QPR-12561 add inverted fx spot as required quote

rolandlichters · jenkins · commit 20d2e68bdb2d · 2024-06-12T07:11:53.000Z
diff --git a/OREData/ored/configuration/curveconfigurations.cpp b/OREData/ored/configuration/curveconfigurations.cpp
@@ -235,8 +235,8 @@ std::set<string> CurveConfigurations::quotes(const QuantLib::ext::shared_ptr<Tod
             if (spec->baseType() == CurveSpec::CurveType::FX) {
                 QuantLib::ext::shared_ptr<FXSpotSpec> fxss = QuantLib::ext::dynamic_pointer_cast<FXSpotSpec>(spec);
                 QL_REQUIRE(fxss, "Expected an FXSpotSpec but did not get one");
-                string strQuote = "FX/RATE/" + fxss->unitCcy() + "/" + fxss->ccy();
-                quotes.insert(strQuote);
+                quotes.insert("FX/RATE/" + fxss->unitCcy() + "/" + fxss->ccy());
+                quotes.insert("FX/RATE/" + fxss->ccy() + "/" + fxss->unitCcy());
             }
         }
     }
diff --git a/OREData/ored/configuration/yieldcurveconfig.cpp b/OREData/ored/configuration/yieldcurveconfig.cpp
@@ -235,8 +235,15 @@ const vector<string>& YieldCurveConfig::quotes() {
             // Check if the segment is a CrossCcyYieldCurveSegment and add the FX spot rate to the
             // set of quotes needed for the YieldCurveConfig if it has not already been added.
             if (auto xccySegment = QuantLib::ext::dynamic_pointer_cast<CrossCcyYieldCurveSegment>(c)) {
-                if (!addedFxSpot)
+                if (!addedFxSpot) {
                     quotes_.push_back(xccySegment->spotRateID());
+                    // we add the inverted pair as well, because the original pair might get removed from the market
+                    // data loader if both are present in the input market data
+                    if (auto md = boost::dynamic_pointer_cast<FXSpotQuote>(
+                            parseMarketDatum(Date(), xccySegment->spotRateID(), 1.0))) {
+                        quotes_.push_back("FX/RATE/" + md->ccy() + "/" + md->unitCcy());
+                    }
+                }
             }
         }
     }
diff --git a/OREData/test/input/curveconfig/expected_quotes_all.csv b/OREData/test/input/curveconfig/expected_quotes_all.csv
@@ -25,6 +25,7 @@ IR_SWAP/RATE/EUR/2D/6M/10Y
 FXFWD/RATE/EUR/USD/3M
 FXFWD/RATE/EUR/USD/6M
 FX/RATE/EUR/USD
+FX/RATE/USD/EUR
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y
 MM/RATE/GBP/0D/1D
@@ -41,6 +42,7 @@ BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/5Y
 BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/10Y
 FXFWD/RATE/GBP/USD/6M
 FX/RATE/GBP/USD
+FX/RATE/USD/GBP
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/2Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/10Y
diff --git a/OREData/test/input/curveconfig/expected_quotes_only_ir.csv b/OREData/test/input/curveconfig/expected_quotes_only_ir.csv
@@ -25,6 +25,7 @@ IR_SWAP/RATE/EUR/2D/6M/10Y
 FXFWD/RATE/EUR/USD/3M
 FXFWD/RATE/EUR/USD/6M
 FX/RATE/EUR/USD
+FX/RATE/USD/EUR
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y
 MM/RATE/GBP/0D/1D
@@ -41,6 +42,7 @@ BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/5Y
 BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/10Y
 FXFWD/RATE/GBP/USD/6M
 FX/RATE/GBP/USD
+FX/RATE/USD/GBP
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/2Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/10Y
diff --git a/OREData/test/input/curveconfig/expected_quotes_tmp_multiple.csv b/OREData/test/input/curveconfig/expected_quotes_tmp_multiple.csv
@@ -27,3 +27,4 @@ FXFWD/RATE/EUR/USD/6M
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y
 FX/RATE/EUR/USD
+FX/RATE/USD/EUR
diff --git a/OREData/test/input/curveconfig/expected_quotes_with_fx_vol_atm.csv b/OREData/test/input/curveconfig/expected_quotes_with_fx_vol_atm.csv
@@ -25,6 +25,7 @@ IR_SWAP/RATE/EUR/2D/6M/10Y
 FXFWD/RATE/EUR/USD/3M
 FXFWD/RATE/EUR/USD/6M
 FX/RATE/EUR/USD
+FX/RATE/USD/EUR
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y
 MM/RATE/GBP/0D/1D
@@ -41,6 +42,7 @@ BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/5Y
 BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/10Y
 FXFWD/RATE/GBP/USD/6M
 FX/RATE/GBP/USD
+FX/RATE/USD/GBP
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/2Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/10Y
diff --git a/OREData/test/input/curveconfig/expected_quotes_with_fx_vol_smile.csv b/OREData/test/input/curveconfig/expected_quotes_with_fx_vol_smile.csv
@@ -25,6 +25,7 @@ IR_SWAP/RATE/EUR/2D/6M/10Y
 FXFWD/RATE/EUR/USD/3M
 FXFWD/RATE/EUR/USD/6M
 FX/RATE/EUR/USD
+FX/RATE/USD/EUR
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y
 MM/RATE/GBP/0D/1D
@@ -41,6 +42,7 @@ BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/5Y
 BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/10Y
 FXFWD/RATE/GBP/USD/6M
 FX/RATE/GBP/USD
+FX/RATE/USD/GBP
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/2Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/10Y
diff --git a/OREData/test/input/curveconfig/expected_quotes_with_fx_vol_smile_delta.csv b/OREData/test/input/curveconfig/expected_quotes_with_fx_vol_smile_delta.csv
@@ -25,6 +25,7 @@ IR_SWAP/RATE/EUR/2D/6M/10Y
 FXFWD/RATE/EUR/USD/3M
 FXFWD/RATE/EUR/USD/6M
 FX/RATE/EUR/USD
+FX/RATE/USD/EUR
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y
 MM/RATE/GBP/0D/1D
@@ -41,6 +42,7 @@ BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/5Y
 BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/10Y
 FXFWD/RATE/GBP/USD/6M
 FX/RATE/GBP/USD
+FX/RATE/USD/GBP
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/2Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/5Y
 CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/10Y

Original file line number	Diff line number	Diff line change
`@@ -235,8 +235,8 @@ std::set<string> CurveConfigurations::quotes(const QuantLib::ext::shared_ptr<Tod`
`235`	`235`	`if (spec->baseType() == CurveSpec::CurveType::FX) {`
`236`	`236`	`QuantLib::ext::shared_ptr<FXSpotSpec> fxss = QuantLib::ext::dynamic_pointer_cast<FXSpotSpec>(spec);`
`237`	`237`	`QL_REQUIRE(fxss, "Expected an FXSpotSpec but did not get one");`
`238`		`- string strQuote = "FX/RATE/" + fxss->unitCcy() + "/" + fxss->ccy();`
`239`		`- quotes.insert(strQuote);`
	`238`	`+ quotes.insert("FX/RATE/" + fxss->unitCcy() + "/" + fxss->ccy());`
	`239`	`+ quotes.insert("FX/RATE/" + fxss->ccy() + "/" + fxss->unitCcy());`
`240`	`240`	`}`
`241`	`241`	`}`
`242`	`242`	`}`
Original file line number	Diff line number	Diff line change
`@@ -235,8 +235,15 @@ const vector<string>& YieldCurveConfig::quotes() {`
`235`	`235`	`// Check if the segment is a CrossCcyYieldCurveSegment and add the FX spot rate to the`
`236`	`236`	`// set of quotes needed for the YieldCurveConfig if it has not already been added.`
`237`	`237`	`if (auto xccySegment = QuantLib::ext::dynamic_pointer_cast<CrossCcyYieldCurveSegment>(c)) {`
`238`		`- if (!addedFxSpot)`
	`238`	`+ if (!addedFxSpot) {`
`239`	`239`	`quotes_.push_back(xccySegment->spotRateID());`
	`240`	`+ // we add the inverted pair as well, because the original pair might get removed from the market`
	`241`	`+ // data loader if both are present in the input market data`
	`242`	`+ if (auto md = boost::dynamic_pointer_cast<FXSpotQuote>(`
	`243`	`+ parseMarketDatum(Date(), xccySegment->spotRateID(), 1.0))) {`
	`244`	`+ quotes_.push_back("FX/RATE/" + md->ccy() + "/" + md->unitCcy());`
	`245`	`+ }`
	`246`	`+ }`
`240`	`247`	`}`
`241`	`248`	`}`
`242`	`249`	`}`