git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "76c1b6f923"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "c0036c32ab"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

App/CMakeLists.txt

@@ -2,7 +2,7 @@ cmake_minimum_required(VERSION 3.15)
 
 project(App CXX)
 
-include("../cmake/commonSettings.cmake")
+include(commonSettings)
 
 get_library_name("OREPlusBase" OREPBASE_LIB_NAME)
 get_library_name("OREAnalytics" OREA_LIB_NAME)

CMakeLists.txt

@@ -14,7 +14,11 @@ option(ORE_USE_ZLIB "Use compression for boost::iostreams" OFF)
 
 include(CTest)
 
-include("cmake/commonSettings.cmake")
+# Path for local cmake modules
+if(NOT "${CMAKE_CURRENT_LIST_DIR}/cmake" IN_LIST CMAKE_MODULE_PATH)
+    list(APPEND CMAKE_MODULE_PATH "${CMAKE_CURRENT_LIST_DIR}/cmake")
+endif()
+include(commonSettings)
 
 set(USE_GLOBAL_ORE_BUILD ON)
 

Docker/CMakeLists_ORE.txt

@@ -10,7 +10,11 @@ option(ORE_USE_ZLIB "Use compression for boost::iostreams" ON)
 
 include(CTest)
 
-include("cmake/commonSettings.cmake")
+# Path for local cmake modules
+if(NOT "${CMAKE_CURRENT_LIST_DIR}/cmake" IN_LIST CMAKE_MODULE_PATH)
+    list(APPEND CMAKE_MODULE_PATH "${CMAKE_CURRENT_LIST_DIR}/cmake")
+endif()
+include(commonSettings)
 
 add_link_directory_if_exists("${QUANTLIB_SOURCE_DIR}/build/ql")
 

OREAnalytics/CMakeLists.txt

@@ -4,8 +4,8 @@ project(OREAnalytics CXX)
 
 enable_testing()
 
-include("../cmake/writeAll.cmake")
-include("../cmake/commonSettings.cmake")
+include(writeAll)
+include(commonSettings)
 
 get_library_name("OREAnalytics" OREA_LIB_NAME)
 get_library_name("OREData" ORED_LIB_NAME)

OREAnalytics/orea/simm/simmcalculator.cpp

@@ -108,9 +108,12 @@ SimmCalculator::SimmCalculator(const ore::analytics::Crif& crif,
 
         // Make sure we have CRIF amount denominated in the result ccy
         CrifRecord newCrifRecord = cr;
-        if (resultCcy_ == "USD" && cr.hasAmountUsd()) {
+        
+        if (cr.requiresAmountUsd() && resultCcy_ == "USD" && cr.hasAmountUsd()) {
             newCrifRecord.amountResultCcy = newCrifRecord.amountUsd;
-        } else {
+        } else if(cr.requiresAmountUsd()) {
+            // ProductClassMultiplier and AddOnNotionalFactor  don't have a currency and dont need to be converted,
+            // we use the amount
             const Real fxSpot = market_->fxRate(newCrifRecord.amountCurrency + resultCcy_)->value();
             newCrifRecord.amountResultCcy = fxSpot * newCrifRecord.amount;
         }

OREData/CMakeLists.txt

@@ -4,8 +4,8 @@ project(OREData CXX)
 
 enable_testing()
 
-include("../cmake/writeAll.cmake")
-include("../cmake/commonSettings.cmake")
+include(writeAll)
+include(commonSettings)
 
 get_library_name("OREData" ORED_LIB_NAME)
 get_library_name("QuantExt" QLE_LIB_NAME)

OREData/ored/portfolio/trs.cpp

@@ -572,20 +572,41 @@ void TRS::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     DLOG("add required fixings for fundings legs with daily resets (if any)");
 
     for (Size i = 0; i < fundingLegs.size(); ++i) {
-        if (fundingNotionalTypes[i] != TRS::FundingData::NotionalType::DailyReset)
-            continue;
-        for (auto const& c : fundingLegs[i]) {
-            if (auto cpn = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
-                QL_REQUIRE(boost::dynamic_pointer_cast<QuantLib::FixedRateCoupon>(c),
-                           "daily reset funding legs support fixed rate coupons only");
-                for (QuantLib::Date d = cpn->accrualStartDate(); d < cpn->accrualEndDate(); ++d) {
+        if (fundingNotionalTypes[i] == TRS::FundingData::NotionalType::DailyReset) {
+            for (auto const& c : fundingLegs[i]) {
+                if (auto cpn = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
+                    QL_REQUIRE(boost::dynamic_pointer_cast<QuantLib::FixedRateCoupon>(c),
+                               "daily reset funding legs support fixed rate coupons only");
+                    for (QuantLib::Date d = cpn->accrualStartDate(); d < cpn->accrualEndDate(); ++d) {
+                        for (Size j = 0; j < underlying_.size(); ++j) {
+                            Date fixingDate = underlyingIndex[j]->fixingCalendar().adjust(d, Preceding);
+                            for (auto const& [n, _] : indexNamesAndQty)
+                                requiredFixings_.addFixingDate(fixingDate, n, cpn->date(), false, false);
+                            for (auto const& n : fxIndices) {
+                                requiredFixings_.addFixingDate(n.second->fixingCalendar().adjust(fixingDate, Preceding),
+                                                               n.first, cpn->date(), false, false);
+                            }
+                        }
+                    }
+                }
+            }
+        }  else if (fundingNotionalTypes[i] == TRS::FundingData::NotionalType::PeriodReset) {
+            for (auto const& c : fundingLegs[i]) {
+                if (auto cpn = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
                     for (Size j = 0; j < underlying_.size(); ++j) {
-                        Date fixingDate = underlyingIndex[j]->fixingCalendar().adjust(d, Preceding);
+                        Date fundingStartDate = cpn->accrualStartDate();
+                        Size currentIdx = std::distance(valuationDates.begin(),
+                                            std::upper_bound(valuationDates.begin(),
+                                                             valuationDates.end(),
+                                                             fundingStartDate + fundingData_.fundingResetGracePeriod()));
+                        if (currentIdx > 0)
+                            --currentIdx;
+                        Date fixingDate = valuationDates[currentIdx];
                         for (auto const& [n, _] : indexNamesAndQty)
-                            requiredFixings_.addFixingDate(fixingDate, n, cpn->date());
+                            requiredFixings_.addFixingDate(fixingDate, n, cpn->date(), false, false);
                         for (auto const& n : fxIndices) {
                             requiredFixings_.addFixingDate(n.second->fixingCalendar().adjust(fixingDate, Preceding),
-                                                           n.first, cpn->date());
+                                                           n.first, cpn->date(), false, false);
                         }
                     }
                 }

QuantExt/CMakeLists.txt

@@ -4,9 +4,9 @@ project(QuantExt CXX)
 
 enable_testing()
 
-include("../cmake/writeAll.cmake")
-include("../cmake/writeTestSuiteMain.cmake")
-include("../cmake/commonSettings.cmake")
+include(writeAll)
+include(writeTestSuiteMain)
+include(commonSettings)
 
 get_library_name("QuantExt" QLE_LIB_NAME)
 set_ql_library_name()