Merge branch 'bugfix/QPR-13630' into 'master'

QPR-13630 portfolio build if allFixings = false or enrich fixings (GH295)

Closes QPR-13630

See merge request qs/oreplus!3008

Author: damienbarker

OREAnalytics/orea/app/analytic.cpp

@@ -211,16 +211,29 @@ QuantLib::ext::shared_ptr<EngineFactory> Analytic::Impl::engineFactory() {
 }
 
 void Analytic::setUp() {
+
     if (!portfolio_) {
         portfolio_ = QuantLib::ext::make_shared<Portfolio>();
         if (inputs()->portfolio()) {
             for (const auto& [tradeId, trade] : inputs()->portfolio()->trades())
                 portfolio_->add(trade);
         }
     }
+
     buildConfigurations();
-    if (inputs()->enrichIndexFixings() && portfolio_)
-        enrichIndexFixings(portfolio_);
+
+    /* if we do not load all fixings, and the portfolio is not built at this point,
+       we built it against a dummy market using the portfolio analyser, so that
+       we can ask the portfolio for its required fixings in the market data loader
+       and also enrich the index fixings here (if desired). */
+    if (!portfolio_->empty() && !inputs()->allFixings()) {
+        if (!portfolio_->isBuilt()) {
+            PortfolioAnalyser(portfolio_, inputs_->pricingEngine(), inputs_->baseCurrency(),
+                              configurations().curveConfig, inputs_->refDataManager(), inputs_->iborFallbackConfig());
+        }
+        if (inputs()->enrichIndexFixings())
+            enrichIndexFixings(portfolio_);
+    }
 }
 
 void Analytic::buildMarket(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
@@ -344,13 +357,6 @@ void Analytic::enrichIndexFixings(const QuantLib::ext::shared_ptr<ore::data::Por
 
     startTimer("enrichIndexFixings()");
     QL_REQUIRE(portfolio, "portfolio cannot be empty");
-        
-    //! if the portfolio is not built, create a portfolio analyser which builds the portfolio under a dummy market
-    if (!portfolio->isBuilt()) {
-        PortfolioAnalyser(
-            portfolio_, inputs_->pricingEngine(), inputs_->baseCurrency(), configurations().curveConfig,
-            inputs_->refDataManager(), inputs_->iborFallbackConfig());
-    }
 
     auto isFallbackFixingDateWithinLimit = [this](Date originalFixingDate, Date fallbackFixingDate) {
         if (fallbackFixingDate > originalFixingDate) {

OREAnalytics/orea/app/marketdataloader.cpp

@@ -208,7 +208,7 @@ void MarketDataLoader::populateFixings(
         amendInflationFixingDates(fixings_);
     }
 
-    if (fixings_.size() > 0 && impl_)
+    if ((inputs_->allFixings() || fixings_.size() > 0) && impl_)
         impl()->retrieveFixings(loader_, fixings_, lastAvailableFixingLookupMap);
 
     applyFixings(loader_->loadFixings());