merge github pr 219

Author: Roland Lichters

Docs/UserGuide/allowablevalues.tex

@@ -146,6 +146,7 @@ \subsection{Allowable Values}
     \emph{US-NYSE, New York stock exchange} & US NYSE Calendar \\ \hline
     \emph{US with Libor impact} & US Calendar for Libor fixings \\ \hline
     \emph{US-NERC} & US NERC Calendar \\ \hline  
+    \emph{US-SOFR} & US SOFR fixing Calendar \\ \hline
     \emph{AR, ARG, ARS} & Argentina Calendar \\ \hline    
     \emph{AU, AUD, AUS} & Australia Calendar \\ \hline
     \emph{AT, AUT, ATS} & Austria Calendar \\ \hline    
@@ -211,6 +212,7 @@ \subsection{Allowable Values}
     \emph{XLON} & UK London Stock Exchange \\ \hline
     \emph{XLME} & UK London Metal Exchange \\ \hline
     \emph{XNYS} & US New York Stock Exchange Calendar \\ \hline
+    \emph{XPAR} & Paris stock exchange \\ \hline
     \emph{WMR} & Thomson Reuters QM/Reuters Spot \\ \hline
     \emph{WeekendsOnly} & Weekends Only Calendar \\ \hline
     \emph{ICE\_FuturesUS} & ICE Futures U.S. Currency, Stock and Credit Index, Metal, Nat Gas, Power, Oil and Environmental \\ \hline
@@ -235,7 +237,7 @@ \subsection{Allowable Values}
     % \emph{LNB\_NYB\_ZUB} & UK, US and Switzerland Calendar \\ \hline
     % \emph{LNB\_NYB\_TRB} & UK, US and Canada Calendar \\ \hline 
     % \emph{LNB\_NYB\_TKB} & UK, US and Japan Calendar \\ \hline   
-    % \emph{NullCalendar} & Null Calendar, i.e. all days are business days \\ \hline                 
+    \emph{NullCalendar, Null} & Null Calendar, i.e. all days are business days \\ \hline                 
   \caption{Allowable Values for Calendar. Combinations of calendars can be provided using comma separated calendar names.}
   \label{tab:calendar}
 \end{longtable}

OREData/ored/utilities/calendarparser.cpp

@@ -128,6 +128,7 @@ void CalendarParser::reset() {
         {"US-NERC", UnitedStates(UnitedStates::NERC)},
         {"US-NYSE", UnitedStates(UnitedStates::NYSE)},
         {"US-SET", UnitedStates(UnitedStates::Settlement)},
+        {"US-SOFR", UnitedStates(UnitedStates::SOFR)},
 
         // Country full name to Settlement/Default
         {"Australia", Australia()},
@@ -385,6 +386,7 @@ void CalendarParser::reset() {
         {"XLME", UnitedKingdom(UnitedKingdom::Metals)},
         {"XNYS", UnitedStates(UnitedStates::NYSE)},
         {"XDUB", Ireland()},
+        {"XPAR", QuantLib::France(QuantLib::France::Exchange)},
 
         // Other / Legacy
         {"DEN", Denmark()}, // TODO: consider remove it, not ISO

xsd/ore_types.xsd

@@ -323,7 +323,7 @@
 
   <xs:simpleType name="calendar">
     <xs:restriction base="xs:string">
-      <xs:pattern value="(JoinHolidays\(|JoinBusinessDays\()?((,)?(, )?(^)?(TGT|TARGET|CN-IB|US-FED|US-GOV|US-NERC|US-NYSE|US-SET||Australia|Australia settlement|Botswana|Brazil|Canada|Denmark|Hungary|Japan|Norway|Switzerland|Sweden|Belgium|Finland|Luxembourg|Spain|Austria|Romania|Poland|New Zealand|FRA|CATO|CHZU|JPTO|GBLO|SEST|TRIS|USNY|EUTA|BEBR|AE|AT|AR|AU|BW|BR|CA|CL|CN|CO|CZ|DK|FI|FR|DE|HK|HU|IE|IS|IN|ID|IL|IT|JE|JP|MX|MY|NL|NO|NZ|PE|PH|PL|RO|RU|SG|ZA|KR|SE|CH|TW|TH|TR|UA|GB|US|BE|LU|ES|ARE|ARG|AUS|BWA|BRA|CAN|CHL|CHN|COL|CZE|DNK|FIN|DEU|HKG|HUN|ISL|IND|IDN|ISR|ITA|JOD|JPN|KES|LKR|MEX|MUR|MYS|NLD|NOR|NZL|PER|PHL|POL|ROU|RSD|RUS|SAU|SGP|UGX|ZAF|ZMW|KOR|SWE|CHE|TWN|THA|TUR|UKR|GBR|USA|BEL|LUX|ESP|AUT|ARS|AUD|BGN|BWP|BRL|CAD|CLP|CNH|CNY|COP|CZK|DKK|FRF|GHS|HKD|HRK|HUF|INR|IDR|ILS|IRL|ISK|ITL|JPY|MXN|MYR|NOK|NZD|PEN|PHP|PLN|RON|RUB|SAR|SGD|ZAR|KRW|SEK|CHF|EUR|TWD|THB|TRY|UAH|GBP|USD|BEF|LUF|ATS|AED|BHD|CLF|EGP|KWD|KZT|MAD|MXV|NGN|OMR|PKR|QAR|UYU|TND|AOA|GEL|ETB|XOF|VND|GBp|GBX|ILa|ILA|ILs|ILX|ZAc|ZAC|ZAX|XASX|BVMF|XTSE|XSHG|XFRA|XDUB|XETR|ECAG|EUWA|XJKT|XIDX|XTAE|XMIL|MISX|XKRX|XSWX|XLON|XLME|XNYS|DEN|TSX|Australia exchange|BOVESPA|Euwax|CME Group|Eurex|Xetra|Frankfurt stock exchange|French settlement|German settlement|Paris stock exchange|Telbor|National Stock Exchange of India|London stock exchange|LNB|London metals exchange|Iceland stock exchange|New York stock exchange|Italian settlement|Santiago Stock Exchange|Ukrainian stock exchange|NGL|NYB|SA|SS|SYB|TKB|TRB|UK|UK settlement|Jakarta stock exchange|US settlement|Belgian settlement|US with Libor impact|US government bond market|North American Energy Reliability Council|Federal Reserve Bankwire System|WMR|ZUB|ICE_FuturesUS|ICE_FuturesUS_1|ICE_FuturesUS_2|ICE_FuturesEU|ICE_FuturesEU_1|ICE_EndexEnergy|ICE_EndexEquities|ICE_SwapTradeUS|ICE Futures U.S.|ICE Futures U.S. 1|ICE Futures U.S. 2|ICE Futures Europe|ICE Futures Europe 1|ICE Endex Energy|ICE Endex Equities|ICE Swap Trade U.S.|ICE Swap Trade U.K.|ICE Futures Singapore|ICE_SwapTradeUK|ICE_FuturesSingapore|CME|Thailand stock exchange|Turkey|Milan stock exchange|Taiwan stock exchange|South-Korean settlement|South-Korea exchange|South Africa|Bratislava stock exchange|Moscow exchange|Mexican stock exchange|Russian settlement|Spanish settlement|Luxembourgish settlement|Dutch settlement|Austrian settlement|Tadawul|Tel Aviv stock exchange|Bucharest stock exchange|Singapore exchange|Hong Kong stock exchange|Vienna stock exchange|Prague stock exchange|China inter bank market|Shanghai stock exchange|Colombia Stock Exchange|Buenos Aires stock exchange|Philippine stock exchange|Lima stock exchange|SIX Swiss Exchange|Malaysia Stock Exchange|Thomson Reuters QM/Reuters Spot|Israel Telbor Implementation|WeekendsOnly|weekends only|UNMAPPED|Null|NullCalendar|[A-Z]{4}|CUSTOM_.*))*(\))?"/>
+      <xs:pattern value="(JoinHolidays\(|JoinBusinessDays\()?((,)?(, )?(^)?(TGT|TARGET|CN-IB|US-FED|US-GOV|US-NERC|US-NYSE|US-SET|US-SOFR||Australia|Australia settlement|Botswana|Brazil|Canada|Denmark|Hungary|Japan|Norway|Switzerland|Sweden|Belgium|Finland|Luxembourg|Spain|Austria|Romania|Poland|New Zealand|FRA|CATO|CHZU|JPTO|GBLO|SEST|TRIS|USNY|EUTA|BEBR|AE|AT|AR|AU|BW|BR|CA|CL|CN|CO|CZ|DK|FI|FR|DE|HK|HU|IE|IS|IN|ID|IL|IT|JE|JP|MX|MY|NL|NO|NZ|PE|PH|PL|RO|RU|SG|ZA|KR|SE|CH|TW|TH|TR|UA|GB|US|BE|LU|ES|ARE|ARG|AUS|BWA|BRA|CAN|CHL|CHN|COL|CZE|DNK|FIN|DEU|HKG|HUN|ISL|IND|IDN|ISR|ITA|JOD|JPN|KES|LKR|MEX|MUR|MYS|NLD|NOR|NZL|PER|PHL|POL|ROU|RSD|RUS|SAU|SGP|UGX|ZAF|ZMW|KOR|SWE|CHE|TWN|THA|TUR|UKR|GBR|USA|BEL|LUX|ESP|AUT|ARS|AUD|BGN|BWP|BRL|CAD|CLP|CNH|CNY|COP|CZK|DKK|FRF|GHS|HKD|HRK|HUF|INR|IDR|ILS|IRL|ISK|ITL|JPY|MXN|MYR|NOK|NZD|PEN|PHP|PLN|RON|RUB|SAR|SGD|ZAR|KRW|SEK|CHF|EUR|TWD|THB|TRY|UAH|GBP|USD|BEF|LUF|ATS|AED|BHD|CLF|EGP|KWD|KZT|MAD|MXV|NGN|OMR|PKR|QAR|UYU|TND|AOA|GEL|ETB|XOF|VND|GBp|GBX|ILa|ILA|ILs|ILX|ZAc|ZAC|ZAX|XASX|BVMF|XTSE|XSHG|XFRA|XDUB|XPAR|XETR|ECAG|EUWA|XJKT|XIDX|XTAE|XMIL|MISX|XKRX|XSWX|XLON|XLME|XNYS|DEN|TSX|Australia exchange|BOVESPA|Euwax|CME Group|Eurex|Xetra|Frankfurt stock exchange|French settlement|German settlement|Paris stock exchange|Telbor|National Stock Exchange of India|London stock exchange|LNB|London metals exchange|Iceland stock exchange|New York stock exchange|Italian settlement|Santiago Stock Exchange|Ukrainian stock exchange|NGL|NYB|SA|SS|SYB|TKB|TRB|UK|UK settlement|Jakarta stock exchange|US settlement|Belgian settlement|US with Libor impact|US government bond market|North American Energy Reliability Council|Federal Reserve Bankwire System|WMR|ZUB|ICE_FuturesUS|ICE_FuturesUS_1|ICE_FuturesUS_2|ICE_FuturesEU|ICE_FuturesEU_1|ICE_EndexEnergy|ICE_EndexEquities|ICE_SwapTradeUS|ICE Futures U.S.|ICE Futures U.S. 1|ICE Futures U.S. 2|ICE Futures Europe|ICE Futures Europe 1|ICE Endex Energy|ICE Endex Equities|ICE Swap Trade U.S.|ICE Swap Trade U.K.|ICE Futures Singapore|ICE_SwapTradeUK|ICE_FuturesSingapore|CME|Thailand stock exchange|Turkey|Milan stock exchange|Taiwan stock exchange|South-Korean settlement|South-Korea exchange|South Africa|Bratislava stock exchange|Moscow exchange|Mexican stock exchange|Russian settlement|Spanish settlement|Luxembourgish settlement|Dutch settlement|Austrian settlement|Tadawul|Tel Aviv stock exchange|Bucharest stock exchange|Singapore exchange|Hong Kong stock exchange|Vienna stock exchange|Prague stock exchange|China inter bank market|Shanghai stock exchange|Colombia Stock Exchange|Buenos Aires stock exchange|Philippine stock exchange|Lima stock exchange|SIX Swiss Exchange|Malaysia Stock Exchange|Thomson Reuters QM/Reuters Spot|Israel Telbor Implementation|WeekendsOnly|weekends only|UNMAPPED|Null|NullCalendar|[A-Z]{4}|CUSTOM_.*))*(\))?"/>
     </xs:restriction>
   </xs:simpleType>
   <xs:simpleType name="dayCounter">