Merge remote-tracking branch 'origin/master' into QPR-12427

Author: mgroncki

App/ore.cpp

@@ -76,7 +76,7 @@ int main(int argc, char** argv) {
     string inputFile(argv[1]);
 
     try {
-        auto params = boost::make_shared<Parameters>();
+        auto params = QuantLib::ext::make_shared<Parameters>();
         params->fromFile(inputFile);
         OREApp ore(params, true);
         ore.run();

Docs/AMC/amc.tex

@@ -113,6 +113,7 @@ \section*{Document Change History}
 \hline
 na & 25 February 2019  & Peter Caspers & initial version\\
 na & 23 October 2023 & Peter Caspers & add parameter RegressorModel\\
+na & 4 April 2024 & Peter Caspers & add parameter RegressionVarianceCutoff\\
 \hline
 \end{supertabular}
 \end{center}
@@ -247,6 +248,7 @@ \subsection{Pricing Engine Configuration}\label{sec:pricing_engine_config}
     <Parameter name="SobolDirectionIntegers">JoeKuoD7</Parameter>
     <Parameter name="MinObsDate">true</Parameter>
     <Parameter name="RegressorModel">Simple</Parameter>
+    <Parameter name="RegressionVarianceCutoff">1E-5</Parameter>
   </EngineParameters>
 </Product>
 \end{minted}
@@ -286,6 +288,9 @@ \subsection{Pricing Engine Configuration}\label{sec:pricing_engine_config}
       addition, past FX states that are relevant for future cashflows are included. For example, for a FX resettable
       cashflow the FX state observed on the FX reset date is included.
   \end{itemize}
+\item \verb+RegressionVarianceCutoff+: Optional. If given, a coordinate transform and (possibly) a factor reduction is
+  applied to the regressors, such that $1-\epsilon$ of the total variance of regressors is kept, where $\epsilon$ the
+  given parameter. This helps dealing with collinearity and also reducing the dimnensionality of the regression model.
 \end{enumerate}
 
 \begin{table}[hbt]

Docs/ScriptedTrade/docs/models.tex

@@ -50,6 +50,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="Interactive">false</Parameter>
       <Parameter name="BootstrapTolerance">0.1</Parameter>
       <Parameter name="IncludePastCashflows">true</Parameter>
+      <Parameter name="RegressionVarianceCutoff">1E-5</Parameter>
       <!-- product specific parameters -->
       <Parameter name="RegressionOrder_SingleAssetOption(EQ)">6</Parameter>
       <Parameter name="RegressionOrder_SingleAssetOption(FX)">6</Parameter>
@@ -139,6 +140,10 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
 \item BootstrapTolerance: tolerance for calibration bootstrap, only applies to model = GaussianCam
 \item IncludePastCashflows: if true, LOGPAY() will generate cashflow information for pay dates on or before the
   reference date. Optional, defaults to false.
+\item RegressionVarianceCutoff: Optional. Only relevant for MC models. If given, a coordinate transform and (possibly) a
+  factor reduction is applied to the regressors used for conditional expectation calculation, such that $1-\epsilon$ of
+  the total variance of regressors is kept, where $\epsilon$ the given parameter. This helps dealing with collinearity
+  and also reducing the dimnensionality of the regression model.
 \item Interactive: If true an interactive session is started on script execution for debugging purposes; should be false
   except for debugging purposes
 \item UseAD: If true and RunType in the global pricing engine parameters is SensitivityDelta, a first order pnl

Docs/UserGuide/userguide.tex

@@ -3951,6 +3951,7 @@ \subsubsection{Analytics}\label{sec:analytics}
     <Parameter name="baseCurrency">EUR</Parameter>
     <Parameter name="outputFileName">npv.csv</Parameter>
     <Parameter name="additionalResults">Y</Parameter>
+    <Parameter name="additionalResultsReportPrecision">6</Parameter>
   </Analytic>      
   <Analytic type="cashflow">
     <Parameter name="active">Y</Parameter>

Examples/Example_1/Input/ore.xml

@@ -32,6 +32,7 @@
       <Parameter name="baseCurrency">EUR</Parameter>
       <Parameter name="outputFileName">npv.csv</Parameter>
       <Parameter name="additionalResults">Y</Parameter>
+      <Parameter name="additionalResultsReportPrecision">12</Parameter>
     </Analytic>
     <Analytic type="cashflow">
       <Parameter name="active">Y</Parameter>

Examples/Example_10/Input/ore.xml

@@ -51,7 +51,7 @@
     <Analytic type="xva">
       <Parameter name="active">Y</Parameter>
       <Parameter name="csaFile">netting.xml</Parameter>
-      <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
+      <!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
       <Parameter name="cubeFile">cube.csv.gz</Parameter>
       <Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
       <Parameter name="baseCurrency">EUR</Parameter>

Examples/Example_10/Input/ore_iah_0.xml

@@ -51,7 +51,7 @@
     <Analytic type="xva">
       <Parameter name="active">Y</Parameter>
       <Parameter name="csaFile">netting_iah_0.xml</Parameter>
-      <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
+      <!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
       <Parameter name="cubeFile">cube.csv.gz</Parameter>
       <Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
       <Parameter name="baseCurrency">EUR</Parameter>

Examples/Example_10/Input/ore_iah_1.xml

@@ -51,7 +51,7 @@
     <Analytic type="xva">
       <Parameter name="active">Y</Parameter>
       <Parameter name="csaFile">netting_iah_1.xml</Parameter>
-      <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
+      <!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
       <Parameter name="cubeFile">cube.csv.gz</Parameter>
       <Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
       <Parameter name="baseCurrency">EUR</Parameter>

Examples/Example_10/Input/ore_mpor.xml

@@ -50,7 +50,7 @@
     <Analytic type="xva">
       <Parameter name="active">Y</Parameter>
       <Parameter name="csaFile">netting_mpor.xml</Parameter>
-      <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
+      <!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
       <Parameter name="cubeFile">cube.csv.gz</Parameter>
       <Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
       <Parameter name="baseCurrency">EUR</Parameter>

Examples/Example_10/Input/ore_mta.xml

@@ -50,7 +50,7 @@
     <Analytic type="xva">
       <Parameter name="active">Y</Parameter>
       <Parameter name="csaFile">netting_mta.xml</Parameter>
-      <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
+      <!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
       <Parameter name="cubeFile">cube.csv.gz</Parameter>
       <Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
       <Parameter name="baseCurrency">EUR</Parameter>