QPR-12205 turn off model recalibration in multi-threaded engine in xva analytic

Author: pcaspers

OREAnalytics/orea/app/analytics/xvaanalytic.cpp

@@ -354,11 +354,12 @@ void XvaAnalyticImpl::buildClassicCube(const boost::shared_ptr<Portfolio>& portf
         }
 
         MultiThreadedValuationEngine engine(
-            inputs_->nThreads(), inputs_->asof(), grid_, samples_,  analytic()->loader(), scenarioGenerator_,
-            inputs_->simulationPricingEngine(), inputs_->curveConfigs().get(), analytic()->configurations().todaysMarketParams,
-            inputs_->marketConfig("simulation"), analytic()->configurations().simMarketParams, false, false,
-            boost::make_shared<ScenarioFilter>(), inputs_->refDataManager(),
-            *inputs_->iborFallbackConfig(), true, false, cubeFactory, {}, cptyCubeFactory, "xva-simulation");
+            inputs_->nThreads(), inputs_->asof(), grid_, samples_, analytic()->loader(), scenarioGenerator_,
+            inputs_->simulationPricingEngine(), inputs_->curveConfigs().get(),
+            analytic()->configurations().todaysMarketParams, inputs_->marketConfig("simulation"),
+            analytic()->configurations().simMarketParams, false, false, boost::make_shared<ScenarioFilter>(),
+            inputs_->refDataManager(), *inputs_->iborFallbackConfig(), true, false, false, cubeFactory, {},
+            cptyCubeFactory, "xva-simulation");
 
         engine.registerProgressIndicator(progressBar);
         engine.registerProgressIndicator(progressLog);

OREAnalytics/orea/engine/historicalpnlgenerator.cpp

@@ -117,7 +117,7 @@ void HistoricalPnlGenerator::generateCube(const boost::shared_ptr<ScenarioFilter
         MultiThreadedValuationEngine engine(
             nThreads_, today_, boost::make_shared<ore::analytics::DateGrid>(), hisScenGen_->numScenarios(), loader_,
             hisScenGen_, engineData_, curveConfigs_, todaysMarketParams_, configuration_, simMarketData_, false, false,
-            filter, referenceData_, iborFallbackConfig_, true, true, {}, {}, {}, context_);
+            filter, referenceData_, iborFallbackConfig_, true, true, true, {}, {}, {}, context_);
         for (auto const& i : this->progressIndicators()) {
             i->reset();
             engine.registerProgressIndicator(i);

OREAnalytics/orea/engine/multithreadedvaluationengine.cpp

@@ -51,7 +51,7 @@ MultiThreadedValuationEngine::MultiThreadedValuationEngine(
     const boost::shared_ptr<ore::analytics::ScenarioFilter>& scenarioFilter,
     const boost::shared_ptr<ore::data::ReferenceDataManager>& referenceData,
     const ore::data::IborFallbackConfig& iborFallbackConfig, const bool handlePseudoCurrenciesTodaysMarket,
-    const bool handlePseudoCurrenciesSimMarket,
+    const bool handlePseudoCurrenciesSimMarket, const bool recalibrateModels,
     const std::function<boost::shared_ptr<ore::analytics::NPVCube>(const QuantLib::Date&, const std::set<std::string>&,
                                                                    const std::vector<QuantLib::Date>&,
                                                                    const QuantLib::Size)>& cubeFactory,
@@ -67,8 +67,9 @@ MultiThreadedValuationEngine::MultiThreadedValuationEngine(
       useSpreadedTermStructures_(useSpreadedTermStructures), cacheSimData_(cacheSimData),
       scenarioFilter_(scenarioFilter), referenceData_(referenceData), iborFallbackConfig_(iborFallbackConfig),
       handlePseudoCurrenciesTodaysMarket_(handlePseudoCurrenciesTodaysMarket),
-      handlePseudoCurrenciesSimMarket_(handlePseudoCurrenciesSimMarket), cubeFactory_(cubeFactory),
-      nettingSetCubeFactory_(nettingSetCubeFactory), cptyCubeFactory_(cptyCubeFactory), context_(context) {
+      handlePseudoCurrenciesSimMarket_(handlePseudoCurrenciesSimMarket), recalibrateModels_(recalibrateModels),
+      cubeFactory_(cubeFactory), nettingSetCubeFactory_(nettingSetCubeFactory), cptyCubeFactory_(cptyCubeFactory),
+      context_(context) {
 
     QL_REQUIRE(nThreads_ != 0, "MultiThreadedValuationEngine: nThreads must be > 0");
 
@@ -313,8 +314,10 @@ void MultiThreadedValuationEngine::buildCube(
 
                 // build valuation engine
 
-                auto valEngine = boost::make_shared<ore::analytics::ValuationEngine>(today_, dateGrid_, simMarket,
-                                                                                     engineFactory->modelBuilders());
+                auto valEngine = boost::make_shared<ore::analytics::ValuationEngine>(
+                    today_, dateGrid_, simMarket,
+                    recalibrateModels_ ? engineFactory->modelBuilders()
+                                       : std::set<std::pair<std::string, boost::shared_ptr<QuantExt::ModelBuilder>>>());
                 valEngine->registerProgressIndicator(progressIndicator);
 
                 // build mini-cube

OREAnalytics/orea/engine/multithreadedvaluationengine.hpp

@@ -56,6 +56,7 @@ class MultiThreadedValuationEngine : public ore::data::ProgressReporter {
         const boost::shared_ptr<ore::data::ReferenceDataManager>& referenceData = nullptr,
         const ore::data::IborFallbackConfig& iborFallbackConfig = ore::data::IborFallbackConfig::defaultConfig(),
         const bool handlePseudoCurrenciesTodaysMarket = true, const bool handlePseudoCurrenciesSimMarket = true,
+        const bool recalibrateModels = true,
         const std::function<boost::shared_ptr<ore::analytics::NPVCube>(
             const QuantLib::Date&, const std::set<std::string>&, const std::vector<QuantLib::Date>&,
             const QuantLib::Size)>& cubeFactory = {},
@@ -109,6 +110,7 @@ class MultiThreadedValuationEngine : public ore::data::ProgressReporter {
     ore::data::IborFallbackConfig iborFallbackConfig_;
     bool handlePseudoCurrenciesTodaysMarket_;
     bool handlePseudoCurrenciesSimMarket_;
+    bool recalibrateModels_;
     std::function<boost::shared_ptr<ore::analytics::NPVCube>(const QuantLib::Date&, const std::set<std::string>&,
                                                              const std::vector<QuantLib::Date>&, const QuantLib::Size)>
         cubeFactory_;

OREAnalytics/orea/engine/sensitivityanalysis.cpp

@@ -171,7 +171,7 @@ void SensitivityAnalysis::generateSensitivities(boost::shared_ptr<NPVSensiCube>
             nThreads_, asof_, boost::make_shared<ore::analytics::DateGrid>(), scenarioGenerator_->numScenarios(),
             loader_, scenarioGenerator_, ed, curveConfigs_, todaysMarketParams_, marketConfiguration_, simMarketData_,
             sensitivityData_->useSpreadedTermStructures(), false, boost::make_shared<ore::analytics::ScenarioFilter>(),
-            referenceData_, iborFallbackConfig_, true, true,
+            referenceData_, iborFallbackConfig_, true, true, true,
             [](const QuantLib::Date& asof, const std::set<std::string>& ids, const std::vector<QuantLib::Date>&,
                const QuantLib::Size samples) {
                 return boost::make_shared<ore::analytics::DoublePrecisionSensiCube>(ids, asof, samples);