Merge branch 'github-222' into 'master'

Github 222

See merge request qs/ore-github!59

Author: damienbarker

Docs/UserGuide/conventions.tex

@@ -258,6 +258,7 @@ \subsubsection{OIS Conventions}
   <FixedPaymentConvention> </FixedPaymentConvention>
   <Rule> </Rule>
   <PaymentCalendar> </PaymentCalendar>
+  <RateCutoff> </RateCutoff>
 </OIS>
 \end{minted}
 \caption{OIS conventions}
@@ -285,6 +286,11 @@ \subsubsection{OIS Conventions}
 not provided, this defaults to \emph{Backward}.
 \item PaymentCalendar [Optional]: The business day calendar used for determining coupon payment dates.
 If not specified, this defaults to the fixing calendar defined on the overnight index.
+\item RateCutoff: The rate cut-off on the overnight leg. Generally, the overnight fixing
+is only observed up to a certain number of days before the end of the interest period date.
+The last observed rate is applied for the remaining days in the period.
+This rate cut-off gives the number of days e.g.\ 1 for ESTR or SOFR.
+If not specified, this defaults to 0 days.
 \end{itemize}
 
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

Examples/Input/conventions.xml

@@ -889,6 +889,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>DKK-OIS-CONVENTIONS</Id>
@@ -901,6 +902,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>SEK-OIS-CONVENTIONS</Id>
@@ -913,6 +915,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>CHF-OIS-CONVENTIONS</Id>
@@ -925,6 +928,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>CHF-OIS-SARON-CONVENTIONS</Id>
@@ -937,6 +941,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>USD-OIS-CONVENTIONS</Id>
@@ -949,6 +954,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <AverageOIS>
     <Id>USD-AVERAGE-OIS-CONVENTIONS</Id>
@@ -973,6 +979,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>JPY-OIS-CONVENTIONS</Id>
@@ -985,6 +992,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>CAD-OIS-CONVENTIONS</Id>
@@ -997,6 +1005,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <!-- Tenor Basis Swaps -->
   <TenorBasisTwoSwap>

OREData/ored/configuration/conventions.cpp

@@ -1,5 +1,6 @@
 /*
  Copyright (C) 2016 Quaternion Risk Management Ltd
+ Copyright (C) 2024 Oleg Kulkov
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
@@ -285,11 +286,12 @@ QuantLib::ext::shared_ptr<IborIndex> FraConvention::index() const { return parse
 OisConvention::OisConvention(const string& id, const string& spotLag, const string& index,
                              const string& fixedDayCounter, const string& fixedCalendar, const string& paymentLag,
                              const string& eom, const string& fixedFrequency, const string& fixedConvention,
-                             const string& fixedPaymentConvention, const string& rule, const string& paymentCal)
+                             const string& fixedPaymentConvention, const string& rule, const string& paymentCal,
+                             const string& rateCutoff)
     : Convention(id, Type::OIS), strSpotLag_(spotLag), strIndex_(index), strFixedDayCounter_(fixedDayCounter),
       strFixedCalendar_(fixedCalendar), strPaymentLag_(paymentLag), strEom_(eom), strFixedFrequency_(fixedFrequency),
       strFixedConvention_(fixedConvention), strFixedPaymentConvention_(fixedPaymentConvention), strRule_(rule),
-      strPaymentCal_(paymentCal) {
+      strPaymentCal_(paymentCal), strRateCutoff_(rateCutoff) {
     build();
 }
 
@@ -306,6 +308,8 @@ void OisConvention::build() {
         strFixedPaymentConvention_.empty() ? Following : parseBusinessDayConvention(strFixedPaymentConvention_);
     rule_ = strRule_.empty() ? DateGeneration::Backward : parseDateGenerationRule(strRule_);
     paymentCal_ = strPaymentCal_.empty() ? Calendar() : parseCalendar(strPaymentCal_);
+    rateCutoff_ = strRateCutoff_.empty() ? 0 : lexical_cast<Natural>(strRateCutoff_);
+
 }
 
 void OisConvention::fromXML(XMLNode* node) {
@@ -327,6 +331,7 @@ void OisConvention::fromXML(XMLNode* node) {
     strFixedPaymentConvention_ = XMLUtils::getChildValue(node, "FixedPaymentConvention", false);
     strRule_ = XMLUtils::getChildValue(node, "Rule", false);
     strPaymentCal_ = XMLUtils::getChildValue(node, "PaymentCalendar", false);
+    strRateCutoff_ = XMLUtils::getChildValue(node, "RateCutoff", false);
 
     build();
 }
@@ -354,6 +359,8 @@ XMLNode* OisConvention::toXML(XMLDocument& doc) const {
         XMLUtils::addChild(doc, node, "Rule", strRule_);
     if (!strPaymentCal_.empty())
         XMLUtils::addChild(doc, node, "PaymentCalendar", strPaymentCal_);
+    if (!strRateCutoff_.empty())
+        XMLUtils::addChild(doc, node, "RateCutoff", strRateCutoff_);
 
     return node;
 }

OREData/ored/configuration/conventions.hpp

@@ -1,5 +1,6 @@
 /*
  Copyright (C) 2016 Quaternion Risk Management Ltd
+ Copyright (C) 2024 Oleg Kulkov
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
@@ -381,7 +382,8 @@ class OisConvention : public Convention {
                   const string& fixedCalendar, const string& paymentLag = "", const string& eom = "",
                   const string& fixedFrequency = "", const string& fixedConvention = "",
                   const string& fixedPaymentConvention = "", const string& rule = "",
-                  const std::string& paymentCalendar = "");
+                  const std::string& paymentCalendar = "",
+                  const std::string& rateCutoff = "");
     //@}
 
     //! \name Inspectors
@@ -399,6 +401,7 @@ class OisConvention : public Convention {
     BusinessDayConvention fixedPaymentConvention() const { return fixedPaymentConvention_; }
     DateGeneration::Rule rule() const { return rule_; }
     QuantLib::Calendar paymentCalendar() const { return paymentCal_; }
+    Natural rateCutoff() const { return rateCutoff_; }
     //@}
 
     //! \name Serialisation
@@ -419,6 +422,7 @@ class OisConvention : public Convention {
     BusinessDayConvention fixedPaymentConvention_;
     DateGeneration::Rule rule_;
     QuantLib::Calendar paymentCal_;
+    Natural rateCutoff_;
 
     // Strings to store the inputs
     string strSpotLag_;
@@ -432,6 +436,7 @@ class OisConvention : public Convention {
     string strFixedPaymentConvention_;
     string strRule_;
     std::string strPaymentCal_;
+    string strRateCutoff_;
 };
 
 //! Container for storing Ibor Index conventions

OREData/ored/portfolio/tradefactory.cpp

@@ -1,6 +1,7 @@
 /*
  Copyright (C) 2016-2022 Quaternion Risk Management Ltd
  Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
+ Copyright (C) 2023 Oleg Kulkov
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
@@ -41,8 +42,11 @@ QuantLib::ext::shared_ptr<AbstractTradeBuilder> TradeFactory::getBuilder(const s
 void TradeFactory::addBuilder(const std::string& className, const QuantLib::ext::shared_ptr<AbstractTradeBuilder>& builder,
                               const bool allowOverwrite) {
     boost::unique_lock<boost::shared_mutex> lock(mutex_);
-    QL_REQUIRE(builders_.insert(std::make_pair(className, builder)).second || allowOverwrite,
-               "TradeFactory: duplicate builder for className '" << className << "'.");
+    {
+        auto [it, ins] = builders_.try_emplace(className, builder);
+        if (!ins) QL_REQUIRE(allowOverwrite && (it->second = builder),
+                       "TradeFactory: duplicate builder for className '" << className << "'.");
+    }
 }
 
 QuantLib::ext::shared_ptr<Trade> TradeFactory::build(const string& className) const { return getBuilder(className)->build(); }

xsd/conventions.xsd

@@ -105,6 +105,7 @@
       <xs:element type="businessDayConvention" name="FixedPaymentConvention" minOccurs="0" maxOccurs="1"/>
       <xs:element type="dateRule" name="Rule" minOccurs="0" maxOccurs="1"/>
       <xs:element type="xs:string" name="PaymentCalendar" minOccurs="0" maxOccurs="1"/>
+      <xs:element type="xs:integer" name="RateCutoff" minOccurs="0" maxOccurs="1"/>
     </xs:all>
   </xs:complexType>