Merge remote-tracking branch 'origin/master' into github_modules

Author: rolandlichters

App/ore.cpp

@@ -27,6 +27,7 @@
 #include <iostream>
 
 #include <orea/app/oreapp.hpp>
+#include <ored/utilities/initbuilders.hpp>
 
 #ifdef BOOST_MSVC
 #include <orea/auto_link.hpp>
@@ -66,6 +67,8 @@ int main(int argc, char** argv) {
         return -1;
     }
 
+    ore::data::initBuilders();
+
     string inputFile(argv[1]);
 
     boost::shared_ptr<Parameters> params = boost::make_shared<Parameters>();

Docs/UserGuide/userguide.tex

@@ -4910,6 +4910,21 @@ \subsubsection{Market}\label{sec:sim_market}
 \item Extrapolation: This can be FlatFwd or FlatZero. If not given, the value defaults to FlatFwd.
 \end{itemize}
 
+For swap, yield, interest cap-floor, yoy inflation cap-floor, zc inflation cap-floor, cds, fx, equity, commodity
+volatilities the smile dynamics can be specified as shown in listing \ref{lst:smile_dynamics_configuration} for swap
+vols. The empty key serves as a default configuration for all keys for which no own smile dynamics node is present. The
+allowed smile dynamics values are StickyStrike and StickyMoneyness. If not given, the smile dynamics defaults to
+StickyStrike.
+
+\begin{listing}
+  \begin{minted}[fontsize=\footnotesize]{xml}
+    <SmileDynamics key="">StickyStrike</SmileDynamics>
+    <SmileDynamics key="EUR-ESTER">StickyMoneyness</SmileDynamics>
+  \end{minted}
+\caption{Smile Configuration Node}
+\label{lst:smile_dynamics_configuration}
+\end{listing}
+
 \begin{longlisting}
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}

OREAnalytics/orea/app/oreapp.cpp

@@ -322,8 +322,6 @@ OREApp::OREApp(boost::shared_ptr<Parameters> params, bool console)
 
     // Read setup
     readSetup();
-
-    dummyRegisterBuildersForWindows();
 }
 
 OREApp::OREApp(const boost::shared_ptr<InputParameters>& inputs, const std::string& logFile, Size logLevel,
@@ -350,71 +348,6 @@ OREApp::OREApp(const boost::shared_ptr<InputParameters>& inputs, const std::stri
     Log::instance().registerLogger(boost::make_shared<FileLogger>(logFilePath));
     Log::instance().setMask(logLevel);
     Log::instance().switchOn();
-
-    dummyRegisterBuildersForWindows();
-}
-
-void OREApp::dummyRegisterBuildersForWindows() {
-    TradeFactory::instance().addBuilder("Swap", boost::make_shared<TradeBuilder<Swap>>(), true);
-    TradeFactory::instance().addBuilder("Swaption", boost::make_shared<TradeBuilder<Swaption>>(), true);
-    TradeFactory::instance().addBuilder("CapFloor", boost::make_shared<TradeBuilder<CapFloor>>(), true);
-    TradeFactory::instance().addBuilder("ForwardRateAgreement",
-                                        boost::make_shared<TradeBuilder<ForwardRateAgreement>>(), true);
-    TradeFactory::instance().addBuilder("FxForward", boost::make_shared<TradeBuilder<FxForward>>(), true);
-    TradeFactory::instance().addBuilder("FxOption", boost::make_shared<TradeBuilder<FxOption>>(), true);
-    TradeFactory::instance().addBuilder("FxSwap", boost::make_shared<TradeBuilder<FxSwap>>(), true);
-
-    EngineBuilderFactory::instance().addEngineBuilder([]() { return boost::make_shared<SwapEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<CrossCurrencySwapEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder([]() { return boost::make_shared<FxForwardEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<FxEuropeanOptionEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<FxEuropeanCSOptionEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<FxAmericanOptionFDEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<FxAmericanOptionBAWEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder([]() { return boost::make_shared<CapFloorEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<CapFlooredOvernightIndexedCouponLegEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<CapFlooredAverageONIndexedCouponLegEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<CapFlooredIborLegEngineBuilder>(); });
-    EngineBuilderFactory::instance().addEngineBuilder(
-        []() { return boost::make_shared<LinearTSRCmsCouponPricerBuilder>(); });
-
-    EngineBuilderFactory::instance().addAmcEngineBuilder(
-        [](const boost::shared_ptr<QuantExt::CrossAssetModel>& cam, const std::vector<Date>& grid) {
-            return boost::make_shared<CamAmcCurrencySwapEngineBuilder>(cam, grid);
-        });
-    EngineBuilderFactory::instance().addAmcEngineBuilder(
-        [](const boost::shared_ptr<QuantExt::CrossAssetModel>& cam, const std::vector<Date>& grid) {
-            return boost::make_shared<CamAmcFxOptionEngineBuilder>(cam, grid);
-        });
-    EngineBuilderFactory::instance().addAmcEngineBuilder(
-        [](const boost::shared_ptr<QuantExt::CrossAssetModel>& cam, const std::vector<Date>& grid) {
-            return boost::make_shared<CamAmcSwapEngineBuilder>(cam, grid);
-        });
-    EngineBuilderFactory::instance().addAmcEngineBuilder(
-        [](const boost::shared_ptr<QuantExt::CrossAssetModel>& cam, const std::vector<Date>& grid) {
-            return boost::make_shared<LgmAmcBermudanSwaptionEngineBuilder>(cam, grid);
-        });
-
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<FixedLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<ZeroCouponFixedLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<FloatingLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<CashflowLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<CPILegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<YYLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<CMSLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<CMBLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<DigitalCMSLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<CMSSpreadLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<DigitalCMSSpreadLegBuilder>(); });
-    EngineBuilderFactory::instance().addLegBuilder([]() { return boost::make_shared<EquityLegBuilder>(); });
 }
 
 OREApp::~OREApp() {

OREAnalytics/orea/app/oreapp.hpp

@@ -286,8 +286,6 @@ class OREApp {
 
 private:
     virtual ReportWriter* getReportWriterImpl() const { return new ReportWriter(); }
-    // to be removed again once we have resolved the auto-registering problem on windows
-    void dummyRegisterBuildersForWindows();
 };
 
 } // namespace analytics