { 0.093, 0.093, 0.093, 0.093, 0.093, 0.093, 0.093, 0.093, 0.093, 0.093, 0.093, 0.23, 0.093 } },
         };
@@ -367,17 +367,17 @@ SimmConfiguration_ISDA_V2_6::SimmConfiguration_ISDA_V2_6(const boost::shared_ptr
      // Equity inter-bucket correlations
      temp = {
         1.0, 0.18, 0.19, 0.19, 0.14, 0.16, 0.15, 0.16, 0.18, 0.12, 0.19, 0.19,
-        0.18, 1.0, 0.22, 0.21, 0.15, 0.18, 0.18, 0.19, 0.2, 0.14, 0.21, 0.21,
-        0.19, 0.22, 1.0, 0.22, 0.13, 0.17, 0.19, 0.17, 0.22, 0.13, 0.19, 0.19,
-        0.19, 0.21, 0.22, 1.0, 0.18, 0.22, 0.22, 0.23, 0.22, 0.17, 0.25, 0.25,
-        0.14, 0.15, 0.13, 0.18, 1.0, 0.29, 0.26, 0.29, 0.14, 0.24, 0.31, 0.31,
-        0.16, 0.18, 0.17, 0.22, 0.29, 1.0, 0.33, 0.36, 0.17, 0.29, 0.38, 0.38,
-        0.15, 0.18, 0.19, 0.22, 0.26, 0.33, 1.0, 0.33, 0.17, 0.28, 0.36, 0.36,
-        0.16, 0.19, 0.17, 0.23, 0.29, 0.36, 0.33, 1.0, 0.18, 0.29, 0.39, 0.39,
-        0.18, 0.2, 0.22, 0.22, 0.14, 0.17, 0.17, 0.18, 1.0, 0.13, 0.21, 0.21,
-        0.12, 0.14, 0.13, 0.17, 0.24, 0.29, 0.28, 0.29, 0.13, 1.0, 0.3, 0.3,
-        0.19, 0.21, 0.19, 0.25, 0.31, 0.38, 0.36, 0.39, 0.21, 0.3, 1.0, 0.44,
-        0.19, 0.21, 0.19, 0.25, 0.31, 0.38, 0.36, 0.39, 0.21, 0.3, 0.44, 1.0
+        0.18, 1.0, 0.22, 0.21, 0.15, 0.18, 0.17, 0.19, 0.2, 0.14, 0.21, 0.21,
+        0.19, 0.22, 1.0, 0.22, 0.13, 0.16, 0.18, 0.17, 0.22, 0.13, 0.2, 0.2,
+        0.19, 0.21, 0.22, 1.0, 0.17, 0.22, 0.22, 0.23, 0.22, 0.17, 0.26, 0.26,
+        0.14, 0.15, 0.13, 0.17, 1.0, 0.29, 0.26, 0.29, 0.14, 0.24, 0.32, 0.32,
+        0.16, 0.18, 0.16, 0.22, 0.29, 1.0, 0.34, 0.36, 0.17, 0.3, 0.39, 0.39,
+        0.15, 0.17, 0.18, 0.22, 0.26, 0.34, 1.0, 0.33, 0.16, 0.28, 0.36, 0.36,
+        0.16, 0.19, 0.17, 0.23, 0.29, 0.36, 0.33, 1.0, 0.17, 0.29, 0.4, 0.4,
+        0.18, 0.2, 0.22, 0.22, 0.14, 0.17, 0.16, 0.17, 1.0, 0.13, 0.21, 0.21,
+        0.12, 0.14, 0.13, 0.17, 0.24, 0.3, 0.28, 0.29, 0.13, 1.0, 0.3, 0.3,
+        0.19, 0.21, 0.2, 0.26, 0.32, 0.39, 0.36, 0.4, 0.21, 0.3, 1.0, 0.45,
+        0.19, 0.21, 0.2, 0.26, 0.32, 0.39, 0.36, 0.4, 0.21, 0.3, 0.45, 1.0
     };
     interBucketCorrelation_[RiskType::Equity] = Matrix(12, 12, temp.begin(), temp.end());
 
@@ -404,7 +404,7 @@ SimmConfiguration_ISDA_V2_6::SimmConfiguration_ISDA_V2_6(const boost::shared_ptr
     interBucketCorrelation_[RiskType::Commodity] = Matrix(17, 17, temp.begin(), temp.end());
 
     // Equity intra-bucket correlations (exclude Residual and deal with it in the method - it is 0%) - changed
-   intraBucketCorrelation_[RiskType::Equity] = { 0.18, 0.2, 0.28, 0.24, 0.25, 0.35, 0.35, 0.37, 0.23, 0.26, 0.44, 0.44 };
+   intraBucketCorrelation_[RiskType::Equity] = { 0.18, 0.2, 0.28, 0.24, 0.25, 0.36, 0.35, 0.37, 0.23, 0.27, 0.45, 0.45 };
 
     // Commodity intra-bucket correlations
    intraBucketCorrelation_[RiskType::Commodity] = { 0.83, 0.97, 0.93, 0.97, 0.98, 0.9, 0.98, 0.49, 0.8, 0.46, 0.58, 0.53, 0.62, 0.16, 0.18, 0, 0.38 };
diff --git a/OREAnalytics/orea/simm/simmconfigurationisdav2_6.hpp b/OREAnalytics/orea/simm/simmconfigurationisdav2_6.hpp
@@ -3,7 +3,7 @@
  All rights reserved.
 */
 
-/*! \file orea/simm/simmconfigurationisdav2_6.hpp
+/*! \file orepsimm/orea/simmconfigurationisdav2_6.hpp
     \brief SIMM configuration for SIMM version 2.6
 */
 
@@ -16,13 +16,13 @@ namespace analytics {
 
 /*! Class giving the SIMM configuration as outlined in the document
     <em>ISDA SIMM Methodology, version 2.6.
-        Effective Date: 3 December 2023.</em>
+        Effective Date: December 2, 2023.</em>
 */
-class SimmConfiguration_ISDA_V2_6: public SimmConfigurationBase {
+class SimmConfiguration_ISDA_V2_6 : public SimmConfigurationBase {
 public:
     SimmConfiguration_ISDA_V2_6(const boost::shared_ptr<SimmBucketMapper>& simmBucketMapper,
                                 const QuantLib::Size& mporDays = 10,
-                                const std::string& name = "SIMM ISDA 2.6 (3 December 2023)",
+                                const std::string& name = "SIMM ISDA 2.6 (<INSERT PUBLISHING DATE HERE>)",
                                 const std::string version = "2.6");
 
     //! Return the SIMM <em>Label2</em> value for the given interest rate index
diff --git a/OREAnalytics/orea/simm/utilities.cpp b/OREAnalytics/orea/simm/utilities.cpp
@@ -171,7 +171,7 @@ SimmVersion parseSimmVersion(const string& version) {
                                                   {"2.3.8", SimmVersion::V2_3_8},
                                                   {"2.5", SimmVersion::V2_5},
                                                   {"2.5A", SimmVersion::V2_5A},
-                                                  {"2.5.3", SimmVersion::V2_6},
+                                                  {"2.5.6", SimmVersion::V2_6},
 						                          // alias
                                                   {"2.4", SimmVersion::V2_3_8},
                                                   {"2.6", SimmVersion::V2_6},
diff --git a/QuantExt/qle/indexes/commoditybasisfutureindex.cpp b/QuantExt/qle/indexes/commoditybasisfutureindex.cpp
