QPR-11243: write out the commodity curve in both pricer_app and restore

Author: Eric Mandolesi

OREAnalytics/orea/app/reportwriter.cpp

@@ -1256,7 +1256,16 @@ void addCommodityCurveCalibrationInfo(ore::data::Report& report, const std::stri
                                       boost::shared_ptr<CommodityCurveCalibrationInfo> const& info) {
     if(info == nullptr)
         return ;
-    addRowMktCalReport(report, "commodityCurve", id, "commodityDummyInfo", "", "", "", info->commDummyInfo);
+    addRowMktCalReport(report, "commodityCurve", id, "calendar", "", "", "", info->calendar);
+    addRowMktCalReport(report, "commodityCurve", id, "dayCounter", "", "", "", info->dayCounter);
+    addRowMktCalReport(report, "commodityCurve", id, "currenct", "", "", "", info->currency);
+    addRowMktCalReport(report, "commodityCurve", id, "interpolationMethod", "", "", "", info->interpolationMethod);
+
+    for (Size i = 0; i < info->pillarDates.size(); ++i){
+        auto date = to_string(info->pillarDates.at(i));
+        addRowMktCalReport(report, "commodityCurve", id, "time", date, "", "", info->times.at(i));
+        addRowMktCalReport(report, "commodityCurve", id, "price", date, "", "", info->futurePrices.at(i));
+    }
 }
 
 void addFxEqVolCalibrationInfo(ore::data::Report& report, const std::string& type, const std::string& id,

OREData/ored/marketdata/commoditycurve.cpp

@@ -169,10 +169,19 @@ CommodityCurve::CommodityCurve(const Date& asof, const CommodityCurveSpec& spec,
 
         Handle<PriceTermStructure> pts(commodityPriceCurve_);
         commodityIndex_ = parseCommodityIndex(spec_.curveConfigID(), false, pts);
+        commodityPriceCurve_->pillarDates();
 
-        if (buildCalibrationInfo) {
+        if (buildCalibrationInfo) { // the curve is built, save info for later usage
             auto calInfo = boost::make_shared<CommodityCurveCalibrationInfo>();
-            calInfo->commDummyInfo = -1.0;
+            calInfo->dayCounter = dayCounter_.name();
+            calInfo->interpolationMethod = interpolationMethod_;
+            calInfo->calendar = commodityPriceCurve_->calendar().name();
+            calInfo->currency = commodityPriceCurve_->currency().code();
+            for (auto d : commodityPriceCurve_->pillarDates()){
+                calInfo->times.emplace_back(commodityPriceCurve_->timeFromReference(d));
+                calInfo->pillarDates.emplace_back(d);
+                calInfo->futurePrices.emplace_back(commodityPriceCurve_->price(d, true));
+            }
             calibrationInfo_ = calInfo;
         }
     } catch (std::exception& e) {

OREData/ored/marketdata/todaysmarketcalibrationinfo.hpp

@@ -94,8 +94,14 @@ struct YoYInflationCurveCalibrationInfo : public InflationCurveCalibrationInfo {
 // commodity curves
 
 struct CommodityCurveCalibrationInfo {
-    virtual ~CommodityCurveCalibrationInfo() {}
-    double commDummyInfo{0.0};
+    virtual ~CommodityCurveCalibrationInfo() = default;
+    std::string dayCounter;
+    std::string calendar;
+    std::string currency;
+    std::string interpolationMethod;
+    std::vector<QuantLib::Date> pillarDates;
+    std::vector<QuantLib::Real> futurePrices;
+    std::vector<QuantLib::Real> times;
 };
 
 // fx, eq vols