OpenSourceRisk
diff --git a/‎Docker/Dockerfile-ORE-Dependencies‎
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Lines changed: 16 additions & 1 deletion
diff --git a/‎Docker/Dockerfile-Test‎
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diff --git a/‎Docker/Dockerfile-Wheels-Boost‎
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diff --git a/‎Docker/Dockerfile-Wheels-CIBW‎
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diff --git a/‎Docker/Dockerfile-Wheels-ORE‎
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diff --git a/‎Docs/AMC/amc.tex‎
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diff --git a/‎Docs/BondPricingConfig/bondpricingconfig.tex‎
Lines changed: 4 additions & 4 deletions b/‎Docs/BondPricingConfig/bondpricingconfig.tex‎
Lines changed: 4 additions & 4 deletions
diff --git a/‎Docs/CodingStandards/ore_coding_standards.tex‎
Lines changed: 4 additions & 4 deletions b/‎Docs/CodingStandards/ore_coding_standards.tex‎
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diff --git a/‎Docs/CommodityModel/CommodityModel.tex‎
Lines changed: 1 addition & 1 deletion b/‎Docs/CommodityModel/CommodityModel.tex‎
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diff --git a/‎Docs/ComputeEnvironment/computeenvironment.tex‎
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@@ -23,8 +23,23 @@ RUN apt-get update \
     swig \
     lld \
     python3-dev \
+    python3-pip \
+    python3-venv \
+    curl \
     -o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/* \
   && mv /usr/bin/ld /usr/bin/ld.backup \
-  && ln -s /usr/bin/lld /usr/bin/ld
+  && ln -s /usr/bin/lld /usr/bin/ld
+
+RUN \
+curl -sSL https://get.docker.com -o install-docker.sh && \
+sh install-docker.sh --version 28
+
+RUN python3 -m venv /venv
+ENV PATH="/venv/bin:$PATH"
+
+RUN \
+pip3 install cibuildwheel==3.2.1 && \
+rm -rf ~/.cache/pip
+
@@ -4,20 +4,27 @@ FROM ${DOCKER_REPO}debian:${DEBIAN_TAG}
 
 RUN apt-get update \
   && DEBIAN_FRONTEND=noninteractive apt-get install -y --no-install-recommends \  
-  ca-certificates dos2unix python3 python3-pip python3-venv python3-dev libxml2-utils xsltproc \
+  ca-certificates dos2unix gnupg python3 python3-pip python3-venv python3-dev libxml2-utils xsltproc curl git \
   -o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
   && update-ca-certificates \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/*
 
+RUN sh -c 'curl -fsSL https://download.docker.com/linux/debian/gpg | gpg --dearmor -o /usr/share/keyrings/docker-archive-keyring.gpg' \
+  && sh -c 'echo "deb [arch=$(dpkg --print-architecture) signed-by=/usr/share/keyrings/docker-archive-keyring.gpg] https://download.docker.com/linux/debian bullseye stable" | tee /etc/apt/sources.list.d/docker.list > /dev/null' \
+  && apt-get update \
+  && apt-get install -f -y docker-ce-cli \ 
+  -o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
+  && apt-get clean \
+  && rm -rf /var/lib/apt/lists/*
 
 # Create and activate virtual environment
 RUN python3 -m venv /venv
 ENV PATH="/venv/bin:$PATH"
 
 # Install Python packages inside the virtual environment
 RUN pip3 install  --break-system-packages \
-    matplotlib pandas pytest pytest-xdist pytest-timeout datacompy jsondiff lxml xmldiff jupyter xmldiff numpy scipy ipywidgets papermill \
+    matplotlib pandas pytest pytest-xdist pytest-timeout pytest-rerunfailures datacompy jsondiff lxml jupyter xmldiff numpy scipy ipywidgets papermill python-dotenv requests xmlschema clang-format openpyxl \
     && rm -rf ~/.cache/pip
 
 CMD bash 
@@ -0,0 +1,11 @@
+
+ARG WHEEL_IMG
+FROM ${WHEEL_IMG}
+
+RUN \
+curl -O -L https://archives.boost.io/release/1.83.0/source/boost_1_83_0.tar.gz && \
+tar xfz boost_1_83_0.tar.gz && \
+cd boost_1_83_0 && \
+./bootstrap.sh --with-libraries=date_time,filesystem,iostreams,log,regex,serialization,system,thread,timer && \
+./b2 install
+
@@ -0,0 +1,18 @@
+
+FROM ${DOCKER_REPO}ore-build-dependencies:${ORE_BUILD_VERSION}
+
+ARG WHEEL_ARCH
+ARG WHEEL_IMAGE
+
+ENV PATH="/venv/bin:$PATH"
+
+ENV CIBW_BUILD="cp310-manylinux_${WHEEL_ARCH} cp312-manylinux_${WHEEL_ARCH}"
+ENV CIBW_MANYLINUX_X86_64_IMAGE=${WHEEL_IMAGE}
+ENV CIBW_MANYLINUX_AARCH64_IMAGE=${WHEEL_IMAGE}
+ENV CIBW_BEFORE_BUILD="chmod +x ORE-SWIG/Wheels-gitlab/before_all_linux.sh && ORE-SWIG/Wheels-gitlab/before_all_linux.sh"
+
+WORKDIR /builds/qs/oreplus/ore
+RUN cibuildwheel --output-dir wheelhouse ORE-SWIG
+
+COPY wheelhouse /wheelhouse
+
@@ -0,0 +1,35 @@
+
+ARG WHEEL_IMG
+FROM ${WHEEL_IMG}
+
+ARG CMAKE_BUILD_TYPE=Release
+ARG NUM_CORES=16
+
+COPY CMakeLists.txt /ore/CMakeLists.txt
+COPY QuantLib /ore/QuantLib
+COPY QuantExt /ore/QuantExt
+COPY OREData /ore/OREData
+COPY OREAnalytics /ore/OREAnalytics
+COPY ThirdPartyLibs /ore/ThirdPartyLibs
+COPY cmake /ore/cmake
+
+RUN \
+dnf -y install clang && \
+dnf -y install ccache && \
+dnf -y install ninja-build
+
+ENV PATH="/usr/lib/ccache:$PATH"
+ENV CCACHE_DIR="/ccache"
+ENV CCACHE_MAXSIZE="10G"
+
+WORKDIR /ore
+RUN \
+mkdir build && \
+cd build && \
+cmake .. -GNinja -DCMAKE_BUILD_TYPE=${CMAKE_BUILD_TYPE} -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -DCMAKE_C_COMPILER=/usr/bin/clang -DCMAKE_CXX_COMPILER=/usr/bin/clang++ -DCMAKE_CXX_FLAGS="-D BOOST_ENABLE_ASSERT_HANDLER $([ "$(uname -m)" = "x86_64" ] && echo "-mavx2")" -DCMAKE_POSITION_INDEPENDENT_CODE=ON -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_TEST_SUITE=OFF -DQL_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DQL_ENABLE_SESSIONS=ON -DORE_BUILD_APP=OFF -DORE_BUILD_DOC=OFF -DORE_BUILD_EXAMPLES=OFF -DORE_BUILD_SWIG=OFF -DORE_BUILD_TESTS=OFF -DORE_ENABLE_OPENCL=OFF -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_PYTHON_INTEGRATION=OFF
+
+WORKDIR /ore/build
+RUN --mount=type=cache,target=/ccache/ ccache -z && \
+cmake --build . -- -j ${NUM_CORES} install && \
+ccache -s
+
@@ -191,7 +191,7 @@ \section{Overview}\label{overview}
 evolution model driving the XVA simulation, the scenario NPVs in the classic approach are in general not consistent in
 this sense unless the market scenarios are fully implied by the cross asset model. Here ``fully implied'' means that not
 only rate curves, but also market volatility and correlation term structures like FX volatility surfaces, swaption
-volatilties or CMS correlation term structures as well as other parmeters used by the single trade pricers have to be
+volatilities or CMS correlation term structures as well as other parameters used by the single trade pricers have to be
 deduced from the cross asset model, e.g. the mean reversion of the Hull White 1F model and a sutaible model volatility
 feeding into a Bermudan swaption pricer.
 
@@ -613,7 +613,7 @@ \subsection{Multi Leg Options / MC pricing engine}
 \item \verb+IrCalibrationStrategy+ can be \verb+None+, \verb+CoterminalATM+, \verb+UnderlyingATM+
 \item \verb+FXCalibration+ can be \verb+None+ or \verb+Bootstrap+
 \item \verb+ExtrapolateFxVolatility+ can be \verb+true+ or \verb+false+; if false, no calibration instruments are used
-  that require extrapolation of the market fx volatilty surface in option expiry direction
+  that require extrapolation of the market fx volatility surface in option expiry direction
 \item \verb+Corr_Key1_Key2+: These entries describe the cross asset model correlations to be used; the syntax for
   \verb+Key1+ and \verb+Key2+ is the same as in the simulation configuration for the cross asset model, see \cite{oreug}.
 \end{enumerate}
 
@@ -143,7 +143,7 @@ \section{Overview}\label{overview}
 
 \begin{itemize}
 \item ReferenceCurve: a rate curve determining the baseline discounting curve for bond valuation.
-\item CreditCurve [optional]: a credit curve determining the default probabilty during the lifetime of a bond. This can
+\item CreditCurve [optional]: a credit curve determining the default probability during the lifetime of a bond. This can
   e.g. be
 \begin{itemize}
 \item a CDS curve of the same issuer and seniority as the bond to proxy the credit risk
@@ -154,7 +154,7 @@ \section{Overview}\label{overview}
 \end{itemize}
 In all cases, the security spread can be used to represent additional credit / liquidity risk, see below.
 \item SecuritySpread [optional]: a single additional discounting spread. This can generally be interpreted as part of
-  the credit risk (generating additional default probabilty) or as part of the baseline discounting (liquidity
+  the credit risk (generating additional default probability) or as part of the baseline discounting (liquidity
   spread). Assumed to be zero if not given. Exception: If a price quote is given and the security spread is configured
   in the security curve config, but no market data is given for the security spread, the security spread is implied from
   the price quote.
@@ -216,7 +216,7 @@ \subsection{Credit Curve Config}
 The credit curve represents the survival probability entering the bond pricing. It also provides a recovery rate that is
 used as a fallback if the recovery rate from the security curve config is not available.
 
-The curve config can either be explicitly set up or ore can auto-generate it. Listing
+The curve config can either be explicitly set up or ORE can auto-generate it. Listing
 \ref{lst:autogen_default_curve_config} shows an auto-generated config for the bond from section \ref{refdata}:
 
 \begin{itemize}
@@ -257,7 +257,7 @@ \subsection{Security Curve Config}
 
 The security curve config points to additional market data used for bond pricing.
 
-It can be explicitly set up or ore can auto-generate it. Listing \ref{lst:autogen_security_curve_config} shows an
+It can be explicitly set up or ORE can auto-generate it. Listing \ref{lst:autogen_security_curve_config} shows an
 auto-generated config for the bond from section \ref{refdata}:
 
 \begin{itemize}
 
@@ -165,7 +165,7 @@ \section*{git usage - pull requests}
 \textbf{Optional:} \texttt{\% git push bob bob\_widget}
 \item Once the coding task in complete, developer pushes the branch to the origin repo. Care should be taken not to push to origin/master.\\
  \texttt{\% git push origin bob\_widget}
- \item Then go to codebasehq.com \url{https://qrm.codebasehq.com/projects/openxva/repositories/openxva/tree/master} and click on "Merge Request" and then "New Merge Request" with the following details:
+ \item Then go to codebasehq.com \url{https://qrm.codebasehq.com/projects/openxva/repositories/openxva/tree/master} and click on ``Merge Request'' and then ``New Merge Request'' with the following details:
  \begin{itemize}
  \item \textbf{Subject} A short description
  \item \textbf{User} The merge manager (currently Niall O'Sullivan)
@@ -182,9 +182,9 @@ \section*{git usage - pull requests}
 
 The git workflow for the merge manager is as follows
 \begin{enumerate}
-\item Note that everyone who has a codebase account can preform these tasks, currently there is one designated manager who may delegate.
+\item Note that everyone who has a codebase account can perform these tasks, currently there is one designated manager who may delegate.
 \item go to merge requests in codebase
-\item if there are no conflicts, click on "merge request"
+\item if there are no conflicts, click on ``merge request''
 \item if there are conflicts, send it back to the developer
 \item Once the request has been merged, the temporary branch should be deleted. This is not strictly necessary but means origin is kept cleaner and avoids conflicts.\\
  \texttt{\% git push -{}-delete origin bob\_widget}
@@ -219,7 +219,7 @@ \subsection*{Policy on personal github accounts}
 This policy statement does not supersede your employment contract.
 
 \subsection*{Policy on opensourcerisk.org forum accounts}
-Quaternion developers are permitted and encouraged to create a forum account and engage with the community. As we are representing Quaternion on the forum you should indicate this in your profile somehow, one example of this is to use the Quaternion "Q" logo as an avatar. There are no strict posting rules on the forum however if your account is associated with Quaternion it is expected that all posts and messages are formal and polite.
+Quaternion developers are permitted and encouraged to create a forum account and engage with the community. As we are representing Quaternion on the forum you should indicate this in your profile somehow, one example of this is to use the Quaternion ``Q'' logo as an avatar. There are no strict posting rules on the forum however if your account is associated with Quaternion it is expected that all posts and messages are formal and polite.
 
 %-------------------------------------------------------------------------------
 \section*{ORE and ORE+ code layout}
 
@@ -72,7 +72,7 @@ \section{One Factor Model}
 %%%%%%%%%%%%%%%%%%%%%%%%%%%%
 \subsection{Time Dependent Multiplier}
 %%%%%%%%%%%%%%%%%%%%%%%%%%%%
-Seasonality is observed in the market for both commodity future price curves and option volatilities. To incorporate the seasonality in the modelling a time dependent multiplier is introduced in the literature. Andersen \cite{Andersen} suggests\footnote{See section 7.2 in Andersen \cite{Andersen} for the discussion on dependence of seasonality adjustment to calendar days and expiry of future contracts.} that the time dependent variable depends on the maturity of the futures contract. By following this approach, we define it in the one factor case\footnote{Andersen worked on a two factor set up, where the first factor affects the short-end of the futures curve and has the form the $e^{b(T)}$, and the second factor has an additional term containing $e^{a(T)}h_{\infty}$ for long futures maturities.} as follows
+Seasonality is observed in the market for both commodity future price curves and option volatilities. To incorporate the seasonality in the modelling a time dependent multiplier is introduced in the literature. Andersen \cite{Andersen} suggests\footnote{See section 7.2 in Andersen \cite{Andersen} for the discussion on dependence of seasonality adjustment to calendar days and expiry of future contracts.} that the time dependent variable depends on the maturity of the futures contract. By following this approach, we define it in the one factor case\footnote{Andersen worked on a two factor set up, where the first factor affects the short-end of the futures curve and has the form $e^{b(T)}$, and the second factor has an additional term containing $e^{a(T)}h_{\infty}$ for long futures maturities.} as follows
 %
 $$
 m_i(T) = e^{b_i(T)} 
 
@@ -455,7 +455,7 @@ \subsection{Populating the input variates}
 
 where \verb+k+ loops over the dimensions (e.g. number of assets) and \verb+j+ loops over the time steps and \verb+rv+ is
 a vector of vectors storing the indices of the required random variates by dimensions and time steps. The external
-random variable contructor used in this case is
+random variable constructor used in this case is
 
 \begin{minted}[fontsize=\footnotesize]{xml}
 ExternalRandomVariable::ExternalRandomVariable(std::size_t id)
@@ -650,7 +650,7 @@ \subsection{Variable management}
 \begin{itemize}
 \item input variables: {\tt x[offset + i]}, with x a buffer in the global address space
 \item input variates: {\tt r[offset + i]}, with r a buffer in the global address space
-\item intermediate variables: {\tt b[offset + i]}, with b a buffer in the global address space. It is refered to as the
+\item intermediate variables: {\tt b[offset + i]}, with b a buffer in the global address space. It is referred to as the
   values buffer. Note that this buffer also contains conditional expectation arguments and results and all output
   variables.
 \end{itemize}
Original file line number	Diff line number	Diff line change
`@@ -72,7 +72,7 @@ \section{One Factor Model}`
`72`	`72`	`%%%%%%%%%%%%%%%%%%%%%%%%%%%%`
`73`	`73`	`\subsection{Time Dependent Multiplier}`
`74`	`74`	`%%%%%%%%%%%%%%%%%%%%%%%%%%%%`
`75`		-Seasonality is observed in the market for both commodity future price curves and option volatilities. To incorporate the seasonality in the modelling a time dependent multiplier is introduced in the literature. Andersen \cite{Andersen} suggests\footnote{See section 7.2 in Andersen \cite{Andersen} for the discussion on dependence of seasonality adjustment to calendar days and expiry of future contracts.} that the time dependent variable depends on the maturity of the futures contract. By following this approach, we define it in the one factor case\footnote{Andersen worked on a two factor set up, where the first factor affects the short-end of the futures curve and has the form the $e^{b(T)}$, and the second factor has an additional term containing $e^{a(T)}h_{\infty}$ for long futures maturities.} as follows
	`75`	+Seasonality is observed in the market for both commodity future price curves and option volatilities. To incorporate the seasonality in the modelling a time dependent multiplier is introduced in the literature. Andersen \cite{Andersen} suggests\footnote{See section 7.2 in Andersen \cite{Andersen} for the discussion on dependence of seasonality adjustment to calendar days and expiry of future contracts.} that the time dependent variable depends on the maturity of the futures contract. By following this approach, we define it in the one factor case\footnote{Andersen worked on a two factor set up, where the first factor affects the short-end of the futures curve and has the form $e^{b(T)}$, and the second factor has an additional term containing $e^{a(T)}h_{\infty}$ for long futures maturities.} as follows
`76`	`76`	`%`
`77`	`77`	`$$`
`78`	`78`	`m_i(T) = e^{b_i(T)}`