Merge branch 'feature/QPR-13711' into 'master'

damienbarker · damienbarker · commit 1659a3c1016e · 2025-12-21T21:48:56.000Z
QPR-13711 PNL/PNL Explain issues

Closes QPR-13711

See merge request qs/oreplus!3109
diff --git a/ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_app.i b/ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_app.i
@@ -128,6 +128,7 @@ public:
     void setBuildFailedTrades(bool b);
     void setObservationModel(const std::string& s);
     void setImplyTodaysFixings(bool b);
+    void setFixingCutOffDate(Date d);
     void setUseAtParCouponsCurves(bool b);
     void setUseAtParCouponsTrades(bool b);
     void setMarketConfig(const std::string& config, const std::string& context); 
@@ -142,6 +143,9 @@ public:
     void setConventions(const std::string& xml);
     void setConventionsFromFile(const std::string& fileName);
     void setConventions(const ext::shared_ptr<Conventions>& convs);
+    void setMporConventions(const std::string& xml);
+    void setMporConventionsFromFile(const std::string& fileName);
+    void setIborFallbackConfig(const std::string& xml);
     void setIborFallbackConfig(const std::string& xml);
     void setIborFallbackConfigFromFile(const std::string& fileName);
     void setCurveConfigs(const std::string& xml, std::string id = std::string());
diff --git a/OREAnalytics/orea/app/analytics/pnlexplainanalytic.cpp b/OREAnalytics/orea/app/analytics/pnlexplainanalytic.cpp
@@ -135,7 +135,7 @@ void PnlExplainAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::da
             t0SimMarket->scenarioGenerator() = sgen;
 
             // use difference scenarios for par sensi pnl explain
-            zeroScenarios->setGenerateDifferenceScenarios(t0SimMarket->useSpreadedTermStructures());
+            zeroScenarios->setGenerateDifferenceScenarios(true);
             
             QL_REQUIRE(parSensiAnalysis, "Par Sensi Analysis required");
             auto parScenarios = QuantLib::ext::make_shared<ZeroToParScenarioGenerator>(zeroScenarios, t0SimMarket,
diff --git a/OREAnalytics/orea/app/inputparameters.cpp b/OREAnalytics/orea/app/inputparameters.cpp
@@ -169,6 +169,18 @@ void InputParameters::setConventionsFromFile(const std::string& fileName) {
     InstrumentConventions::instance().setConventions(conventions_);
 }
 
+void InputParameters::setMporConventions(const std::string& xml) {
+    mporConventions_ = QuantLib::ext::make_shared<Conventions>();
+    mporConventions_->fromXMLString(xml);
+    InstrumentConventions::instance().setConventions(mporConventions_, mporDate());
+}
+
+void InputParameters::setMporConventionsFromFile(const std::string& fileName) {
+    mporConventions_ = QuantLib::ext::make_shared<Conventions>();
+    mporConventions_->fromFile(fileName);
+    InstrumentConventions::instance().setConventions(mporConventions_, mporDate());
+}
+
 void InputParameters::setCurveConfigs(const std::string& xml, std::string id) {
     auto curveConfig = QuantLib::ext::make_shared<CurveConfigurations>();
     curveConfig->fromXMLString(xml);
diff --git a/OREAnalytics/orea/app/inputparameters.hpp b/OREAnalytics/orea/app/inputparameters.hpp
@@ -134,6 +134,7 @@ class InputParameters {
     void setBuildFailedTrades(bool b) { buildFailedTrades_ = b; }
     void setObservationModel(const std::string& s) { observationModel_ = s; }
     void setImplyTodaysFixings(bool b) { implyTodaysFixings_ = b; }
+    void setFixingCutOffDate(Date d) { fixingCutOffDate_ = d; }
     void setUseAtParCouponsCurves(bool b) { useAtParCouponsCurves_ = b; }
     void setUseAtParCouponsTrades(bool b) { useAtParCouponsTrades_ = b; }
     void setEnrichIndexFixings(bool b) { enrichIndexFixings_ = b; }
@@ -153,6 +154,8 @@ class InputParameters {
     void setConventions(const std::string& xml);
     void setConventions(const QuantLib::ext::shared_ptr<Conventions>& convs);
     void setConventionsFromFile(const std::string& fileName);
+    void setMporConventions(const std::string& xml);
+    void setMporConventionsFromFile(const std::string& fileName);
     void setIborFallbackConfig(const std::string& xml);
     void setIborFallbackConfigFromFile(const std::string& fileName);
     void setBaselTrafficLightConfig(const std::string& xml);
@@ -613,6 +616,7 @@ class InputParameters {
     bool buildFailedTrades() const { return buildFailedTrades_; }
     const std::string& observationModel() const { return observationModel_; }
     bool implyTodaysFixings() const { return implyTodaysFixings_; }
+    Date fixingCutOffDate() const { return fixingCutOffDate_; }
     bool useAtParCouponsCurves() const { return useAtParCouponsCurves_; }
     bool useAtParCouponsTrades() const { return useAtParCouponsTrades_; }
     bool enrichIndexFixings() const { return enrichIndexFixings_; }
@@ -622,6 +626,7 @@ class InputParameters {
     const std::string& marketConfig(const std::string& context);
     const QuantLib::ext::shared_ptr<ore::data::BasicReferenceDataManager>& refDataManager() const { return refDataManager_; }
     const QuantLib::ext::shared_ptr<ore::data::Conventions>& conventions() const { return conventions_; }
+    const QuantLib::ext::shared_ptr<ore::data::Conventions>& mporConventions() const { return mporConventions_; }
     const QuantLib::ext::shared_ptr<ore::data::IborFallbackConfig>& iborFallbackConfig() const { return iborFallbackConfig_; }
     const QuantLib::ext::shared_ptr<ore::data::BaselTrafficLightData>& baselTrafficLightConfig() const { return baselTrafficLightConfig_; }
     
@@ -1106,6 +1111,7 @@ class InputParameters {
     bool buildFailedTrades_ = true;
     std::string observationModel_ = "None";
     bool implyTodaysFixings_ = false;
+    Date fixingCutOffDate_;
     bool useAtParCouponsCurves_ = true;
     bool useAtParCouponsTrades_ = true;
     bool enrichIndexFixings_ = false;
@@ -1119,7 +1125,7 @@ class InputParameters {
     std::map<std::string, std::string> marketConfigs_;
     QuantLib::ext::shared_ptr<ore::data::BasicReferenceDataManager> refDataManager_;
     QuantLib::ext::shared_ptr<ore::data::BaselTrafficLightData> baselTrafficLightConfig_;
-    QuantLib::ext::shared_ptr<ore::data::Conventions> conventions_;
+    QuantLib::ext::shared_ptr<ore::data::Conventions> conventions_, mporConventions_;
     QuantLib::ext::shared_ptr<ore::data::IborFallbackConfig> iborFallbackConfig_;
     CurveConfigurationsManager curveConfigs_;
     QuantLib::ext::shared_ptr<ore::data::CalendarAdjustmentConfig> calendarAdjustment_;
diff --git a/OREAnalytics/orea/app/marketdatainmemoryloader.cpp b/OREAnalytics/orea/app/marketdatainmemoryloader.cpp
@@ -36,7 +36,7 @@ void MarketDataInMemoryLoaderImpl::retrieveMarketData(
     const Date& relabelDate) {        
 
     if (inputs_->entireMarket()) {
-        loadDataFromBuffers(*loader, marketData_, std::vector<std::string>(), inputs_->implyTodaysFixings());
+        loadDataFromBuffers(*loader, marketData_, std::vector<std::string>(), inputs_->implyTodaysFixings(), inputs_->fixingCutOffDate());
     } else {
         QL_FAIL("MarketDataInMemoryLoaderImpl::retrieveMarketData() requires inputs_->entireMarket()");
     }
@@ -47,7 +47,8 @@ void MarketDataInMemoryLoaderImpl::retrieveFixings(const QuantLib::ext::shared_p
         map<pair<string, Date>, set<Date>> lastAvailableFixingLookupMap) {
     
     if (inputs_->allFixings()) {
-        loadDataFromBuffers(*loader, std::vector<std::string>(), fixingData_, inputs_->implyTodaysFixings());
+        loadDataFromBuffers(*loader, std::vector<std::string>(), fixingData_, inputs_->implyTodaysFixings(),
+                            inputs_->fixingCutOffDate());
     } else {
         QL_FAIL("MarketDataInMemoryLoaderImpl::retrieveFixings() requires inputs_->allFixings()");
     }
diff --git a/OREAnalytics/orea/app/oreapp.cpp b/OREAnalytics/orea/app/oreapp.cpp
@@ -413,6 +413,8 @@ void OREApp::initFromInputs() {
     // Initialise Singletons
     Settings::instance().evaluationDate() = inputs_->asof();
     InstrumentConventions::instance().setConventions(inputs_->conventions());
+    if (inputs_->mporConventions() && inputs_->mporDate() != Date())
+        InstrumentConventions::instance().setConventions(inputs_->mporConventions(), inputs_->mporDate());
 
     if (inputs_->currencyConfigs() != nullptr)
         inputs_->currencyConfigs()->addCurrencies();
@@ -754,6 +756,10 @@ void OREAppInputParameters::loadParameters() {
     if (tmp != "")
         setImplyTodaysFixings(ore::data::parseBool(tmp));
 
+    tmp = params_->get("setup", "fixingCutOffDate", false);
+    if (tmp != "")
+        setFixingCutOffDate(ore::data::parseDate(tmp));
+
     tmp = params_->get("setup", "useAtParCouponsCurves", false);
     if (tmp != "")
         setUseAtParCouponsCurves(ore::data::parseBool(tmp));
diff --git a/OREAnalytics/orea/scenario/historicalscenariogenerator.hpp b/OREAnalytics/orea/scenario/historicalscenariogenerator.hpp
@@ -100,7 +100,7 @@ class HistoricalScenarioGenerator : public ScenarioGenerator {
         const QuantLib::ext::shared_ptr<ore::data::AdjustmentFactors>& adjFactors = nullptr,
         //! string prepended to label of all scenarios generated
         const std::string& labelPrefix = "",
-        //! indicates if the generated sceanrios will be absolute or difference
+        //! indicates if the generated scenarios will be absolute or difference
         const bool generateDifferenceScenarios = false);
 
     //! Set base scenario, this also defines the asof date
diff --git a/OREAnalytics/orea/scenario/scenarioutilities.cpp b/OREAnalytics/orea/scenario/scenarioutilities.cpp
@@ -188,10 +188,11 @@ QuantLib::ext::shared_ptr<Scenario> getDifferenceScenario(const QuantLib::ext::s
 QuantLib::ext::shared_ptr<Scenario> addDifferenceToScenario(const QuantLib::ext::shared_ptr<Scenario>& s,
                                                             const QuantLib::ext::shared_ptr<Scenario>& d,
                                                             const QuantLib::Date& targetScenarioAsOf,
-                                                            const QuantLib::Real targetScenarioNumeraire) {
+                                                            const QuantLib::Real targetScenarioNumeraire,
+                                                            const bool allowAdditionalKeysInD) {
 
     QL_REQUIRE(!d->isAbsolute(), "addDifferenceToScenario(): second argument must be difference scenario");
-    QL_REQUIRE(checkKeyDifferences(s, d, false),
+    QL_REQUIRE(checkKeyDifferences(s, d, allowAdditionalKeysInD),
                "addDifferenceToScenario(): scenario key sets are not compatible. Check log for details.");
 
     QuantLib::Date asof = targetScenarioAsOf;
diff --git a/OREAnalytics/orea/scenario/scenarioutilities.hpp b/OREAnalytics/orea/scenario/scenarioutilities.hpp
@@ -46,7 +46,8 @@ QuantLib::Real addDifferenceToScenario(const RiskFactorKey::KeyType keyType, con
 QuantLib::ext::shared_ptr<Scenario> addDifferenceToScenario(const QuantLib::ext::shared_ptr<Scenario>& s,
                                                             const QuantLib::ext::shared_ptr<Scenario>& d,
                                                             const QuantLib::Date& targetScenarioAsOf = QuantLib::Date(),
-                                                            const QuantLib::Real targetScenarioNumeraire = 0.0);
+                                                            const QuantLib::Real targetScenarioNumeraire = 0.0,
+                                                            const bool allowAdditionalKeysInD = false);
 
 QuantLib::ext::shared_ptr<Scenario>
 recastScenario(const QuantLib::ext::shared_ptr<Scenario>& scenario,
diff --git a/OREAnalytics/orea/scenario/zerotoparscenariogenerator.cpp b/OREAnalytics/orea/scenario/zerotoparscenariogenerator.cpp
@@ -20,6 +20,7 @@
 #include <orea/scenario/scenarioutilities.hpp>
 #include <orea/scenario/simplescenario.hpp>
 #include <orea/scenario/simplescenariofactory.hpp>
+#include <orea/engine/parsensitivityanalysis.hpp>
 
 using namespace QuantLib;
 
@@ -33,32 +34,50 @@ ZeroToParScenarioGenerator::ZeroToParScenarioGenerator(
     : HistoricalScenarioGenerator(hsg->scenarioLoader(), hsg->scenarioFactory(), hsg->returnConfiguration(),
                                   hsg->adjFactors(), hsg->labelPrefix(), hsg->generateDifferenceScenarios()) {
 
-    baseScenario_ = hsg->baseScenario();
+    auto bs = hsg->baseScenario();
     shiftConverter_ = QuantLib::ext::make_shared<ZeroToParShiftConverter>(parInstruments, simMarket);
     auto baseValues = shiftConverter_->baseValues();
     
-    // build a base par scenario off the zero base scenario, and update with the calculated par rates
-    baseParScenario_ = baseScenario_->clone();
+    // build a base and base par scenario off the zero base scenario, and update with the calculated par rates
+    // base scenario must be the minimum of the simulation (hsg baseScenario) and sensitivity configuration
+
+    baseScenario_ = QuantLib::ext::make_shared<SimpleScenario>(bs->asof(), bs->label(), bs->getNumeraire());
+    baseParScenario_ = QuantLib::ext::make_shared<SimpleScenario>(bs->asof(), bs->label(), bs->getNumeraire());
     baseParScenario_->setPar(true);
-    for (const auto& kv : baseValues)
-        baseParScenario_->add(kv.first, kv.second);
+    for (auto& k : bs->keys()) {
+        auto bv = bs->get(k);
+        if (ParSensitivityAnalysis::isParType(k.keytype)) {
+            auto it = baseValues.find(k);
+            if (it != baseValues.end()) {
+                // found in par rates
+                baseScenario_->add(k, bv);
+                baseParScenario_->add(k, it->second);
+            }
+        } else {
+            baseScenario_->add(k, bv);
+            baseParScenario_->add(k, bv);
+        }
+    }
 }
 
 QuantLib::ext::shared_ptr<Scenario> ZeroToParScenarioGenerator::next(const Date& d) {
     auto zeroScenario = HistoricalScenarioGenerator::next(d);
 
     // create a par scenario to hold the par shifts
     QuantLib::ext::shared_ptr<Scenario> parScenario =
-        addDifferenceToScenario(baseScenario_, zeroScenario, d, baseScenario_->getNumeraire());
+        addDifferenceToScenario(baseScenario_, zeroScenario, d, baseScenario_->getNumeraire(), true);
     parScenario->setPar(true);
+    parScenario->label(to_string(d));
 
     // get the par shifts and update the par scenario
     auto parShifts = shiftConverter_->parShifts(zeroScenario);
     auto baseRates = shiftConverter_->baseValues();
 
     for (const auto& kv : parShifts) {
-        auto base = baseRates[kv.first];
-        parScenario->add(kv.first, base + kv.second);
+        if (baseScenario_->has(kv.first)) {
+            auto base = baseRates[kv.first];
+            parScenario->add(kv.first, base + kv.second);
+        }
     }
 
     return parScenario;
diff --git a/OREData/ored/marketdata/csvloader.hpp b/OREData/ored/marketdata/csvloader.hpp
@@ -49,17 +49,17 @@ class CSVLoader : public Loader {
         const string& fixingFilename,
         //! Enable/disable implying today's fixings
         bool implyTodaysFixings = false,
-	//! Load fixings up to this date
-	Date fixingCutOffDate = Date());
+        //! Load fixings up to this date
+        Date fixingCutOffDate = Date());
 
     CSVLoader( //! Quote file name
         const vector<string>& marketFiles,
         //! Fixing file name
         const vector<string>& fixingFiles,
         //! Enable/disable implying today's fixings
         bool implyTodaysFixings = false,
-	//! Load fixings up to this date
-	Date fixingCutOffDate = Date());
+        //! Load fixings up to this date
+        Date fixingCutOffDate = Date());
 
     CSVLoader( //! Quote file name
         const string& marketFilename,
@@ -69,8 +69,8 @@ class CSVLoader : public Loader {
         const string& dividendFilename,
         //! Enable/disable implying today's fixings
         bool implyTodaysFixings = false,
-	//! Load fixings up to this date
-	Date fixingCutOffDate = Date());
+        //! Load fixings up to this date
+        Date fixingCutOffDate = Date());
 
     CSVLoader( //! Quote file name
         const vector<string>& marketFiles,
@@ -80,8 +80,8 @@ class CSVLoader : public Loader {
         const vector<string>& dividendFiles,
         //! Enable/disable implying today's fixings
         bool implyTodaysFixings = false,
-	//! Load fixings up to this date
-	Date fixingCutOffDate = Date());
+        //! Load fixings up to this date
+        Date fixingCutOffDate = Date());
 
     std::vector<QuantLib::ext::shared_ptr<MarketDatum>> loadQuotes(const QuantLib::Date&) const override;
 
diff --git a/OREData/ored/marketdata/inmemoryloader.cpp b/OREData/ored/marketdata/inmemoryloader.cpp
@@ -193,7 +193,8 @@ template <class Archive> void InMemoryLoader::serialize(Archive& ar, const unsig
 template void InMemoryLoader::serialize(boost::archive::binary_oarchive& ar, const unsigned int version);
 template void InMemoryLoader::serialize(boost::archive::binary_iarchive& ar, const unsigned int version);
 
-void load(InMemoryLoader& loader, const vector<string>& data, bool isMarket, bool implyTodaysFixings) {
+void load(InMemoryLoader& loader, const vector<string>& data, bool isMarket, bool implyTodaysFixings,
+          Date fixingCutOffDate) {
     LOG("MemoryLoader started");
 
     Date today = QuantLib::Settings::instance().evaluationDate();
@@ -223,7 +224,8 @@ void load(InMemoryLoader& loader, const vector<string>& data, bool isMarket, boo
                 }
             } else {
                 // process fixings
-                if (date < today || (date == today && !implyTodaysFixings))
+                if (date < today || (date == today && !implyTodaysFixings) ||
+                    (fixingCutOffDate != Date() && date <= fixingCutOffDate))
                     loader.addFixing(date, key, value);
             }
         }
@@ -239,9 +241,9 @@ std::set<QuantLib::Date> InMemoryLoader::asofDates() const {
 }
 
 void loadDataFromBuffers(InMemoryLoader& loader, const std::vector<std::string>& marketData,
-                         const std::vector<std::string>& fixingData, bool implyTodaysFixings) {
-    load(loader, marketData, true, implyTodaysFixings);
-    load(loader, fixingData, false, implyTodaysFixings);
+                         const std::vector<std::string>& fixingData, bool implyTodaysFixings, Date fixingCutOffDate) {
+    load(loader, marketData, true, implyTodaysFixings, fixingCutOffDate);
+    load(loader, fixingData, false, implyTodaysFixings, fixingCutOffDate);
 }
 
 } // namespace data
diff --git a/OREData/ored/marketdata/inmemoryloader.hpp b/OREData/ored/marketdata/inmemoryloader.hpp
@@ -77,7 +77,9 @@ void loadDataFromBuffers(
     //! QuantLib::Date Index Fixing in a single std::string, separated by blanks, tabs, colons or commas
     const std::vector<std::string>& fixingData,
     //! Enable/disable implying today's fixings
-    bool implyTodaysFixings = false);
+    bool implyTodaysFixings = false,
+    //! load fixings up to this date
+    QuantLib::Date fixingCutOffDate = QuantLib::Date());
 
 } // namespace data
 } // namespace ore
