git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "fc959f082c"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "f0bbabc5b6"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

.github/workflows/build_windows.yaml

@@ -3,6 +3,8 @@ name: C/C++ CI Windows
 on:
   push:
     branches: [master]
+  release:
+   types: [published]
   pull_request:
     branches: [master]
     types: [ready_for_review, opened, synchronize, reopened]
@@ -23,14 +25,23 @@ jobs:
   build:
     name: building
     runs-on: windows-2022
+    strategy:
+      matrix:
+        include:
+          - arch: x86
+            platform: Win32
+            boost-lib: 32
+          - arch: AMD64
+            platform: x64
+            boost-lib: 64
     steps:
     - uses: actions/checkout@v3
     - name: get QuantLib
       run: |
         git submodule update --init
     - name: Set up Boost
       run: |
-        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-64.exe"
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-${{ matrix.boost-lib }}.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$env:TEMP\boost.exe")
         Start-Process -Wait -FilePath "$env:TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
         choco install -y ninja
@@ -41,6 +52,12 @@ jobs:
       run: |
         mkdir build
         cd build
-        call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" amd64 -vcvars_ver=14.3 || exit 1
+        call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" ${{ matrix.arch }} -vcvars_ver=14.3 || exit 1
         cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
         cmake --build . -j 2 --verbose
+    - name: Save executables as artifacts
+      #if: startsWith(github.ref, 'refs/tags/v')
+      uses: actions/upload-artifact@v3
+      with:
+        name: ore-windows-${{ matrix.arch }}
+        path: D:\a\Engine\Engine\build\App\ore.exe

.github/workflows/linux_build.yaml

@@ -3,6 +3,8 @@ name: C/C++ CI Ubuntu
 on:
   push:
     branches: [master]
+  release:
+   types: [published]
   pull_request:
     branches: [master]
     types: [ready_for_review, opened, synchronize, reopened]
@@ -33,6 +35,12 @@ jobs:
         sudo apt update
         sudo apt install -y libboost-all-dev libboost-test-dev ninja-build
     - name: cmake configure
-      run : mkdir build; cd build; cmake -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -G "Ninja" ..
+      run : mkdir build; cd build; cmake -DCMAKE_BUILD_TYPE=Release -DBUILD_SHARED_LIBS=false -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -G "Ninja" ..
     - name: cmake build
       run: cd build/; pwd; cmake --build . -j $(nproc)
+    - name: Save executables as artifacts
+      if: startsWith(github.ref, 'refs/tags/v')
+      uses: actions/upload-artifact@v3
+      with:
+        name: ore-exe-linux
+        path: /home/runner/work/Engine/Engine/build/App/ore

.github/workflows/macos_ARM64_build.yaml

@@ -0,0 +1,51 @@
+name: C/C++ MacOS
+
+on:
+  push:
+    branches: [master]
+  release:
+   types: [published]
+  pull_request:
+    branches: [master]
+    types: [ready_for_review, opened, synchronize, reopened]
+    paths:
+      - .github/workflows/macos_ARM64_build.yaml
+      - ./App/**
+      - ./OREAnalytics/**
+      - '!./OREAnalytics/doc/**'
+      - ./OREData/**
+      - '!./OREData/doc/**'
+      - ./ORETest/**
+      - ./QuantExt/**
+      - '!./QuantExt/doc/**'
+      - CMakeLists.txt
+  workflow_dispatch:
+
+jobs:
+  build:
+    runs-on: macos-11
+    steps:
+    - uses: actions/checkout@v3
+    - name: get QuantLib
+      run: |
+        git submodule update --init
+    - name: Install Boost
+      run: |
+        curl -O -L https://boostorg.jfrog.io/artifactory/main/release/1.80.0/source/boost_1_80_0.tar.gz
+        tar xfz boost_1_80_0.tar.gz
+        cd boost_1_80_0
+        ./bootstrap.sh
+        ./b2 architecture=arm address-model=64 -s NO_LZMA=1 -s NO_ZSTD=1 abi=aapcs install
+    - name: cmake configure and build
+      run: |
+        mkdir build
+        cd build
+        cmake .. -DCMAKE_OSX_ARCHITECTURES=arm64 -DORE_USE_ZLIB=ON -DBUILD_SHARED_LIBS=false -DORE_BUILD_DOC=OFF -DORE_BUILD_EXAMPLES=OFF -DORE_BUILD_TESTS=OFF -DORE_BUILD_APP=ON -DQL_BUILD_BENCHMARK=OFF -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_TEST_SUITE=OFF -DQL_ENABLE_SESSIONS=ON -DCMAKE_BUILD_TYPE=Release ..
+        cmake --build . -j4
+        cmake --install .
+    - name: Save executables as artifacts
+      if: startsWith(github.ref, 'refs/tags/v')
+      uses: actions/upload-artifact@v3
+      with:
+        name: ore-macos-arm64
+        path: /Users/runner/work/Engine/Engine/build/App/ore

.gitignore

@@ -321,3 +321,4 @@ Examples/**/pricingstats.csv
 *fdb_latexmk
 *.fls
 
+.gitmodules

Docs/ScriptedTrade/docs/index.tex

@@ -61,7 +61,7 @@
 general the equity name can be represented using the string representation {IdentifierType}:{Name}:{Currency}:{Exchange}
 for the underlying. \\
 For additional information on the fx index format see \ref{tab:fxindex_data}. \\
-For additional information on the commondity names see \ref{tab:commodity_data}.
+For additional information on the commodity names see \ref{tab:commodity_data}.
 \fi
 
 Within the scripting framework there are additional ways to reference commodity indices in a more dynamical fashion:
@@ -76,7 +76,7 @@
 \begin{itemize}
 \item a variable of the form \verb+COMM-{Name}#N+, the index will be resolved to the $N+1$th future with expiry greater than
   ObservationDate for the given commodity underlying, $N\geq0$. The parameter $N$ corresponds to the field
-  \verb+FutureMonthOffset+ commonly used in coomodity trade xml schemas
+  \verb+FutureMonthOffset+ commonly used in commodity trade xml schemas
 \item the above form can take one or two additional parameters \verb+COMM-{Name}#N#D+ or \verb+COMM-{Name}#N#D#{Cal}+ where
   $D$ corresponds to \verb+DeliveryRollDays+ and \verb+Cal+ is the calendar used to roll the observation date forward
   before the next future expiry is looked up. If \verb+Cal+ is not given, it defaults to the null calendar (no

Docs/UserGuide/conventions.tex

@@ -984,14 +984,14 @@ \subsubsection{Commodity Future Conventions}
 \item \lstinline!IsAveraging! [Optional]: The allowable values are \lstinline!true! and \lstinline!false!. This node indicates if the future contract is based on the average commodity price of the contract period. If omitted, it defaults to \lstinline!false!.
 \item \lstinline!OptionExpiryOffset! [Optional]: The number of business days that the option expiry date is before the future expiry date. Any non-negative integer is allowed here. If omitted, this takes a default value of zero and the expiry date of an option on the future contract is assumed to equal the expiry date of the future contract.
 \item \lstinline!ProhibitedExpiries! [Optional]: This node can be used to specify explicit dates which are not allowed as future contract expiry dates or as option expiry dates. A useful example of this is the ICE Brent contract which has the following constraint on expiry dates: \emph{If the day on which trading is due to cease would be either: (i) the Business Day preceding Christmas Day, or (ii) the Business Day preceding New Year’s Day, then trading shall cease on the next preceding Business Day}. Each \lstinline!Date! node can take optional attributes. The default values of these attributes is shown in Listing \ref{lst:commodity_future_conventions}. The \lstinline!convention! attribute accepts a valid business day convention in the list \lstinline!Preceding!, \lstinline!ModifiedPreceding!, \lstinline!Following! and \lstinline!ModifiedFollowing!. This \lstinline!convention! indicates how the future expiry date should be adjusted if it lands on the prohibited expiry \lstinline!Date!. If omitted, the default is \lstinline!Preceding!. Both \lstinline!Preceding! and \lstinline!ModifiedPreceding! indicate that the next available business day before the date is tested. \lstinline!Following! and \lstinline!ModifiedFollowing! indicate that the next available business day after the date is tested. The \lstinline!optionConvention! attribute allows the same values and behaves in the same way to determine how the option expiry date should be adjusted if it lands on the prohibited expiry \lstinline!Date!. The \lstinline!forFuture! and \lstinline!forOption! boolean attributes enable the prohibited expiry to apply only for the future expiry date or the option expiry date respectively by setting the value to \lstinline!false!.
-\item \lstinline!OptionExpiryMonthLag! [Optional]: The allowable values are any integer. This value indicates the number of months from the month containing the option expiry date to the month containing the expiry date. If 0, the commodity future option contract expiry date is anchored in the same month as the commodity future contract expiry date. If the value of \lstinline!OptionExpiryMonthLag! is $n > 0$, the commodity option future contract expires in the $n$-th month prior to the commodity future contract expiry month. If the value of \lstinline!OptionExpiryMonthLag! is $n < 0$, the commodity option future contract expires in the $n$-th month after the the commodity future contract expiry month. The value of \lstinline!OptionExpiryMonthLag! should be equal to \lstinline!ExpiryMonthLag! when \lstinline!OptionExpiryOffset! is used. The \lstinline!OptionExpiryMonthLag! is rarely used. An example is the Crude Palm Oil contract \lstinline!XKLS:FCPO! where the future contract expiry is in the delivery month and the option expiry is in the month that is 2 months prior to this. In this case, \lstinline!OptionExpiryMonthLag! is 2. If omitted, \lstinline!OptionExpiryMonthLag! defaults to 0.
+\item \lstinline!OptionExpiryMonthLag! [Optional]: The allowable values are any integer. This value indicates the number of months from the month containing the option expiry date to the month containing the expiry date. If 0, the commodity future option contract expiry date is anchored in the same month as the commodity future contract expiry date. If the value of \lstinline!OptionExpiryMonthLag! is $n > 0$, the commodity option future contract expires in the $n$-th month prior to the commodity future contract expiry month. If the value of \lstinline!OptionExpiryMonthLag! is $n < 0$, the commodity option future contract expires in the $n$-th month after the commodity future contract expiry month. The value of \lstinline!OptionExpiryMonthLag! should be equal to \lstinline!ExpiryMonthLag! when \lstinline!OptionExpiryOffset! is used. The \lstinline!OptionExpiryMonthLag! is rarely used. An example is the Crude Palm Oil contract \lstinline!XKLS:FCPO! where the future contract expiry is in the delivery month and the option expiry is in the month that is 2 months prior to this. In this case, \lstinline!OptionExpiryMonthLag! is 2. If omitted, \lstinline!OptionExpiryMonthLag! defaults to 0.
 \item \lstinline!OptionExpiryDay! [Optional]: This node can contain any integer in the range $1,\ldots,31$ indicating the day of the month on which an option expiry date is anchored. A value of 31 will guarantee that the last day in the month is used a base date. If omitted, this is not used. Setting this field takes precedence over \lstinline!OptionExpiryOffset!.\item \lstinline!OptionBusinessDayConvention! [Optional]: The business day convention used to adjust the option expiry date to a good business day if \lstinline!OptionExpiryDay! is used.
 \item \lstinline!OptionContractFrequency! [Optional]: This node indicates the frequency of the commodity future options if it differs from the frequency of the underlying future contract. The value here is usually \lstinline!Monthly!
 \item \lstinline!OptionNthWeekday! [Optional]: This node has the elements shown in Listing \ref{lst:nth_weekday_node}. This node is used to indicate a date in a given month in the form of the n-th named weekday of that month e.g. 3rd Wednesday. The allowable values for \lstinline!Nth! are ${1,2,3,4}$. The \lstinline!Weekday! node takes a weekday in the form of the first three characters of the weekday with the first character capitalised.
 \item \lstinline!OptionBusinessDayConvention! [Optional]: The business day convention used to adjust the option expiry date to a good business day if \lstinline!OptionExpiryDay! is used.
 \item \lstinline!OptionExpiryLastWeekdayOfMonth! [Optional]: This node is used to indicate a date in a given month in the form of the last named weekday of that month e.g. last Wednesday. The node takes a weekday in the form of the first three characters of the weekday with the first character capitalised.
 \item \lstinline!OptionExpiryWeeklyDayOfTheWeek! [Optional]: This node is used to indicate a date in a given week in the form of the named weekday, e.g. Wednesday. The node takes a weekday in the form of the first three characters of the weekday with the first character capitalised. This node is mandatory for weekly expiring options. The node is not allowed to use with any other option contract frequency.
-\item \lstinline!OptionUnderlyingFutureConvention! [Optional]: Sometimes the next contract expiry, as specified in the convention, is not the correct option underlying. For example the base metals options expiries on the 1st Wedenesday of the contract month, and during the first 3 months there are daily future contracts available. The option underlying is not the future contract which matures on the option expiry but the one which matures on the 3rd Wednesday of the month. This field is referencing to an commodity future convention which specifies the correct expiry date for the underlying contract.
+\item \lstinline!OptionUnderlyingFutureConvention! [Optional]: Sometimes the next contract expiry, as specified in the convention, is not the correct option underlying. For example the base metals options expiries on the 1st Wednesday of the contract month, and during the first 3 months there are daily future contracts available. The option underlying is not the future contract which matures on the option expiry but the one which matures on the 3rd Wednesday of the month. This field is referencing to an commodity future convention which specifies the correct expiry date for the underlying contract.
 \item \lstinline!FutureContinuationMappings! [Optional]: When building future curves, we may use market data that has a continuation expiry, i.e. \lstinline!c1!, \lstinline!c2!, etc. , as opposed to an explicit expiry date or tenor. In some cases, the continuation expiries coming from the market data provider may skip serial months and therefore we use the mapping here to map from the market data provider index to the relevant serial month.
 \item \lstinline!OptionContinuationMappings! [Optional]: When building option volatility structures, we may use market data that has a continuation expiry, i.e. \lstinline!c1!, \lstinline!c2!, etc. , as opposed to an explicit expiry date or tenor. In some cases, the continuation expiries coming from the market data provider may skip serial months and therefore we use the mapping here to map from the market data provider index to the relevant serial month. For example, for the Crude Palm Oil contract \lstinline!XKLS:FCPO!, the option expiry months are serial up to the 9th month and then alternate months. So, we would add a mapping from 10 to 11, 11 to 13 and so on so that the correct option expiry is arrived at when reading the market data quotes and constructing the option volatility structure.
 \item \lstinline!AveragingData! [Optional]: This node is needed for future contracts that are used in a piecewise commodity curve \lstinline!PriceSegment! and whose underlying is the average of other future prices or spot prices over a given period. An example is the ICE PMI power contract with contract specifications outlined \href{https://www.theice.com/products/6590369/PJM-Western-Hub-Real-Time-Peak-1-MW-Fixed-Price-Future}{here}. It is described in detail below.

Docs/UserGuide/parameterisation/ore.tex

@@ -55,7 +55,7 @@ \subsubsection{Setup}
 
 Parameter {\tt logMask} determines the verbosity of log file output. Log messages are 
 internally labelled as Alert, Critical, Error, Warning, Notice, Debug, associated with logMask values 1, 2, 4, 8, ..., 64. 
-The logMask allows filtering subsets of these categories and controlling the verbosity of log file output\footnote{by bitwise comparison of the the external logMask value with each message's log level}. LogMask 255 ensures maximum verbosity. \\
+The logMask allows filtering subsets of these categories and controlling the verbosity of log file output\footnote{by bitwise comparison of the external logMask value with each message's log level}. LogMask 255 ensures maximum verbosity. \\
 
 When ORE starts, it will initialise today's market, i.e. load market data, fixings and dividends, and build all term
 structures as specified in {\tt todaysmarket.xml}.  Moreover, ORE will load the trades in {\tt portfolio.xml} and link

Docs/UserGuide/tradecomponents/commodityfloatingleg.tex

@@ -143,7 +143,7 @@ \subsubsection{Commodity Floating Leg Data}
     \begin{itemize}
     \item \emph{PerCalculationPeriod}: This indicates that quantitie(s) as given are for the full calculation period and that no multiplication or alteration is required. This is the default setting if this node is omitted.
     \item  \emph{PerPricingDay}: This indicates that the quantitie(s) are to be considered per pricing date. In general, this can be seen on averaging contracts where the quantity provided must be multiplied by the number of pricing dates in the averaging period to give the quantity applicable for the full calculation period i.e.\ the quantity to which the average price over the period is applied.
-    \item \emph{PerHour}: This indicates that quantitie(s) are to be considered per hour. This is common in the electricity markets. The quantity then must be multiplied by the hours per day to give the quantity for a given pricing date. Also, if the contract is averaging, the resulting daily amount is multiplied by the number of pricing dates in the period to give the quantity for the full calculation period. Note that the hours per day may be specified in the the \lstinline!HoursPerDay! node directly. If it is omitted, it is looked up in the conventions associated with the commodity. If it is not found there and \emph{PerHour} is used, an exception is thrown during trade building.
+    \item \emph{PerHour}: This indicates that quantitie(s) are to be considered per hour. This is common in the electricity markets. The quantity then must be multiplied by the hours per day to give the quantity for a given pricing date. Also, if the contract is averaging, the resulting daily amount is multiplied by the number of pricing dates in the period to give the quantity for the full calculation period. Note that the hours per day may be specified in the \lstinline!HoursPerDay! node directly. If it is omitted, it is looked up in the conventions associated with the commodity. If it is not found there and \emph{PerHour} is used, an exception is thrown during trade building.
     \item \emph{PerCalendarDay}: This indicates that quantitie(s) are to be considered per calendar day in the period. In other words, the quantity provided is multiplied by the number of calendar days in the period to give the quantity applicable for the full calculation period. 
     \item \emph{PerHourAndCalendarDay}: This indicates that quantitie(s) are to be considered per hour and per calendar day in the period. In other words, the quantity provided is multiplied by the number of calendar days and number of hours per day in the period to give the quantity applicable for the full calculation period. The number of hours per period is corrected by daylight saving hours as specified in the conventions of the commodity.
     \end{itemize}