Merge remote-tracking branch 'origin/master' into QPR-11765

Author: rolandlichters

Docker/.env

@@ -1,6 +1,6 @@
 TAG=latest
 DEBIAN_TAG=12.0
-QL_TAG=1.29_e57914e13
+QL_TAG=1.30_9921a4d7
 BOOST_TAG=1.78.0
 BOOST_DIR=1_78_0
 NUM_CORES=16

Docs/UserGuide/allowablevalues.tex

@@ -123,9 +123,11 @@ \subsection{Allowable Values}
 \emph{OldCDS}   &   Same as TwentiethIMM with unrestricted date ends and long/short stub coupon period (old CDS convention).\\ \hline
 \emph{CDS}   &    \makecell[tl]{Credit derivatives standard rule defined in 'Big Bang' changes in 2009. \\ \\ For quarterly periods (\lstinline!Tenor! set to \emph{3M}): \\ (Assuming no \lstinline!FirstDate!/\lstinline!LastDate!) \\ Dates fall on 20th of March, June, September, December. A \emph{Following} \\ roll convention will be applied if the 20th falls on a non-business day. \\ If the \lstinline!EndDate! in the schedule is set to a date beyond the rolled \\ quarterly CDS date, the actual trade termination date will be on the \\ following quarterly CDS date. \\ The first coupon will be paid on the quarterly CDS date following the \\ \lstinline!StartDate!, and be for the period since the previous quarterly CDS \\ date.  \\ \\ For monthly periods (\lstinline!Tenor! set to \emph{1M}): \\ (Assuming no \lstinline!FirstDate!/\lstinline!LastDate!)\\ Dates fall on 20th of each month, but the termination is still adjusted \\ to be in line with quarterly periods. \\ If the \lstinline!EndDate! in the schedule is set to a date beyond the rolled \\ quarterly CDS date (i.e. the 20th+roll Mar, Jun, Sep, Dec), \\ the actual termination date will be on the following quarterly CDS \\ date, causing a long final stub. \\ The first coupon will be paid on the next 20th monthly following the \\ \lstinline!StartDate!, and be for the period since the previous month's 20th.}\\ \hline
 \emph{CDS2015}   &    \makecell[tl]{Credit derivatives standard rule updated in 2015. \\ Same as  \emph{CDS} but with termination dates adjusted to \\ 20th June and 20th December. \\ For schedule \lstinline!EndDates!  from the 20th of March to the 19th September, \\ both included, the termination date will fall on the 20th June (with \\  \emph{Following} roll). \\ For schedule \lstinline!EndDates! from the 20th September to the 19th March, \\ both included, the termination date will fall on the 20th December \\ (with \emph{Following} roll).} \\ \hline
-  \caption{Allowable Values for Rule}
-  \label{tab:rule}
-  \end{longtable}
+\emph{EveryThursday}   &  If FirstDate is not given, all thursdays between start and end date.
+                          If FirstDate is given, FirstDate plus all thursdays between FirstDate and end date. \\ \hline
+\caption{Allowable Values for Rule}
+\label{tab:rule}
+\end{longtable}
 
 \begin{longtable}{| p{.30\textwidth} | p{.70\textwidth} |}
     \hline

Docs/UserGuide/tradecomponents/floatinglegdata.tex

@@ -293,4 +293,13 @@ \subsubsection{Floating Leg Data, Spreads, Gearings, Caps and Floors}
 
  Allowable values: \emph{true}, \emph{false} . Defaults to \emph{false} if left blank or omitted.
 
+\item \lstinline!FixingSchedule! [Optional]: This node allows for the specification of an explicit fixing schedule, see
+  \ref{ss:schedule_data}. Supported for underlying IBOR / term rate index. A given fixing will become effective as
+  specified by FixingDays relative to the fixing schedule or by an explicit ResetSchedule.
+
+\item \lstinline!ResetSchedule! [Optional]: This node allows for the specification of an explicit reset schedule, see
+  \ref{ss:schedule_data}, i.e. the dates on which fixings become effective. Supported for underlying IBOR / term rate
+  index. Can be given together with FixingSchedule or FixingDays. In the latter case, the fixing dates are derived from
+  the reset schedule.
+
 \end{itemize}

Docs/UserGuide/tradecomponents/legdatanotionals.tex

@@ -190,26 +190,17 @@ \subsubsection{Leg Data and Notionals}
 \label{lst:notional_fxreset}
 \end{listing}
 
-
-After the \lstinline!Notional! sub-node the \lstinline!LegData! node includes a \lstinline!ScheduleData! sub-node, and a sub-node based on the choice of \lstinline!LegType! as per below:
-
+\item StrictNotionalDates [Optional]: If given and set to true, notional changes specified by startDate will be
+  interpreted as taking place on the exact given date, even if that date falls into a calculation (accrual)
+  period. Otherwise the notional change is applied for the next calculation period. Supported only for fixed and
+  floating legs with IBOR / RFR term rate coupons.
 \item ScheduleData: This is a trade component sub-node outlined in section \ref{ss:schedule_data} Schedule Data and
-Dates.
-\item \lstinline!PaymentDates! [Optional]: This node allows for the specification of a list of explicit payment dates that overrides the payment dates generated by the payment conventions. This is an optional node and is currently only used in commodity trades, fixed legs and floating legs with underlying OIS and IBOR indices.
-See Listing \ref{lst:paymentdates} for an example. \break
-
-\begin{listing}[H]
-%\hrule\medskip
-\begin{minted}[fontsize=\footnotesize]{xml}
-                <PaymentDates>
-                      <PaymentDate>2020-01-15</PaymentDate>
-                      <PaymentDate>2021-01-15</PaymentDate>
-                      <PaymentDate>2022-01-17</PaymentDate>
-                </PaymentDates>
-\end{minted}
-\caption{Payment dates}
-\label{lst:paymentdates}
-\end{listing}
+  Dates.
+\item \lstinline!PaymentSchedule! [Optional]: This node allows for the specification of an explicit payment schedule,
+  see \ref{ss:schedule_data}. Supported in commodity trades, fixed legs and floating legs with underlying OIS and IBOR
+  indices.
+\item \lstinline!PaymentDates! [Deprecated]: This node allows for the specification of a list of explicit payment
+  dates. The usage is deprecated, use PaymentSchedule instead.
 
 \item FixedLegData: This trade component sub-node is required if \lstinline!LegType! is set to \emph{Fixed} It is
 outlined in section \ref{ss:fixedleg_data}.

Docs/UserGuide/tradecomponents/scheduledata.tex

@@ -138,6 +138,15 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
   overwrites the last date of the schedule that is otherwise built from IMM dates.
 
 Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
+
+\item \lstinline!RemoveFirstDate! [Optional]: If true the first date will be removed from the schedule. Useful to define a payment schedule using the rules for a calculation schedule.
+
+Allowable values: true, false
+
+\item \lstinline!RemoveLastDate! [Optional]: If true the last date will be removed from the schedule. Useful to define a fixing or reset schedule using the rules for a calculation schedule.
+
+Allowable values: true, false
+
 \end{itemize}
 
 \medskip
@@ -202,4 +211,12 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
 
 Allowable values: See Table \ref{tab:convention} Roll Convention. Defaults to \emph{Unadjusted} if left blank or omitted.
 
-\end{itemize}
+\item \lstinline!RemoveFirstDate! [Optional]: If true the first date will be removed from the schedule. Useful to define a payment schedule based on a calculation schedule.
+
+Allowable values: true, false
+
+\item \lstinline!RemoveLastDate! [Optional]: If true the last date will be removed from the schedule. Useful to define a fixing or reset schedule based on a calculation schedule.
+
+Allowable values: true, false
+
+\end{itemize}

OREAnalytics/orea/app/reportwriter.cpp

@@ -262,7 +262,7 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
                             boost::shared_ptr<QuantExt::EquityCoupon> ptrEqCp =
                                 boost::dynamic_pointer_cast<QuantExt::EquityCoupon>(ptrFlow);
                             Date fixingDate;
-                            Real fixingValue;
+                            Real fixingValue = Null<Real>();
                             if (ptrBMA) {
                                 // We return the last fixing inside the coupon period
                                 fixingDate = ptrBMA->fixingDates().end()[-2];
@@ -271,7 +271,12 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
                                     flowType = "BMAaverage";
                             } else if (ptrFloat) {
                                 fixingDate = ptrFloat->fixingDate();
-                                fixingValue = ptrFloat-> index()->fixing(fixingDate);
+                                try {
+                                    fixingValue = ptrFloat->index()->fixing(fixingDate);
+                                } catch (...) {
+                                    // catch invalid fixing date, missing fixing, etc. and fall through with
+                                    // fixingValue = Null (which appears as NA in the report)
+                                }
                                 if (fixingDate > asof)
                                     flowType = "InterestProjected";
                                 if (auto c = boost::dynamic_pointer_cast<QuantLib::IborCoupon>(ptrFloat)) {
@@ -564,9 +569,8 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
             }
 
         } catch (std::exception& e) {
-            ALOG("Exception writing cashflow report : " << e.what());
-        } catch (...) {
-            ALOG("Exception writing cashflow report : Unknown Exception");
+            ALOG(StructuredTradeErrorMessage(trade->id(), trade->tradeType(), "Error during cashflow report generation",
+                                             e.what()));
         }
     }
     report.end();

OREData/ored/CMakeLists.txt

@@ -237,6 +237,7 @@ portfolio/inflationswap.cpp
 portfolio/legbuilders.cpp
 portfolio/legdata.cpp
 portfolio/legdatafactory.cpp
+portfolio/makenonstandardlegs.cpp
 portfolio/multilegoption.cpp
 portfolio/nettingsetdefinition.cpp
 portfolio/nettingsetdetails.cpp
@@ -550,6 +551,7 @@ portfolio/instrumentwrapper.hpp
 portfolio/legbuilders.hpp
 portfolio/legdata.hpp
 portfolio/legdatafactory.hpp
+portfolio/makenonstandardlegs.hpp
 portfolio/multilegoption.hpp
 portfolio/nettingsetdefinition.hpp
 portfolio/nettingsetdetails.hpp

OREData/ored/ored.hpp

@@ -259,6 +259,7 @@
 #include <ored/portfolio/legbuilders.hpp>
 #include <ored/portfolio/legdata.hpp>
 #include <ored/portfolio/legdatafactory.hpp>
+#include <ored/portfolio/makenonstandardlegs.hpp>
 #include <ored/portfolio/multilegoption.hpp>
 #include <ored/portfolio/nettingsetdefinition.hpp>
 #include <ored/portfolio/nettingsetdetails.hpp>