git subrepo pull (merge) ore

jenkins · jenkins · commit 3d3d09c24752 · 2023-11-27T13:05:43.000Z
subrepo: subdir: "ore" merged: "eb044866e3" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "a4d28e55d2" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
diff --git a/Docs/UserGuide/tradecomponents/optiondata.tex b/Docs/UserGuide/tradecomponents/optiondata.tex
@@ -29,6 +29,14 @@ \subsubsection{Option Data}
     <ExerciseDate>2019-04-20</ExerciseDate>
     <ExerciseDate>2020-04-20</ExerciseDate>
   </ExerciseDates>
+  <!-- Alternative format for exercise dates using Schedule format -->
+  <ExerciseSchedule>
+    <Rules>
+      <StartDate>2019-04-20</StartDate>
+      <EndDate>2024-04-20</EndDate>
+      <Tenor>3M</Tenor>
+    </Rules>
+  </ExerciseSchedule>
   <Premiums>
     <Premium>
       <Amount>100000</Amount>
@@ -195,11 +203,16 @@ \subsubsection{Option Data}
   Allowable values: See Table \ref{tab:convention} Roll Convention.
 
 \item ExerciseDates: This node contains child elements of type
-  \lstinline!ExerciseDate!.  Options of style \emph{European} or
+  \lstinline!ExerciseDate!. Options of style \emph{European} or
   \emph{American} require a single exercise date expressed by one
   single \lstinline!ExerciseDate! child element.  \emph{Bermudan}
   style options must have two or more \lstinline!ExerciseDate! child
-  elements.
+  elements. One can alternatively use \lstinline!ExerciseSchedule! to
+  specify the option exercise dates.
+
+\item ExerciseSchedule [Optional]: This node can be provided instead of \lstinline!ExerciseDates! and
+should be specified in the same format as a Schedule (see Section \ref{ss:schedule_data}), e.g.\ for
+a list of Bermudan exercise dates.
 
 \item Premiums [Optional]: Option premium amounts paid by the option buyer to the option seller.
 
diff --git a/OREAnalytics/orea/app/reportwriter.cpp b/OREAnalytics/orea/app/reportwriter.cpp
@@ -196,7 +196,7 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
             auto addResults = trade->instrument()->additionalResults();
             auto cashFlowResults = addResults.find("cashFlowResults");
 
-            const Real multiplier = trade->instrument()->multiplier();
+            const Real multiplier = trade->instrument()->multiplier() * trade->instrument()->multiplier2();
 
             if (cashFlowResults == addResults.end()) {
 
diff --git a/OREData/ored/portfolio/asianoption.cpp b/OREData/ored/portfolio/asianoption.cpp
@@ -171,7 +171,7 @@ void AsianOption::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     std::vector<Real> additionalMultipliers;
     maturity_ = expiryDate;
     maturity_ =
-        std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, 1.0, option_.premiumData(),
+        std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, mult, option_.premiumData(),
                                         positionType == QuantLib::Position::Long ? -1.0 : 1.0, payCcy, engineFactory,
                                         configuration));
 
diff --git a/OREData/ored/portfolio/barrieroption.cpp b/OREData/ored/portfolio/barrieroption.cpp
@@ -165,9 +165,9 @@ void BarrierOption::build(const boost::shared_ptr<EngineFactory>& engineFactory)
     // Add additional premium payments
     Real bsInd = (positionType == QuantLib::Position::Long ? 1.0 : -1.0);
     Date lastPremiumDate =
-        addPremiums(additionalInstruments, additionalMultipliers, tradeMultiplier(), option_.premiumData(), -bsInd,
-                    tradeCurrency(), engineFactory, engineFactory->configuration(MarketContext::pricing));
-    
+        addPremiums(additionalInstruments, additionalMultipliers, bsInd * tradeMultiplier(), option_.premiumData(),
+                    -bsInd, tradeCurrency(), engineFactory, engineFactory->configuration(MarketContext::pricing));
+
     // set the maturity
     maturity_ = std::max(lastPremiumDate, payDate);
 }
diff --git a/OREData/ored/portfolio/capfloor.cpp b/OREData/ored/portfolio/capfloor.cpp
@@ -441,7 +441,7 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
 
     std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
     std::vector<Real> additionalMultipliers;
-    maturity_ = std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, 1.0, premiumData_,
+    maturity_ = std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, multiplier, premiumData_,
                                                 -multiplier, parseCurrency(legData_.currency()), engineFactory,
                                                 engineFactory->configuration(MarketContext::pricing)));
 
diff --git a/OREData/ored/portfolio/commodityspreadoption.cpp b/OREData/ored/portfolio/commodityspreadoption.cpp
@@ -284,7 +284,7 @@ void CommoditySpreadOption::build(const boost::shared_ptr<ore::data::EngineFacto
 
     // Add premium
     auto configuration = engineBuilder->configuration(MarketContext::pricing);
-    maturity_ = std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, bsInd,
+    maturity_ = std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, firstMultiplier,
                                                 optionData_.premiumData(), -bsInd, ccy, engineFactory, configuration));
 
     instrument_ = boost::make_shared<VanillaInstrument>(firstInstrument, firstMultiplier, additionalInstruments,
diff --git a/OREData/ored/portfolio/creditdefaultswapoption.cpp b/OREData/ored/portfolio/creditdefaultswapoption.cpp
@@ -325,13 +325,16 @@ void CreditDefaultSwapOption::buildDefaulted(const boost::shared_ptr<EngineFacto
             amount *= -1.0;
     }
 
+    Position::Type positionType = parsePositionType(option_.longShort());
+    Real indicatorLongShort = positionType == Position::Long ? 1.0 : -1.0;
+
     // Use the add premiums method to add the payment.
     string marketConfig = Market::defaultConfiguration;
     auto ccy = parseCurrency(notionalCurrency_);
     vector<boost::shared_ptr<Instrument>> additionalInstruments;
     vector<Real> additionalMultipliers;
     Date premiumPayDate =
-        addPremiums(additionalInstruments, additionalMultipliers, 1.0,
+        addPremiums(additionalInstruments, additionalMultipliers, indicatorLongShort,
                     PremiumData(amount, notionalCurrency_, paymentDate), 1.0, ccy, engineFactory, marketConfig);
     DLOG("FEP payment (date = " << paymentDate << ", amount = " << amount << ") added for CDS option " << id() << ".");
 
@@ -346,8 +349,6 @@ void CreditDefaultSwapOption::buildDefaulted(const boost::shared_ptr<EngineFacto
     addPremium(engineFactory, ccy, marketConfig, additionalInstruments, additionalMultipliers);
 
     // Instrument wrapper.
-    Position::Type positionType = parsePositionType(option_.longShort());
-    Real indicatorLongShort = positionType == Position::Long ? 1.0 : -1.0;
     instrument_ = boost::make_shared<VanillaInstrument>(qlInst, indicatorLongShort,
         additionalInstruments, additionalMultipliers);
 }
@@ -361,8 +362,8 @@ Date CreditDefaultSwapOption::addPremium(const boost::shared_ptr<EngineFactory>&
         // pay the premium if long the option and receive the premium if short the option.
         Position::Type positionType = parsePositionType(option_.longShort());
         Real indicatorLongShort = positionType == Position::Long ? 1.0 : -1.0;
-        return addPremiums(additionalInstruments, additionalMultipliers, 1.0, option_.premiumData(), indicatorLongShort,
-                           tradeCurrency, ef, marketConfig);
+        return addPremiums(additionalInstruments, additionalMultipliers, indicatorLongShort, option_.premiumData(),
+                           indicatorLongShort, tradeCurrency, ef, marketConfig);
 }
 
 }
diff --git a/OREData/ored/portfolio/equitydoubletouchoption.cpp b/OREData/ored/portfolio/equitydoubletouchoption.cpp
@@ -125,9 +125,9 @@ void EquityDoubleTouchOption::build(const boost::shared_ptr<EngineFactory>& engi
 
     std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
     std::vector<Real> additionalMultipliers;
-    Date lastPremiumDate =
-        addPremiums(additionalInstruments, additionalMultipliers, payoffAmount_, option_.premiumData(),
-                    isLong ? -1.0 : 1.0, ccy, engineFactory, builder->configuration(MarketContext::pricing));
+    Date lastPremiumDate = addPremiums(
+        additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_, option_.premiumData(),
+        isLong ? -1.0 : 1.0, ccy, engineFactory, builder->configuration(MarketContext::pricing));
 
     Handle<Quote> spot = market->equitySpot(assetName);
     instrument_ = boost::make_shared<DoubleBarrierOptionWrapper>(
diff --git a/OREData/ored/portfolio/equitytouchoption.cpp b/OREData/ored/portfolio/equitytouchoption.cpp
@@ -145,9 +145,9 @@ void EquityTouchOption::build(const boost::shared_ptr<EngineFactory>& engineFact
 
     std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
     std::vector<Real> additionalMultipliers;
-    Date lastPremiumDate =
-        addPremiums(additionalInstruments, additionalMultipliers, payoffAmount_, option_.premiumData(),
-                    isLong ? -1.0 : 1.0, ccy, engineFactory, builder->configuration(MarketContext::pricing));
+    Date lastPremiumDate = addPremiums(
+        additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_, option_.premiumData(),
+        isLong ? -1.0 : 1.0, ccy, engineFactory, builder->configuration(MarketContext::pricing));
 
     Handle<Quote> spot = market->equitySpot(assetName);
     instrument_ = boost::make_shared<SingleBarrierOptionWrapper>(
diff --git a/OREData/ored/portfolio/fxdigitalbarrieroption.cpp b/OREData/ored/portfolio/fxdigitalbarrieroption.cpp
@@ -142,7 +142,8 @@ void FxDigitalBarrierOption::build(const boost::shared_ptr<EngineFactory>& engin
     // 2) add fee payment as additional trade leg for cash flow reporting
     std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
     std::vector<Real> additionalMultipliers;
-    Date lastPremiumDate = addPremiums(additionalInstruments, additionalMultipliers, 1.0, option_.premiumData(), -bsInd,
+    Date lastPremiumDate = addPremiums(additionalInstruments, additionalMultipliers,
+                                       positionType == Position::Long ? 1.0 : -1.0, option_.premiumData(), -bsInd,
                                        soldCcy, engineFactory, fxOptBuilder->configuration(MarketContext::pricing));
 
     Settlement::Type settleType = parseSettlementType(option_.settlement());
diff --git a/OREData/ored/portfolio/fxdoubletouchoption.cpp b/OREData/ored/portfolio/fxdoubletouchoption.cpp
@@ -157,9 +157,10 @@ void FxDoubleTouchOption::build(const boost::shared_ptr<EngineFactory>& engineFa
 
     std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
     std::vector<Real> additionalMultipliers;
-    Date lastPremiumDate = addPremiums(additionalInstruments, additionalMultipliers, payoffAmount_,
-                                       option_.premiumData(), isLong ? -1.0 : 1.0, parseCurrency(payoffCurrency_),
-                                       engineFactory, builder->configuration(MarketContext::pricing));
+    Date lastPremiumDate =
+        addPremiums(additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_,
+                    option_.premiumData(), isLong ? -1.0 : 1.0, parseCurrency(payoffCurrency_), engineFactory,
+                    builder->configuration(MarketContext::pricing));
 
     Handle<Quote> spot = market->fxSpot(fgnCcy.code() + domCcy.code());
     instrument_ = boost::make_shared<DoubleBarrierOptionWrapper>(
diff --git a/OREData/ored/portfolio/fxkikobarrieroption.cpp b/OREData/ored/portfolio/fxkikobarrieroption.cpp
@@ -170,9 +170,9 @@ void FxKIKOBarrierOption::build(const boost::shared_ptr<EngineFactory>& engineFa
 
     std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
     std::vector<Real> additionalMultipliers;
-    Date lastPremiumDate =
-        addPremiums(additionalInstruments, additionalMultipliers, boughtAmount_, option_.premiumData(), -bsInd, soldCcy,
-                    engineFactory, fxOptBuilder->configuration(MarketContext::pricing));
+    Date lastPremiumDate = addPremiums(
+        additionalInstruments, additionalMultipliers, (positionType == Position::Long ? 1.0 : -1.0) * boughtAmount_,
+        option_.premiumData(), -bsInd, soldCcy, engineFactory, fxOptBuilder->configuration(MarketContext::pricing));
 
     // we build a knock out option
     boost::shared_ptr<Instrument> barrier =
diff --git a/OREData/ored/portfolio/fxtouchoption.cpp b/OREData/ored/portfolio/fxtouchoption.cpp
@@ -190,9 +190,10 @@ void FxTouchOption::build(const boost::shared_ptr<EngineFactory>& engineFactory)
 
         std::vector<boost::shared_ptr<Instrument>> additionalInstruments;
         std::vector<Real> additionalMultipliers;
-        Date lastPremiumDate = addPremiums(additionalInstruments, additionalMultipliers, payoffAmount_,
-                                           option_.premiumData(), isLong ? -1.0 : 1.0, parseCurrency(payoffCurrency_),
-                                           engineFactory, builder->configuration(MarketContext::pricing));
+        Date lastPremiumDate =
+            addPremiums(additionalInstruments, additionalMultipliers, (isLong ? 1.0 : -1.0) * payoffAmount_,
+                        option_.premiumData(), isLong ? -1.0 : 1.0, parseCurrency(payoffCurrency_), engineFactory,
+                        builder->configuration(MarketContext::pricing));
 
         Handle<Quote> spot = market->fxRate(fgnCcy.code() + domCcy.code());
 
diff --git a/OREData/ored/portfolio/indexcreditdefaultswapoption.cpp b/OREData/ored/portfolio/indexcreditdefaultswapoption.cpp
@@ -313,8 +313,8 @@ void IndexCreditDefaultSwapOption::build(const boost::shared_ptr<EngineFactory>&
     vector<Real> additionalMultipliers;
     string configuration = iCdsOptionEngineBuilder->configuration(MarketContext::pricing);
     maturity_ =
-        std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, 1.0, option_.premiumData(),
-                                        -indicatorLongShort, ccy, engineFactory, configuration));
+        std::max(maturity_, addPremiums(additionalInstruments, additionalMultipliers, indicatorLongShort,
+                                        option_.premiumData(), -indicatorLongShort, ccy, engineFactory, configuration));
 
     // Instrument wrapper depends on the settlement type.
     // The instrument build should be indpednent of the evaluation date. However, the general behavior
diff --git a/OREData/ored/portfolio/optiondata.cpp b/OREData/ored/portfolio/optiondata.cpp
@@ -54,7 +54,17 @@ void OptionData::fromXML(XMLNode* node) {
     exerciseFeeSettlementCalendar_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementCalendar", false);
     exerciseFeeSettlementConvention_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementConvention", false);
     exercisePrices_ = XMLUtils::getChildrenValuesAsDoubles(node, "ExercisePrices", "ExercisePrice", false);
-    exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate", false);
+    
+    XMLNode* exDatesNode = XMLUtils::getChildNode(node, "ExerciseDates");
+    XMLNode* exScheduleNode = XMLUtils::getChildNode(node, "ExerciseSchedule");
+    QL_REQUIRE(!(exDatesNode && exScheduleNode),
+               "Cannot specify both ExerciseDates and ExerciseSchedule. Only one must be used.");
+    if (exDatesNode) {
+        exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate");
+    }
+    if (exScheduleNode) {
+        exerciseDatesSchedule_.fromXML(exScheduleNode);
+    }
 
     automaticExercise_ = boost::none;
     if (XMLNode* n = XMLUtils::getChildNode(node, "AutomaticExercise"))
@@ -104,7 +114,14 @@ XMLNode* OptionData::toXML(XMLDocument& doc) {
     if (exerciseFeeSettlementConvention_ != "")
         XMLUtils::addChild(doc, node, "ExerciseFeeSettlementConvention", exerciseFeeSettlementConvention_);
     XMLUtils::addChildren(doc, node, "ExercisePrices", "ExercisePrice", exercisePrices_);
-    XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
+
+    if (exerciseDatesSchedule_.hasData()) {
+        XMLNode* scheduleDataNode = exerciseDatesSchedule_.toXML(doc);
+        XMLUtils::setNodeName(doc, scheduleDataNode, "ExerciseSchedule");
+        XMLUtils::appendNode(node, scheduleDataNode);
+    } else {
+        XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
+    }
 
     if (automaticExercise_)
         XMLUtils::addChild(doc, node, "AutomaticExercise", *automaticExercise_);
@@ -146,8 +163,14 @@ ExerciseBuilder::ExerciseBuilder(const OptionData& optionData, const std::vector
     // build vector of sorted exercise dates
 
     std::vector<QuantLib::Date> sortedExerciseDates;
-    for (auto const& d : optionData.exerciseDates())
-        sortedExerciseDates.push_back(parseDate(d));
+    if (optionData.exerciseDatesSchedule().hasData()) {
+        Schedule schedule = makeSchedule(optionData.exerciseDatesSchedule());
+        sortedExerciseDates = schedule.dates();
+    } else {
+        // For backward compatibility
+        for (auto const& d : optionData.exerciseDates())
+            sortedExerciseDates.push_back(parseDate(d));
+    }
     std::sort(sortedExerciseDates.begin(), sortedExerciseDates.end());
 
     // build vector of alive exercise dates and corresponding native dates
diff --git a/OREData/ored/portfolio/optiondata.hpp b/OREData/ored/portfolio/optiondata.hpp
@@ -74,6 +74,7 @@ class OptionData : public XMLSerializable {
     const string& style() const { return style_; }
     const bool& payoffAtExpiry() const { return payoffAtExpiry_; }
     const vector<string>& exerciseDates() const { return exerciseDates_; }
+    const ScheduleData& exerciseDatesSchedule() const { return exerciseDatesSchedule_; }
     const string& noticePeriod() const { return noticePeriod_; }
     const string& noticeCalendar() const { return noticeCalendar_; }
     const string& noticeConvention() const { return noticeConvention_; }
@@ -95,6 +96,7 @@ class OptionData : public XMLSerializable {
     //! \name Setters
     //@{
     void setExerciseDates(const std::vector<std::string>& exerciseDates) { exerciseDates_ = exerciseDates; }
+    void setExerciseDates(const ScheduleData& exerciseDatesSchedule) { exerciseDatesSchedule_ = exerciseDatesSchedule; }
     void setAutomaticExercise(bool automaticExercise) { automaticExercise_ = automaticExercise; }
     void setPaymentData(const OptionPaymentData& paymentData) { paymentData_ = paymentData; }
     void setCallPut(const string& callPut) { callPut_ = callPut; }
@@ -121,6 +123,7 @@ class OptionData : public XMLSerializable {
     string payoffType2_;  // Geometric, Arithmetic
     string style_;        // European, Bermudan, American
     bool payoffAtExpiry_; // Y or N
+    ScheduleData exerciseDatesSchedule_;
     vector<string> exerciseDates_;
     string noticePeriod_;
     string noticeCalendar_;
diff --git a/OREData/ored/portfolio/schedule.cpp b/OREData/ored/portfolio/schedule.cpp
@@ -313,7 +313,8 @@ Schedule makeSchedule(const ScheduleDerived& data, const Schedule& baseSchedule)
         derivedDates.push_back(derivedDate);
     }
     return Schedule(vector<Date>(derivedDates.begin(), derivedDates.end()), calendar, convention, boost::none,
-                    baseSchedule.tenor(), boost::none, baseSchedule.endOfMonth());
+                    baseSchedule.tenor(), boost::none, baseSchedule.endOfMonth(), std::vector<bool>(0), 
+                    data.removeFirstDate(), data.removeLastDate());
 }
 
 Schedule makeSchedule(const ScheduleRules& data, const Date& openEndDateReplacement) {
@@ -368,7 +369,7 @@ Schedule makeSchedule(const ScheduleRules& data, const Date& openEndDateReplacem
             auto dates = weeklyDates(startDate, endDate, firstDate, data.rule() == "CalendarWeek");
             for (auto& d : dates)
                 d = calendar.adjust(d, bdc);
-            return Schedule(dates, calendar, bdc, bdcEnd, tenor, rule, endOfMonth);
+            return Schedule(dates, calendar, bdc, bdcEnd, tenor, rule, endOfMonth, std::vector<bool>(0), data.removeFirstDate(), data.removeLastDate());
         }
 
         // parse rule for further processing below
@@ -392,12 +393,14 @@ Schedule makeSchedule(const ScheduleRules& data, const Date& openEndDateReplacem
             dates.front() = firstDate;
         if (lastDate != Date())
             dates.back() = lastDate;
-        return Schedule(dates, calendar, bdc, bdcEnd, tenor, rule, endOfMonth);
+        return Schedule(dates, calendar, bdc, bdcEnd, tenor, rule, endOfMonth, std::vector<bool>(0),
+                        data.removeFirstDate(), data.removeLastDate());
     }
 
     // default handling (QuantLib scheduler)
 
-    return Schedule(startDate, endDate, tenor, calendar, bdc, bdcEnd, rule, endOfMonth, firstDate, lastDate);
+    return Schedule(startDate, endDate, tenor, calendar, bdc, bdcEnd, rule, endOfMonth, firstDate, lastDate,
+                    data.removeFirstDate(), data.removeLastDate());
 }
 
 namespace {
diff --git a/OREData/ored/portfolio/swaption.cpp b/OREData/ored/portfolio/swaption.cpp
diff --git a/QuantLib b/QuantLib
diff --git a/xsd/instruments.xsd b/xsd/instruments.xsd
