Merge branch 'master' of gitlab.acadiasoft.net:qs/oreplus

Author: pcaspers

Examples/Example_44/ExpectedOutput/SIMM2.6_10D/simm.csv

@@ -1,4 +1,4 @@
-#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
+Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
 CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,811888.16,USD,USD
 CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,811888.16,USD,USD
 CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,210187.75,USD,USD

Examples/Example_44/Input/ore_SIMM2.6_10D.xml

@@ -15,6 +15,7 @@
     <Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
     <Parameter name="portfolioFile"></Parameter>
     <Parameter name="observationModel">None</Parameter>
+    <Parameter name="csvCommentReportHeader">N</Parameter>
   </Setup>
   <Markets>
     <Parameter name="lgmcalibration">default</Parameter>
@@ -30,6 +31,7 @@
       <Parameter name="crif">crif.csv</Parameter>
       <Parameter name="calculationCurrency">USD</Parameter>
       <Parameter name="enforceIMRegulations">Y</Parameter>
+      <Parameter name="writeIntermediateReports">N</Parameter>
       <Parameter name="mporDays">10</Parameter>
     </Analytic>
   </Analytics>

OREAnalytics/orea/app/analytics/simmanalytic.hpp

@@ -47,7 +47,9 @@ class SimmAnalytic : public Analytic {
         : Analytic(std::make_unique<SimmAnalyticImpl>(inputs), {"SIMM"}, inputs, false, false, false, false),
           crif_(crif),
           hasNettingSetDetails_(hasNettingSetDetails),
-          determineWinningRegulations_(determineWinningRegulations) {}
+          determineWinningRegulations_(determineWinningRegulations) {
+        setWriteIntermediateReports(inputs->writeSimmIntermediateReports());
+    }
 
     const Crif& crif() const { return crif_; }
     bool hasNettingSetDetails() { return hasNettingSetDetails_; }

OREAnalytics/orea/app/inputparameters.hpp

@@ -309,6 +309,7 @@ class InputParameters {
     void setSimmResultCurrency(const std::string& s) { simmResultCurrency_ = s; }
     void setSimmReportingCurrency(const std::string& s) { simmReportingCurrency_ = s; }
     void setEnforceIMRegulations(bool b) { enforceIMRegulations_= b; }
+    void setWriteSimmIntermediateReports(bool b) { writeSimmIntermediateReports_ = b; }
 
     // Setters for ZeroToParSensiConversion
     void setParConversionXbsParConversion(bool b) { parConversionXbsParConversion_ = b; }
@@ -570,6 +571,7 @@ class InputParameters {
     const std::string& simmReportingCurrency() { return simmReportingCurrency_; }
     bool enforceIMRegulations() { return enforceIMRegulations_; }
     boost::shared_ptr<SimmConfiguration> getSimmConfiguration();
+    bool writeSimmIntermediateReports() { return writeSimmIntermediateReports_; }
 
     /**************************************************
      * Getters for Zero to Par Sensi conversion
@@ -824,6 +826,7 @@ class InputParameters {
     std::string simmReportingCurrency_ = "";
     bool enforceIMRegulations_ = false;
     bool useSimmParameters_ = true;
+    bool writeSimmIntermediateReports_ = true;
 
     /***************
      * Zero to Par Conversion analytic

OREAnalytics/orea/app/oreapp.cpp

@@ -648,6 +648,15 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
             LOG("MarketContext::" << m.first << " = " << m.second);
     }
 
+    if (params_->has("setup", "csvCommentReportHeader"))
+        inputs->setCsvCommentCharacter(parseBool(params_->get("setup", "csvCommentReportHeader")));
+
+    if (params_->has("setup", "csvSeparator")) {
+        tmp = params_->get("setup", "csvSeparator");
+        QL_REQUIRE(tmp.size() == 1, "csvSeparator must be exactly one character");
+        inputs->setCsvSeparator(tmp[0]);
+    }
+
     /*************
      * NPV
      *************/
@@ -922,6 +931,10 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
         tmp = params_->get("simm", "enforceIMRegulations", false);
         if (tmp != "")
             inputs->setEnforceIMRegulations(parseBool(tmp));
+
+        tmp = params_->get("simm", "writeIntermediateReports", false);
+        if (tmp != "")
+            inputs->setWriteSimmIntermediateReports(parseBool(tmp));
     }
 
     /************

OREData/ored/utilities/calendarparser.cpp

@@ -35,7 +35,6 @@
 #include <qle/calendars/ireland.hpp>
 #include <qle/calendars/islamicweekendsonly.hpp>
 #include <qle/calendars/israel.hpp>
-#include <qle/calendars/largejointcalendar.hpp>
 #include <qle/calendars/luxembourg.hpp>
 #include <qle/calendars/malaysia.hpp>
 #include <qle/calendars/mauritius.hpp>
@@ -88,7 +87,7 @@ QuantLib::Calendar CalendarParser::parseCalendar(const std::string& name) const
                 QL_FAIL("Cannot convert \"" << name << "\" to Calendar [unhandled exception]");
             }
         }
-        return QuantExt::LargeJointCalendar(calendars);
+        return QuantLib::JointCalendar(calendars);
     }
 }
 

OREData/test/parser.cpp

@@ -27,11 +27,11 @@
 #include <ql/time/calendars/austria.hpp>
 #include <ql/time/calendars/chile.hpp>
 #include <ql/time/calendars/france.hpp>
+#include <ql/time/calendars/jointcalendar.hpp>
 #include <ql/time/calendars/thailand.hpp>
 #include <ql/time/daycounters/all.hpp>
 #include <qle/calendars/colombia.hpp>
 #include <qle/calendars/israel.hpp>
-#include <qle/calendars/largejointcalendar.hpp>
 #include <qle/calendars/malaysia.hpp>
 #include <qle/calendars/netherlands.hpp>
 #include <qle/calendars/peru.hpp>
@@ -927,7 +927,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
     Calendar peru = QuantExt::Peru();
 
     cals.push_back(peru);
-    Calendar joint1 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint1 = QuantLib::JointCalendar(cals);
 
     std::vector<Date> hol = joint1.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -955,7 +955,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar col = Colombia();
     cals.push_back(col);
-    Calendar joint2 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint2 = QuantLib::JointCalendar(cals);
 
     hol = joint2.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -978,7 +978,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar phil = Philippines();
     cals.push_back(phil);
-    Calendar joint3 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint3 = QuantLib::JointCalendar(cals);
 
     hol = joint3.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1004,7 +1004,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar thai = Thailand();
     cals.push_back(thai);
-    Calendar joint4 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint4 = QuantLib::JointCalendar(cals);
 
     hol = joint4.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1020,7 +1020,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar mal = Malaysia();
     cals.push_back(mal);
-    Calendar joint5 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint5 = QuantLib::JointCalendar(cals);
 
     hol = joint5.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1044,7 +1044,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar chil = Chile();
     cals.push_back(chil);
-    Calendar joint6 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint6 = QuantLib::JointCalendar(cals);
 
     hol = joint6.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1062,7 +1062,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar net = Netherlands();
     cals.push_back(net);
-    Calendar joint7 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint7 = QuantLib::JointCalendar(cals);
 
     hol = joint7.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1083,7 +1083,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar fre = France();
     cals.push_back(fre);
-    Calendar joint8 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint8 = QuantLib::JointCalendar(cals);
 
     hol = joint8.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());

QuantExt/qle/CMakeLists.txt

@@ -15,7 +15,6 @@ calendars/ice.cpp
 calendars/ireland.cpp
 calendars/islamicweekendsonly.cpp
 calendars/israel.cpp
-calendars/largejointcalendar.cpp
 calendars/luxembourg.cpp
 calendars/malaysia.cpp
 calendars/mauritius.cpp
@@ -415,7 +414,6 @@ calendars/ice.hpp
 calendars/ireland.hpp
 calendars/islamicweekendsonly.hpp
 calendars/israel.hpp
-calendars/largejointcalendar.hpp
 calendars/luxembourg.hpp
 calendars/malaysia.hpp
 calendars/mauritius.hpp