Merge remote-tracking branch 'origin/master' into QPR-11957

Author: mgroncki

OREAnalytics/orea/simm/crifrecord.hpp

@@ -161,6 +161,7 @@ struct BucketQualifierTag {};
 struct QualifierTag {};
 struct NoProductClassQualifierTag {};
 
+struct OnlyRiskTypeTag {};
 /*! A structure that we can use to aggregate CrifRecords across trades in a portfolio
     to provide the net sensitivities that we need to perform a downstream SIMM calculation.
 */
@@ -179,6 +180,10 @@ typedef boost::multi_index_container<
             boost::multi_index::tag<PortfolioTag>,
             boost::multi_index::composite_key<
                 CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>>>,
+        boost::multi_index::ordered_non_unique<
+            boost::multi_index::tag<OnlyRiskTypeTag>,
+            boost::multi_index::composite_key<
+                CrifRecord, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>>>,
         boost::multi_index::ordered_non_unique<
             boost::multi_index::tag<ProductClassTag>,
             boost::multi_index::composite_key<

Tools/PythonTools/comparison_config.json

@@ -430,6 +430,26 @@
           }
         ]
       },
+      "frtbcrif.csv": {
+        "keys": [
+            "RiskType",
+            "Qualifier",
+            "Bucket",
+            "Label1",
+            "Label2",
+            "AmountCurrency"
+            
+        ],
+        "column_settings": [
+          {
+            "names": [
+                "AmountUSD"
+            ],
+            "abs_tol": null,
+            "rel_tol": 1e-12
+          }
+        ]
+      },
       "frtb.csv": {
         "keys": [
             "CorrelationScenario",