Merge remote-tracking branch 'origin/master' into feature/martin_docs1

Author: Sjogren

OREAnalytics/orea/app/analytics/correlationanalytic.cpp

@@ -80,6 +80,7 @@ void CorrelationAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::d
 void CorrelationAnalyticImpl::setCorrelationReport(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader) {
 
     LOG("Build Correlation Calculator");
+    QL_REQUIRE(inputs_->benchmarkVarPeriod()!=std::string(), "BenchmarkVarPeriod Required.");
     TimePeriod benchmarkVarPeriod(parseListOfValues<Date>(inputs_->benchmarkVarPeriod(), &parseDate),
                                       inputs_->mporDays(), inputs_->mporCalendar());
 
@@ -98,6 +99,8 @@ void CorrelationAnalyticImpl::setCorrelationReport(const QuantLib::ext::shared_p
         *analytic()->configurations().todaysMarketParams, inputs_->continueOnError(), false, true,
         inputs_->allowPartialScenarios(), inputs_->iborFallbackConfig(), false, nullptr);
 
+    QL_REQUIRE(inputs_->scenarioReader(), "ScenarioReader Required.");
+    
     auto scenarios = buildHistoricalScenarioGenerator(
         inputs_->scenarioReader(), adjFactors, benchmarkVarPeriod, inputs_->mporCalendar(), inputs_->mporDays(),
         analytic()->configurations().simMarketParams, analytic()->configurations().todaysMarketParams,

OREAnalytics/orea/app/analytics/varanalytic.cpp

@@ -103,6 +103,7 @@ void ParametricVarAnalyticImpl::setVarReport(const QuantLib::ext::shared_ptr<ore
             varParams, inputs_->getVarSalvagingAlgorithm(), QuantLib::ext::nullopt, std::move(sensiArgs),
             inputs_->varBreakDown(), inputs_->useAtParCouponsCurves(), inputs_->useAtParCouponsTrades());
     } else {
+        QL_REQUIRE(inputs_->benchmarkVarPeriod()!=std::string(), "BenchmarkVarPeriod Required.");
         TimePeriod benchmarkVarPeriod(parseListOfValues<Date>(inputs_->benchmarkVarPeriod(), &parseDate),
                                       inputs_->mporDays(), inputs_->mporCalendar());
 
@@ -112,6 +113,8 @@ void ParametricVarAnalyticImpl::setVarReport(const QuantLib::ext::shared_ptr<ore
 
         auto defaultReturnConfig = QuantLib::ext::make_shared<ReturnConfiguration>();
 
+        QL_REQUIRE(inputs_->scenarioReader(), "ScenarioReader Required.");
+
         auto scenarios = buildHistoricalScenarioGenerator(
             inputs_->scenarioReader(), adjFactors, benchmarkVarPeriod, inputs_->mporCalendar(), inputs_->mporDays(),
             analytic()->configurations().simMarketParams, analytic()->configurations().todaysMarketParams,
@@ -159,6 +162,7 @@ void HistoricalSimulationVarAnalyticImpl::setVarReport(
     const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader) {
 
     LOG("Build VaR calculator");
+    QL_REQUIRE(inputs_->benchmarkVarPeriod()!=std::string(), "BenchmarkVarPeriod Required.");
     TimePeriod benchmarkVarPeriod(parseListOfValues<Date>(inputs_->benchmarkVarPeriod(), &parseDate), inputs_->mporDays(), inputs_->mporCalendar());
 
     QuantLib::ext::shared_ptr<ore::data::AdjustmentFactors> adjFactors;
@@ -167,6 +171,8 @@ void HistoricalSimulationVarAnalyticImpl::setVarReport(
 
     auto defaultReturnConfig = QuantLib::ext::make_shared<ReturnConfiguration>();
 
+    QL_REQUIRE(inputs_->scenarioReader(), "ScenarioReader Required.");
+
     auto scenarios = buildHistoricalScenarioGenerator(
         inputs_->scenarioReader(), adjFactors, benchmarkVarPeriod, inputs_->mporCalendar(), inputs_->mporDays(),
         analytic()->configurations().simMarketParams, analytic()->configurations().todaysMarketParams,

OREData/ored/portfolio/fixingdates.cpp

@@ -758,6 +758,12 @@ void FixingDateGetter::visit(CmbCoupon& c) {
 void FixingDateGetter::visit(EquityMarginCoupon& c) {
     requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.equityCurve()->name()),
                                     c.date());
+    for (const auto& d : c.fixingDates()) {
+        if(c.equityCurve()){
+            Date endDate = c.equityCurve()->fixingCalendar().advance(d, -1 * Days);
+            requiredFixings_.addFixingDate(endDate, IndexNameTranslator::instance().oreName(c.equityCurve()->name()), c.date());
+        }
+    }
     if (c.fxIndex() != nullptr)
         requiredFixings_.addFixingDate(c.fixingStartDate(),
                                        IndexNameTranslator::instance().oreName(c.fxIndex()->name()), c.date());

QuantExt/qle/models/piecewiseconstanthelper.cpp

@@ -119,18 +119,4 @@ PiecewiseConstantHelper3::PiecewiseConstantHelper3(const std::vector<Date>& date
     checkTimes(t2_);
 }
 
-PiecewiseConstantHelper4::PiecewiseConstantHelper4(const Array& t,
-    const QuantLib::ext::shared_ptr<Constraint>& constraint)
-    : t_(t), y_(QuantLib::ext::make_shared<PseudoParameter>(t.size(), *constraint)) {
-    checkTimes(t_);
-}
-
-PiecewiseConstantHelper4::PiecewiseConstantHelper4(const std::vector<Date>& dates,
-    const Handle<YieldTermStructure>& yts,
-    const QuantLib::ext::shared_ptr<Constraint>& constraint)
-    : t_(datesToTimes(dates, yts)),
-      y_(QuantLib::ext::make_shared<PseudoParameter>(dates.size(), *constraint)) {
-    checkTimes(t_);
-}
-
 } // namespace QuantExt

QuantExt/qle/models/piecewiseconstanthelper.hpp

@@ -170,30 +170,6 @@ class PiecewiseConstantHelper3 {
     mutable std::vector<Real> b_, c_;
 };
 
-class PiecewiseConstantHelper4 {
-public:
-    PiecewiseConstantHelper4(const Array& t,
-        const QuantLib::ext::shared_ptr<QuantLib::Constraint>& constraint = QuantLib::ext::make_shared<QuantLib::NoConstraint>());
-    PiecewiseConstantHelper4(const std::vector<Date>& dates, const Handle<YieldTermStructure>& yts,
-        const QuantLib::ext::shared_ptr<QuantLib::Constraint>& constraint = QuantLib::ext::make_shared<QuantLib::NoConstraint>());
-
-    const Array& t() const;
-    const QuantLib::ext::shared_ptr<Parameter> p() const;
-    /*! this returns the transformed value */
-    Real y(const Time t) const;
-
-    Real direct(const Real x) const;
-    Real inverse(const Real y) const;
-
-protected:
-    const Array t_;
-    /*! y are the raw values in the sense of parameter transformation */
-    const QuantLib::ext::shared_ptr<PseudoParameter> y_;
-
-private:
-    mutable std::vector<Real> b_;
-};
-
 // inline
 
 inline const Array& PiecewiseConstantHelper1::t() const { return t_; }
@@ -296,14 +272,6 @@ inline void PiecewiseConstantHelper3::update() const {
     }
 }
 
-inline const Array& PiecewiseConstantHelper4::t() const { return t_; }
-
-inline const QuantLib::ext::shared_ptr<Parameter> PiecewiseConstantHelper4::p() const { return y_; }
-
-inline Real PiecewiseConstantHelper4::direct(const Real x) const { return x * x; }
-
-inline Real PiecewiseConstantHelper4::inverse(const Real y) const { return std::sqrt(y); }
-
 inline Real PiecewiseConstantHelper1::y(const Time t) const {
     return rcll_ ? direct(QL_PIECEWISE_FUNCTION(t_, y_->params(), t)) : direct(QL_PIECEWISE_FUNCTION2(t_, y_->params(), t));
 }
@@ -320,10 +288,6 @@ inline Real PiecewiseConstantHelper3::y2(const Time t) const {
     return direct2(QL_PIECEWISE_FUNCTION(t2_, y2_->params(), t));
 }
 
-inline Real PiecewiseConstantHelper4::y(const Time t) const {
-    return direct(QL_PIECEWISE_FUNCTION2(t_, y_->params(), t));
-}
-
 inline Real PiecewiseConstantHelper1::int_y_sqr(const Time t) const {
     if (t < 0.0)
         return 0.0;