Merge branch 'master' of gitlab.acadiasoft.net:qs/oreplus into QPR-12376

Author: pcaspers

OREAnalytics/orea/CMakeLists.txt

@@ -95,6 +95,7 @@ scenario/scenariogeneratortransform.cpp
 scenario/scenarioshiftcalculator.cpp
 scenario/scenariosimmarket.cpp
 scenario/scenariosimmarketparameters.cpp
+scenario/scenarioutilities.cpp
 scenario/scenariowriter.cpp
 scenario/sensitivityscenariodata.cpp
 scenario/sensitivityscenariogenerator.cpp
@@ -255,6 +256,7 @@ scenario/scenariogeneratortransform.hpp
 scenario/scenarioshiftcalculator.hpp
 scenario/scenariosimmarket.hpp
 scenario/scenariosimmarketparameters.hpp
+scenario/scenarioutilities.hpp
 scenario/scenariowriter.hpp
 scenario/sensitivityscenariodata.hpp
 scenario/sensitivityscenariogenerator.hpp

OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp

@@ -66,7 +66,7 @@ void ScenarioStatisticsAnalyticImpl::buildScenarioGenerator(const bool continueO
     if (!model_)
         buildCrossAssetModel(continueOnCalibrationError);
     ScenarioGeneratorBuilder sgb(analytic()->configurations().scenarioGeneratorData);
-    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>();
+    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>(true);
     string config = inputs_->marketConfig("simulation");
     scenarioGenerator_ = sgb.build(model_, sf, analytic()->configurations().simMarketParams, inputs_->asof(), analytic()->market(), config); 
     QL_REQUIRE(scenarioGenerator_, "failed to build the scenario generator"); 

OREAnalytics/orea/app/analytics/xvaanalytic.cpp

@@ -136,7 +136,7 @@ void XvaAnalyticImpl::buildScenarioGenerator(const bool continueOnCalibrationErr
     if (!model_)
         buildCrossAssetModel(continueOnCalibrationError);
     ScenarioGeneratorBuilder sgb(analytic()->configurations().scenarioGeneratorData);
-    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>();
+    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>(true);
     string config = inputs_->marketConfig("simulation");
     scenarioGenerator_ = sgb.build(model_, sf, analytic()->configurations().simMarketParams, inputs_->asof(), analytic()->market(), config); 
     QL_REQUIRE(scenarioGenerator_, "failed to build the scenario generator"); 

OREAnalytics/orea/app/inputparameters.cpp

@@ -387,8 +387,8 @@ void InputParameters::setHistoricalScenarioReader(const std::string& fileName) {
     QL_REQUIRE(exists(baseScenarioPath), "The provided base scenario file, " << baseScenarioPath << ", does not exist");
     QL_REQUIRE(is_regular_file(baseScenarioPath),
                "The provided base scenario file, " << baseScenarioPath << ", is not a file");
-    historicalScenarioReader_ =
-        QuantLib::ext::make_shared<HistoricalScenarioFileReader>(fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>());
+    historicalScenarioReader_ = QuantLib::ext::make_shared<HistoricalScenarioFileReader>(
+        fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>(false));
 }
 
 void InputParameters::setAmcTradeTypes(const std::string& s) {

OREAnalytics/orea/app/xvarunner.cpp

@@ -133,7 +133,7 @@ void XvaRunner::buildSimMarket(const QuantLib::ext::shared_ptr<ore::data::Market
         projectedSsmData = simMarketData_;
     }
 
-    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>();
+    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>(true);
     QuantLib::ext::shared_ptr<ScenarioGenerator> sg =
         getProjectedScenarioGenerator(currencyFilter, market, projectedSsmData, sf, continueOnErr);
     simMarket_ = QuantLib::ext::make_shared<ScenarioSimMarket>(market, projectedSsmData, Market::defaultConfiguration,

OREAnalytics/orea/orea.hpp

@@ -114,6 +114,7 @@
 #include <orea/scenario/scenarioshiftcalculator.hpp>
 #include <orea/scenario/scenariosimmarket.hpp>
 #include <orea/scenario/scenariosimmarketparameters.hpp>
+#include <orea/scenario/scenarioutilities.hpp>
 #include <orea/scenario/scenariowriter.hpp>
 #include <orea/scenario/sensitivityscenariodata.hpp>
 #include <orea/scenario/sensitivityscenariogenerator.hpp>

OREAnalytics/orea/scenario/clonescenariofactory.cpp

@@ -28,15 +28,16 @@ CloneScenarioFactory::CloneScenarioFactory(const QuantLib::ext::shared_ptr<Scena
     QL_REQUIRE(baseScenario_ != NULL, "base scenario pointer must not be NULL");
 }
 
-const QuantLib::ext::shared_ptr<Scenario> CloneScenarioFactory::buildScenario(Date asof, const std::string& label,
-                                                                      Real numeraire) const {
+const QuantLib::ext::shared_ptr<Scenario>
+CloneScenarioFactory::buildScenario(Date asof, bool isAbsolute, const std::string& label, Real numeraire) const {
     QuantLib::ext::shared_ptr<Scenario> newScen = baseScenario_->clone();
     QL_REQUIRE(asof == newScen->asof(),
                "unexpected asof date (" << asof << "), does not match base - " << baseScenario_->asof());
     newScen->label(label);
     QL_REQUIRE((label == newScen->label()) || (label == ""), "CloneScenarioFactory has not updated scenario label");
     if (numeraire != 0.0)
         newScen->setNumeraire(numeraire);
+    newScen->setAbsolute(isAbsolute);
     return newScen;
 }
 } // namespace analytics

OREAnalytics/orea/scenario/clonescenariofactory.hpp

@@ -36,8 +36,8 @@ class CloneScenarioFactory : public ScenarioFactory {
     //! Constructor
     CloneScenarioFactory(const QuantLib::ext::shared_ptr<Scenario>& baseScenario);
     //! returns a new scenario, using the base scenario as a starting point
-    const QuantLib::ext::shared_ptr<Scenario> buildScenario(Date asof, const std::string& label = "",
-                                                    Real numeraire = 0.0) const override;
+    const QuantLib::ext::shared_ptr<Scenario> buildScenario(Date asof, bool isAbsolute, const std::string& label = "",
+                                                            Real numeraire = 0.0) const override;
 
 private:
     QuantLib::ext::shared_ptr<Scenario> baseScenario_;

OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp

@@ -343,7 +343,7 @@ std::vector<QuantLib::ext::shared_ptr<Scenario>> CrossAssetModelScenarioGenerato
     for (Size i = 0; i < dates_.size(); i++) {
         Real t = timeGrid_[i + 1]; // recall: time grid has inserted t=0
 
-        scenarios[i] = scenarioFactory_->buildScenario(dates_[i]);
+        scenarios[i] = scenarioFactory_->buildScenario(dates_[i], true);
 
         // populate IR states
         copyPathToArray(sample.value, i + 1, model_->pIdx(CrossAssetModel::AssetType::IR, 0), ir_state[0]);

OREAnalytics/orea/scenario/csvscenariogenerator.cpp

@@ -69,7 +69,7 @@ QuantLib::ext::shared_ptr<Scenario> CSVScenarioGenerator::next(const Date& d) {
     QL_REQUIRE(to_string(d) == tokens[0], "Incompatible date " << tokens[0] << " in " << filename_);
 
     // Build scenario
-    const QuantLib::ext::shared_ptr<Scenario> scenario = scenarioFactory_->buildScenario(d);
+    const QuantLib::ext::shared_ptr<Scenario> scenario = scenarioFactory_->buildScenario(d, true);
 
     // Fill scenario with RiskFactorKeys
     QL_REQUIRE(keys_.size() == tokens.size() - 3, "Erroneus line in " << filename_);