Merge remote-tracking branch 'origin/master' into 1.0.66_to_master

Author: rolandlichters

OREAnalytics/orea/app/inputparameters.hpp

@@ -460,7 +460,7 @@ class InputParameters {
     std::string baseCurrency_;
     bool continueOnError_ = true;
     bool lazyMarketBuilding_ = true;
-    bool buildFailedTrades_ = false;
+    bool buildFailedTrades_ = true;
     std::string observationModel_ = "None";
     bool implyTodaysFixings_ = false;
     std::map<std::string, std::string> marketConfigs_;

OREAnalytics/orea/app/marketdataloader.cpp

@@ -189,6 +189,7 @@ void MarketDataLoader::populateFixings(
         if (inputs_->eomInflationFixings()) {
             LOG("Adjust inflation fixing dates to the end of the month before the request");
             amendInflationFixingDates(fixings_);
+            amendInflationFixingDates(portfolioFixings_);
         }
 
         if (fixings_.size() > 0)

OREAnalytics/orea/app/oreapp.cpp

@@ -587,6 +587,7 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
     inputs->setAllFixings(true); 
     inputs->setEomInflationFixings(false);
     inputs->setUseMarketDataFixings(false);
+    inputs->setBuildFailedTrades(false);
 
     QL_REQUIRE(params_->hasGroup("setup"), "parameter group 'setup' missing");
 

OREData/ored/marketdata/defaultcurve.cpp

@@ -284,6 +284,7 @@ DefaultCurve::DefaultCurve(Date asof, DefaultCurveSpec spec, const Loader& loade
                                                        << " was not recognised");
             }
             built = true;
+            break;
         } catch (exception& e) {
             std::ostringstream message;
             message << "build attempt failed for " << configs->curveID() << " using config with priority "

OREData/ored/portfolio/commodityoptionstrip.cpp

@@ -304,7 +304,7 @@ void CommodityOptionStrip::buildAPOs(const Leg& leg, const boost::shared_ptr<Eng
                  QL_REQUIRE(undCcy.code() == legData_.currency(),
                             "Strips of commodity digital options do not support intra-currency trades yet.");
                  commOption = boost::make_shared<CommodityDigitalAveragePriceOption>(
-                     envelope(), optionData, tempDatum.strike, cf->periodQuantity() * payoffPerUnit(),
+                     envelope(), optionData, tempDatum.strike, cf->quantity() * payoffPerUnit(),
                      legData_.currency(), commLegData_->name(), commLegData_->priceType(), to_string(start),
                      to_string(cf->endDate()), legData_.paymentCalendar(), legData_.paymentLag(),
                      legData_.paymentConvention(), commLegData_->pricingCalendar(), to_string(cf->date()),

QuantExt/qle/pricingengines/commodityspreadoptionengine.cpp

@@ -88,6 +88,7 @@ void CommoditySpreadOptionAnalyticalEngine::calculate() const {
     double stdDev = 0;
     double Y = 0;
     double Z = 0;
+    double sigmaY = 0;
     double w1 = arguments_.longAssetFlow->gearing();
     double w2 = arguments_.shortAssetFlow->gearing();
     // Adjust strike for past fixings
@@ -117,9 +118,9 @@ void CommoditySpreadOptionAnalyticalEngine::calculate() const {
         // KirkFormula
         Y = (F2 * w2 + effectiveStrike);
         Z = w1 * F1 / Y;
-        double sigmaTilde = sigma2 * F2 * w2 / Y;
+        sigmaY = sigma2 * F2 * w2 / Y;
 
-        sigma = std::sqrt(std::pow(sigma1, 2.0) + std::pow(sigmaTilde, 2.0) - 2 * sigma1 * sigmaTilde * rho());
+        sigma = std::sqrt(std::pow(sigma1, 2.0) + std::pow(sigmaY, 2.0) - 2 * sigma1 * sigmaY * rho());
 
         stdDev = sigma * sqrt(tte);
 
@@ -142,10 +143,14 @@ void CommoditySpreadOptionAnalyticalEngine::calculate() const {
     mp["stdDev"] = stdDev;
     mp["Y"] = Y;
     mp["Z"] = Z;
+    mp["sigma_Y"] = sigmaY;
     mp["quantity"] = arguments_.quantity;
     mp["npv"] = results_.value;
     mp["exerciseDate"] = exerciseDate;
     mp["paymentDate"] = paymentDate;
+    mp["w1"] = w1;
+    mp["w2"] = w2;
+    mp["rho"] = rho();
 }
 
 CommoditySpreadOptionAnalyticalEngine::PricingParameter