Merge branch 'master' into 'master'

QPR-12319 -- Improve error message when underlying bond basket build fails due...

Closes QPR-9859

See merge request qs/ore-github!28

Author: pcaspers

Docs/ScriptedTrade/docs/models.tex

@@ -27,6 +27,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Model_SingleAssetOptionBwd(FX)">BlackScholes</Parameter>
       <Parameter name="Model_SingleAssetOptionBwd(COMM)">BlackScholes</Parameter>
       <Parameter name="Model_SingleUnderlyingIrOption">GaussianCam</Parameter>
+      <Parameter name="Model_SingleUnderlyingIrOptionBwd">GaussianCam</Parameter>
       <Parameter name="Model_MultiUnderlyingIrOption">GaussianCam</Parameter>
       <Parameter name="Model_IrHybrid(EQ)">GaussianCam</Parameter>
       <Parameter name="Model_IrHybrid(FX)">GaussianCam</Parameter>
@@ -38,6 +39,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Engine">MC</Parameter>
       <Parameter name="Samples">10000</Parameter>
       <Parameter name="StateGridPoints">200</Parameter>
+      <Parameter name="StateGridPoints_SingleUnderlyingIrOptionBwd">50</Parameter>
       <Parameter name="MesherEpsilon">1E-4</Parameter>
       <Parameter name="MesherScaling">1.5</Parameter>
       <Parameter name="MesherConcentration">0.1</Parameter>
@@ -54,7 +56,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Engine_SingleAssetOptionBwd(EQ)">FD</Parameter>
       <Parameter name="Engine_SingleAssetOptionBwd(FX)">FD</Parameter>
       <Parameter name="Engine_SingleAssetOptionBwd(COMM)">FD</Parameter>
-      <Parameter name="Engine_SingleUnderlyingIrOption">6</Parameter>
+      <Parameter name="Engine_SingleUnderlyingIrOption">FD</Parameter>
       <Parameter name="useAD_MultiAssetOptionAD(EQ)">true</Parameter>
       <Parameter name="useAD_MultiAssetOptionAD(FX)">true</Parameter>
       <Parameter name="useAD_MultiAssetOptionAD(COMM)">true</Parameter>
@@ -188,11 +190,15 @@ \subsection{BlackScholes model}\label{blackscholes}
 
 See \ref{pricingengine_config} for the impact of the model parameter FullDynamicFx on the model setup.
 
-TimeStepsPerYear are ignored if the correlation structure is trivial, because then the process can be discretised
+For MC TimeStepsPerYear are ignored if the correlation structure is trivial, because then the process can be discretised
 exactly. Otherwise the given time steps per year are used to build a grid on which covariance matrices are computed
 assuming a constant volatility between the grid points. The actual MC paths are evoloved using these covariance matrices
 on the original (non-refined) time grid, i.e. taking large, exact steps again.
 
+For FD TimeStepsPerYear, StateGridPoints, MesherEpsilon, MesherScaling, MesherConcentration,
+MesehMaxConcentrationPoints, MesherIsStatic are used, see the description of these parameters for their detailled
+interpretation.
+
 \smallskip
 Available Engine types: MC, FD
 
@@ -229,8 +235,12 @@ \subsection{GaussianCam models}
 
 See \ref{pricingengine_config} for the impact of the model parameters FullDynamicFx, FullDynamicIr on the model setup.
 
+The FD model variant is supported for a single underlying IR model only. A single calibration strike is supported that
+can be specified for any IR model index appearing in the script. TimeStepsPerYear, StateGridPoints, MesherEpsilon are
+used, see the description of these parameters for their detailled interpretation.
+
 \smallskip
-Available Engine types: MC
+Available Engine types: MC, FD
 
 \subsection{Base Currency Determination}\label{baseccy_determination}
 
@@ -312,12 +322,12 @@ \subsection{Calibration}\label{calibration}
 The usage of the calibration strikes is twofold:
 
 \begin{itemize}
-\item For the determination of calibration strikes. This is only relevant / supported by the BlackScholes model, which
-  will use the first strike from the list to read the volatility from the market term structure (if Calibration is set
-  to Deal in the model parameters).
+\item For the determination of calibration strikes. This is only relevant / supported by the BlackScholes and
+  GaussianCam-FD model, which will use the first strike from the list to read the volatility from the market term
+  structure (if Calibration is set to Deal in the model parameters).
 \item To determine concentration points for an FD mesher if \verb+Engine+ is set to \verb+FD+. The first $n$ strikes are
   used as concentration points where $n$ is the minimum of specified strikes and the engine parameter
-  \verb+MesherMaxConcentrationPoints+.
+  \verb+MesherMaxConcentrationPoints+. This is supported by the BlackScholes model only.
 \end{itemize}
 
 \subsection{FX tags and correlation curves}\label{fxtags_correlationcurves}

Docs/ScriptedTrade/scriptedtrade.tex

@@ -135,7 +135,8 @@ \section*{Document History}
   01-07-2021 & Peter Caspers & add case $d1>d2$ for ABOVEPROB, BELOWPROB \\
   13-09-2021 & Nathaniel Volfango & update Index section and add note on payment currency \\
   11-02-2022 & Peter Caspers & extend FWDCOMP, add FWDAVG function (breaking change) \\
-  22-06-2023 & Peter Caspers & add config flags for external devices
+  22-06-2023 & Peter Caspers & add config flags for external devices \\
+  12-02-2024 & Peter Caspers & additions for FD GaussianCam model
  \\ \hline
 \end{supertabular}
 \end{center}

Docs/UserGuide/userguide.tex

@@ -7210,9 +7210,6 @@ \subsubsection*{Trade Features}
 Some trade features are not yet supported by the multileg option engine:
 
 \begin{enumerate}
-\item legs with fx resetting feature
-\item legs with naked option = true
-\item coupon types are restricted to Ibor and CMS
 \item exercise flows (like a notional exchange common to cross currency swaptions) are not supported
 \end{enumerate}
 
@@ -7228,12 +7225,6 @@ \subsubsection*{State interpolation for exercise decisions}
 simulated path. Currently this is done using a simple linear interpolation while from a pure methodology point of view a
 Brownian Bridge would be preferable. In our tests we do not see a big impact of this approximation though.
 
-\subsubsection*{Missing recalibration of the MCMultiLegOptionEngine}
-
-The MC Multi Leg Option Engine builder uses the \verb+CrossAssetModelBuilder+ to set up the pricing model. This class
-does not implement the \verb+ModelBuidler+ interface meaning that the model is not recalibrated in a sensitivity
-analysis run. Therefore the sensitivities calculated by this engine are not valid.
-
 \subsubsection*{Basis Function Selection}
 
 Currently the basis function system is generated by specifying the type of the functions and the order, see

OREAnalytics/orea/app/analytics/pricinganalytic.cpp

@@ -158,7 +158,6 @@ void PricingAnalyticImpl::runAnalytic(
         else if (type == "SENSITIVITY") {
             CONSOLEW("Risk: Sensitivity Report");
             LOG("Sensi Analysis - Initialise");
-            bool recalibrateModels = true;
             bool ccyConv = false;
             std::string configuration = inputs_->marketConfig("pricing");
             boost::shared_ptr<SensitivityAnalysis> sensiAnalysis;
@@ -169,7 +168,7 @@ void PricingAnalyticImpl::runAnalytic(
                 sensiAnalysis = boost::make_shared<SensitivityAnalysis>(
                     analytic()->portfolio(), analytic()->market(), configuration, inputs_->pricingEngine(),
                     analytic()->configurations().simMarketParams, analytic()->configurations().sensiScenarioData,
-                    recalibrateModels, analytic()->configurations().curveConfig,
+                    inputs_->sensiRecalibrateModels(), analytic()->configurations().curveConfig,
                     analytic()->configurations().todaysMarketParams, ccyConv, inputs_->refDataManager(),
                     *inputs_->iborFallbackConfig(), true, inputs_->dryRun());
                 LOG("Single-threaded sensi analysis created");
@@ -182,9 +181,9 @@ void PricingAnalyticImpl::runAnalytic(
                 std::function<std::vector<boost::shared_ptr<ore::data::EngineBuilder>>()> extraEngineBuilders = {};
                 std::function<std::vector<boost::shared_ptr<ore::data::LegBuilder>>()> extraLegBuilders = {};
                 sensiAnalysis = boost::make_shared<SensitivityAnalysis>(
-                    inputs_->nThreads(), inputs_->asof(), loader, analytic()->portfolio(), Market::defaultConfiguration,
+                    inputs_->nThreads(), inputs_->asof(), loader, analytic()->portfolio(), configuration,
                     inputs_->pricingEngine(), analytic()->configurations().simMarketParams,
-                    analytic()->configurations().sensiScenarioData, recalibrateModels,
+                    analytic()->configurations().sensiScenarioData, inputs_->sensiRecalibrateModels(),
                     analytic()->configurations().curveConfig, analytic()->configurations().todaysMarketParams, ccyConv,
                     inputs_->refDataManager(), *inputs_->iborFallbackConfig(), true, inputs_->dryRun());
                 LOG("Multi-threaded sensi analysis created");

OREAnalytics/orea/app/inputparameters.hpp

@@ -128,6 +128,7 @@ class InputParameters {
     void setOutputJacobi(bool b) { outputJacobi_ = b; }
     void setUseSensiSpreadedTermStructures(bool b) { useSensiSpreadedTermStructures_ = b; }
     void setSensiThreshold(Real r) { sensiThreshold_ = r; }
+    void setSensiRecalibrateModels(bool b) { sensiRecalibrateModels_ = b; }
     void setSensiSimMarketParams(const std::string& xml);
     void setSensiSimMarketParamsFromFile(const std::string& fileName);
     void setSensiScenarioData(const std::string& xml);
@@ -420,6 +421,7 @@ class InputParameters {
     bool outputJacobi() const { return outputJacobi_; };
     bool useSensiSpreadedTermStructures() { return useSensiSpreadedTermStructures_; }
     QuantLib::Real sensiThreshold() const { return sensiThreshold_; }
+    bool sensiRecalibrateModels() const { return sensiRecalibrateModels_; }
     const boost::shared_ptr<ore::analytics::ScenarioSimMarketParameters>& sensiSimMarketParams() { return sensiSimMarketParams_; }
     const boost::shared_ptr<ore::analytics::SensitivityScenarioData>& sensiScenarioData() { return sensiScenarioData_; }
     const boost::shared_ptr<ore::data::EngineData>& sensiPricingEngine() { return sensiPricingEngine_; }
@@ -688,6 +690,7 @@ class InputParameters {
     bool alignPillars_ = false;
     bool useSensiSpreadedTermStructures_ = true;
     QuantLib::Real sensiThreshold_ = 1e-6;
+    bool sensiRecalibrateModels_ = true;
     boost::shared_ptr<ore::analytics::ScenarioSimMarketParameters> sensiSimMarketParams_;
     boost::shared_ptr<ore::analytics::SensitivityScenarioData> sensiScenarioData_;
     boost::shared_ptr<ore::data::EngineData> sensiPricingEngine_;

OREAnalytics/orea/app/oreapp.cpp

@@ -766,6 +766,10 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
         tmp = params_->get("sensitivity", "outputSensitivityThreshold", false);
         if (tmp != "")
             inputs->setSensiThreshold(parseReal(tmp));
+
+        tmp = params_->get("sensitivity", "recalibrateModels", false);
+        if (tmp != "")
+            inputs->setSensiRecalibrateModels(parseBool(tmp));
     }