Merge branch 'master' into 'master'

update

See merge request qs/ore-github!13

Author: pcaspers

Docs/AMC/amc.tex

@@ -14,7 +14,15 @@ \subsubsection{Barrier Data}
     FxTouchOptionData & \emph{American} \\
     FxDoubleTouchOptionData & \emph{American} \\
     FxDoubleBarrierOptionData & \emph{American} \\
-    FxKIKOBarrierOptionData & \emph{American}
+    FxKIKOBarrierOptionData & \emph{American} \\
+    FxTaRFData & \emph{European} \\
+    FxAccumulatorData & \emph{European, American} \\
+    EquityTaRFData & \emph{European} \\
+    EquityAccumulatorData & \emph{European, American} \\
+    CommodityAccumulatorData & \emph{European, American} \\
+    FxGenericBarrierOption & \emph{American} \\
+    EquityGenericBarrierOption & \emph{American} \\
+    CommodityGenericBarrierOption & \emph{American}
 \end{tabular}
   \caption{Supported barrier styles per trade data container}
   \label{tab:barrierstyles}
@@ -92,6 +100,9 @@ \subsubsection{Barrier Data}
   \item FxDigitalBarrierOptionData
   \item FxDoubleBarrierOptionData
   \item FxEuropeanBarrierOptionData
+  \item FxGenericBarrierOptionData
+  \item EquityGenericBarrierOptionData
+  \item CommodityGenericBarrierOptionData
 \end{itemize}
 
  only. If defined for several ``in'' barriers, the amounts must be identical across all barrier definitions (because the
@@ -101,12 +112,24 @@ \subsubsection{Barrier Data}
 Allowable values:  Any positive real number. Defaults to zero if omitted. Cannot be left blank.
 
 \item RebateCurrency [Optional]: The currency in which the rebate amount is paid. Defaults to the natural pay currency
-  of the trade.
+  of the trade. Deviating currencies are supported by the following trade types only:
+
+  \begin{itemize}
+  \item FxGenericBarrierOptionData
+  \item EquityGenericBarrierOptionData
+  \item CommodityGenericBarrierOptionData
+  \end{itemize}
 
   Allowable Values: See Table \ref{tab:currency} \lstinline!Currency!.
 
 \item RebatePayTime [Optional]: For ``in'' barriers only atExpiry is allowed. For ``out'' barriers, both atExpiry and
-  atHit is possible. If not given, defaults to ``atExpiry''. 
+  atHit is possible. If not given, defaults to ``atExpiry''. This field is only supported by the following trade types:
+
+  \begin{itemize}
+  \item FxGenericBarrierOptionData
+  \item EquityGenericBarrierOptionData
+  \item CommodityGenericBarrierOptionData
+  \end{itemize}
 
   Allowable Values: \emph{atExpiry}, \emph{atHit}
 

Docs/AMC/epe_ccyswap.pdf

@@ -52,7 +52,7 @@ \subsubsection{Leg Data and Notionals}
 
 Allowable values:  See Table \ref{tab:currency} \lstinline!Currency!. When \lstinline!LegType! is \emph{Equity}, Minor Currencies in Table \ref{tab:currency} are also allowable.
 
-\item PaymentCalendar [Optional]: The payment calendar of the leg coupons. The \lstinline!PaymentCalendar! is used in conjuction with the \lstinline!PaymentConvention! and the \lstinline!PaymentLag! to determine the payments dates, unless the \lstinline!PaymentDates! node is used which defines the payment dates explicitly.
+\item PaymentCalendar [Optional]: The payment calendar of the leg coupons. The \lstinline!PaymentCalendar! is used in conjunction with the \lstinline!PaymentConvention! and the \lstinline!PaymentLag! to determine the payments dates, unless the \lstinline!PaymentDates! node is used which defines the payment dates explicitly.
 
 Allowable values: See Table \ref{tab:calendar} \lstinline!Calendar!. If left blank or omitted, defaults to the calendar in the \lstinline!ScheduleData! node, unless \lstinline!LegType! is \emph{Floating} and \lstinline!Index! is OIS, in which case this defaults to the index calendar. 
 
@@ -62,7 +62,7 @@ \subsubsection{Leg Data and Notionals}
 
 Allowable values: See Table \ref{tab:convention}.
 
-\item PaymentLag [optional]: The payment lag applies to Fixed legs, Equity legs, and Floating legs with Ibor and OIS indices (but not to BMA/SIFMA indices). \\
+\item PaymentLag [optional]: The payment lag applies to Fixed legs, Equity legs, and Floating legs with Ibor and OIS indices (but not to BMA/SIFMA indices), as well as CPI legs and Zero Coupon Fixed legs. \\
 PaymentLag is also not supported for CapFloor Floating legs that have Ibor coupons with sub periods (HasSubPeriods = \emph{true}), nor for CapFloor Floating legs with averaged ON coupons (IsAveraged = \emph{true}).
 
 Allowable values: Any valid period, i.e. a non-negative whole number, optionally followed by \emph{D} (days), \emph{W} (weeks), \emph{M} (months),

Docs/AMC/epe_fxoption.pdf

@@ -194,7 +194,7 @@ void RegressionDynamicInitialMarginCalculator::build() {
             Size mporCalendarDays = cubeInterpretation_->getMporCalendarDays(cube_, j);
             Real horizonScaling = sqrt(1.0 * horizonCalendarDays_ / mporCalendarDays);
 
-            Real stdevDiff = sqrt(variance(accDiff));
+            Real stdevDiff = sqrt(boost::accumulators::variance(accDiff));
             Real E_OneOverNumeraire =
                 mean(accOneOverNumeraire); // "re-discount" (the stdev is calculated on non-discounted deltaNPVs)
 
@@ -388,7 +388,7 @@ map<string, Real> RegressionDynamicInitialMarginCalculator::unscaledCurrentDIM()
             acc_OneOverNum(1.0 / numeraire);
         }
         Real E_OneOverNumeraire = mean(acc_OneOverNum);
-        Real variance_t0 = variance(acc_delMtm);
+        Real variance_t0 = boost::accumulators::variance(acc_delMtm);
         Real sqrt_t0 = sqrt(variance_t0);
         t0dimReg[key] = (sqrt_t0 * confidenceLevel * E_OneOverNumeraire);
         std::sort(t0_delMtM_dist.begin(), t0_delMtM_dist.end());