QPR-9859 bugfix close out grid and dategrid

Author: mgroncki

OREAnalytics/orea/engine/valuationengine.cpp

@@ -357,10 +357,11 @@ std::pair<double, double> ValuationEngine::populateCube(
         simMarket_->updateDate(d);
     }
     // We can skip this step, if we have done that above in the close-out date section
-    if (!scenarioUpdated)
+    if (!scenarioUpdated){
         simMarket_->updateScenario(d);
+    }
     // Always with fixing update here, in contrast to the close-out date section
-    simMarket_->postUpdate(d, true);
+    simMarket_->postUpdate(d, !isStickyDate || isValueDate);
     // Aggregation scenario data update on valuation dates only
     if (isValueDate) {
         simMarket_->updateAsd(d);
@@ -371,12 +372,12 @@ std::pair<double, double> ValuationEngine::populateCube(
     updateTime += timer.elapsed().wall * 1e-9;
 
     timer.start();
-    if (isStickyDate) // switch on again, if sticky
+    if (isStickyDate && !isValueDate) // switch on again, if sticky
         tradeExercisable(false, trades);
     // loop over trades
     runCalculators(!isValueDate, trades, tradeHasError, calculators, outputCube, outputCubeNettingSet, d, cubeDateIndex,
                    sample, simMarket_->label());
-    if (isStickyDate) // switch on again, if sticky
+    if (isStickyDate && !isValueDate) // switch on again, if sticky
         tradeExercisable(true, trades);
     // loop over counterparty names
     if (isValueDate) {

OREData/ored/utilities/dategrid.cpp

@@ -219,38 +219,32 @@ void DateGrid::addCloseOutDates(const QuantLib::Period& p) {
             }
         }
     } else {
-        std::vector<Date> tmpDates;
-        std::vector<bool> tmpIsCloseOutDate, tmpIsValuationDate;
+        std::set<QuantLib::Date> tmpDates;
+        std::set<QuantLib::Date> tmpValueDates;
         for (Size i = 0; i < dates_.size(); ++i) {
             Date c;
             if (p.units() == Days)
                 c = calendar_.adjust(dates_[i] + p);
             else
                 c = calendar_.advance(dates_[i], p, Following, false);
             closeOutDates_[c] = dates_[i];
-            if (i < dates_.size() - 1) {
-                // adjust the grid to ensure no overlap in valuation and closeout dates
-                if (c >= dates_[i + 1]) {
-                    dates_[i + 1] = calendar_.advance(c, QuantLib::Period(1, QuantLib::Days));
-                    // check that the grid is still monotonic
-                    if ((i + 2) < dates_.size()) {
-                        QL_REQUIRE(dates_[i + 1] < dates_[i + 2],
-                                   "date grid is no longer monotonic: " << dates_[i + 1] << ", " << dates_[i + 2]);
-                    }
-                }
-                QL_REQUIRE(c < dates_[i + 1],
-                           "close out date " << c << " does not lie before next grid date " << dates_[i + 1]);
+            tmpDates.insert(dates_[i]);
+            tmpDates.insert(c);
+            tmpValueDates.insert(dates_[i]);
+        }
+        dates_.clear();
+        dates_.assign(tmpDates.begin(), tmpDates.end());
+        isCloseOutDate_ = std::vector<bool>(dates_.size(), false);
+        isValuationDate_ = std::vector<bool>(dates_.size(), true);
+        for(size_t i = 0; i < dates_.size(); ++i){
+            Date d = dates_[i];
+            if(closeOutDates_.count(d) == 1){
+                isCloseOutDate_[i] = true;
+            }
+            if(tmpValueDates.count(d) == 0){
+                isValuationDate_[i] = false;
             }
-            tmpDates.push_back(dates_[i]);
-            tmpDates.push_back(c);
-            tmpIsCloseOutDate.push_back(false);
-            tmpIsCloseOutDate.push_back(true);
-            tmpIsValuationDate.push_back(true);
-            tmpIsValuationDate.push_back(false);
         }
-        dates_ = tmpDates;
-        isCloseOutDate_ = tmpIsCloseOutDate;
-        isValuationDate_ = tmpIsValuationDate;
         // FIXME ... (is that needed anywhere ?)
         tenors_ = std::vector<QuantLib::Period>(dates_.size(), 0 * Days);
         times_.resize(dates_.size());