QPR-11462 -- Add back in SIMMResultCurrency to SIMM backtest reports and redefine 'Currency' as the 'discounting' currency

Author: NathanielVolfango

OREAnalytics/orea/engine/marketriskbacktest.cpp

@@ -46,15 +46,15 @@ const QuantLib::ext::shared_ptr<ore::data::Report>& MarketRiskBacktest::Backtest
 }
 
 MarketRiskBacktest::MarketRiskBacktest(
-    const std::string& baseCurrency,
+    const std::string& calculationCurrency,
     std::unique_ptr<BacktestArgs> btArgs, 
     std::unique_ptr<SensiRunArgs> sensiArgs,
     std::unique_ptr<FullRevalArgs> revalArgs,
     std::unique_ptr<MultiThreadArgs> mtArgs,
     const ext::shared_ptr<HistoricalScenarioGenerator>& hisScenGen,
     const bool breakdown,
     const bool requireTradePnl)
-    : MarketRiskReport(baseCurrency, btArgs->backtestPeriod_, hisScenGen, std::move(sensiArgs), std::move(revalArgs),
+    : MarketRiskReport(calculationCurrency, btArgs->backtestPeriod_, hisScenGen, std::move(sensiArgs), std::move(revalArgs),
                        std::move(mtArgs), breakdown, requireTradePnl),
       btArgs_(std::move(btArgs)) {
     init();
@@ -403,7 +403,7 @@ void MarketRiskBacktest::addPnlRow(const QuantLib::ext::shared_ptr<BacktestRepor
         .add(shift_2)
         .add(deltaPnl)
         .add(gammaPnl)
-        .add(baseCurrency_);
+        .add(calculationCurrency_);
 }
 
 void BacktestPNLCalculator::writePNL(Size scenarioIdx, bool isCall, const RiskFactorKey& key_1, Real shift_1,

OREAnalytics/orea/engine/marketriskbacktest.hpp

@@ -122,7 +122,7 @@ class MarketRiskBacktest : public ore::analytics::MarketRiskReport {
         void reset() { var = 0.0; }
     };
 
-    MarketRiskBacktest(const std::string& baseCurrency,
+    MarketRiskBacktest(const std::string& calculationCurrency,
                        std::unique_ptr<BacktestArgs> btArgs,
                        std::unique_ptr<SensiRunArgs> sensiArgs = nullptr,
                        std::unique_ptr<FullRevalArgs> revalArgs = nullptr,

OREAnalytics/orea/engine/marketriskreport.cpp

@@ -83,11 +83,11 @@ void MarketRiskReport::init() {
                 vector<Date>(1, fullRevalArgs_->simMarket_->asofDate()), hisScenGen_->numScenarios());
 
             histPnlGen_ = QuantLib::ext::make_shared<HistoricalPnlGenerator>(
-                baseCurrency_, fullRevalArgs_->portfolio_, fullRevalArgs_->simMarket_, 
+                calculationCurrency_, fullRevalArgs_->portfolio_, fullRevalArgs_->simMarket_, 
                 hisScenGen_, cube, factory_->modelBuilders(), fullRevalArgs_->dryRun_);
         } else {
             histPnlGen_ = QuantLib::ext::make_shared<HistoricalPnlGenerator>(
-                baseCurrency_, fullRevalArgs_->portfolio_, hisScenGen_,
+                calculationCurrency_, fullRevalArgs_->portfolio_, hisScenGen_,
                 fullRevalArgs_->engineData_,
                 multiThreadArgs_->nThreads_, multiThreadArgs_->today_, multiThreadArgs_->loader_,
                 multiThreadArgs_->curveConfigs_, multiThreadArgs_->todaysMarketParams_,

OREAnalytics/orea/engine/marketriskreport.hpp

@@ -154,13 +154,15 @@ class MarketRiskReport : public ore::data::ProgressReporter {
         std::vector<QuantLib::ext::shared_ptr<ore::data::Report>> reports_;
     };
 
-    MarketRiskReport(const std::string& baseCurrency, boost::optional<ore::data::TimePeriod> period, const QuantLib::ext::shared_ptr<HistoricalScenarioGenerator>& hisScenGen = nullptr, 
-        std::unique_ptr<SensiRunArgs> sensiArgs = nullptr, std::unique_ptr<FullRevalArgs> fullRevalArgs = nullptr,
-        std::unique_ptr<MultiThreadArgs> multiThreadArgs = nullptr, const bool breakdown = false, 
-        const bool requireTradePnl = false)
-        : baseCurrency_(baseCurrency), period_(period), hisScenGen_(hisScenGen), sensiArgs_(std::move(sensiArgs)),
-          fullRevalArgs_(std::move(fullRevalArgs)),  multiThreadArgs_(std::move(multiThreadArgs)), breakdown_(breakdown), 
-          requireTradePnl_(requireTradePnl) {}
+    MarketRiskReport(const std::string& calculationCurrency, boost::optional<ore::data::TimePeriod> period,
+                     const QuantLib::ext::shared_ptr<HistoricalScenarioGenerator>& hisScenGen = nullptr,
+                     std::unique_ptr<SensiRunArgs> sensiArgs = nullptr,
+                     std::unique_ptr<FullRevalArgs> fullRevalArgs = nullptr,
+                     std::unique_ptr<MultiThreadArgs> multiThreadArgs = nullptr, const bool breakdown = false,
+                     const bool requireTradePnl = false)
+        : calculationCurrency_(calculationCurrency), period_(period), hisScenGen_(hisScenGen),
+          sensiArgs_(std::move(sensiArgs)), fullRevalArgs_(std::move(fullRevalArgs)),
+          multiThreadArgs_(std::move(multiThreadArgs)), breakdown_(breakdown), requireTradePnl_(requireTradePnl) {}
     virtual ~MarketRiskReport() {}
 
     virtual void init();
@@ -183,7 +185,7 @@ class MarketRiskReport : public ore::data::ProgressReporter {
     bool sensiBased_ = false;
     bool fullReval_ = false;
 
-    std::string baseCurrency_;
+    std::string calculationCurrency_;
     boost::optional<ore::data::TimePeriod> period_;
     QuantLib::ext::shared_ptr<HistoricalScenarioGenerator> hisScenGen_;
     std::unique_ptr<SensiRunArgs> sensiArgs_;