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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "bab762bf7f" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "3110e2d45c" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents 0cea618 + 3110e2d commit 54c8dea

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‎Docs/UserGuide/tradecomponents/scheduledata.tex‎

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@@ -38,6 +38,7 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
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<Convention>Following</Convention>
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<Tenor>3M</Tenor>
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<EndOfMonth>false</EndOfMonth>
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<EndOfMOnthConvention>Following</EndOfMOnthConvention>
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<Dates>
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<Date>2012-01-06</Date>
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<Date>2012-04-10</Date>
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Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}. Defaults to \emph{false} if left blank or omitted. Must be set to \emph{false} or omitted if the date generation Rule is set to \emph{CDS} or \emph{CDS2015}.
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\item \lstinline!EndOfMonthConvention! [Optional]: Determines the adjustment of the end-of-month schedule dates with regards to the selected calendar.
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This field is only used when \lstinline!EndOfMonth! is true. If left blank or omitted, then the default \lstinline!Preceding! convention is applied
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(i.e.\ end-of-month dates will never be adjusted over to the beginning of the next month)
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Allowable values: See Table \ref{tab:convention} Roll Convention.
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Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}. Defaults to \emph{false} if left blank or omitted. Must be set to \emph{false} or omitted if the date generation Rule is set to \emph{CDS} or \emph{CDS2015}.
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\item \lstinline!FirstDate! [Optional]: Date for initial stub period. For date generation rules \emph{CDS} and \emph{CDS2015}, if given, this
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overwrites the first date of the schedule that is otherwise built from IMM dates.
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@@ -178,6 +187,10 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
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Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}. Defaults to \emph{false} if left blank or omitted.
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\item \lstinline!EndOfMonthConvention! [Optional]: Whenever the \lstinline!EndOfMonth! logic is applied, this is used as the roll convention along with the \lstinline!Calendar!for any date adjustments.
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Allowable values: See Table \ref{tab:convention} Roll Convention. Defaults to \emph{Preceding} if omitted.
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\item \lstinline!Dates!: This is a sub-sub-node and contains child elements of type
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\lstinline!Date!. In this case the schedule dates are determined
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directly by the \lstinline!Date! child elements. At least two

‎Examples/Example_56/Input/ore_gpu.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">market.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">N</Parameter>
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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="scriptLibrary">scriptlibrary.xml</Parameter>
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<Parameter name="nThreads">1</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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<Parameter name="sensitivity">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv.csv</Parameter>
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</Analytic>
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<Analytic type="cashflow">
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<Parameter name="active">Y</Parameter>
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<Parameter name="outputFileName">flows.csv</Parameter>
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</Analytic>
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<Analytic type="curves">
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<Parameter name="active">N</Parameter>
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<Parameter name="configuration">default</Parameter>
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<Parameter name="grid">240,1M</Parameter>
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<Parameter name="outputFileName">curves.csv</Parameter>
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</Analytic>
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<Analytic type="simulation">
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<Parameter name="active">Y</Parameter>
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<Parameter name="amc">Y</Parameter>
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<Parameter name="amcCg">Y</Parameter>
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<Parameter name="xvaCgBumpSensis">Y</Parameter>
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<Parameter name="xvaCgSensitivityConfigFile">xvasensiconfig.xml</Parameter>
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<Parameter name="xvaCgUseExternalComputeDevice">Y</Parameter>
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<Parameter name="xvaCgExternalDeviceCompatibilityMode">Y</Parameter>
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<Parameter name="xvaCgUseDoublePrecisionForExternalCalculation">N</Parameter>
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<Parameter name="xvaCgExternalComputeDevice">BasicCpu/Default/Default</Parameter>
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<!-- <Parameter name="xvaCgExternalComputeDevice">OpenCL/Apple/Apple M2 Max</Parameter> -->
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<Parameter name="amcTradeTypes">Swap</Parameter>
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<Parameter name="simulationConfigFile">simulation_gpu.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="storeScenarios">N</Parameter>
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataDump">scenariodata.csv</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_56/Input/simulation_gpu.xml‎

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<?xml version="1.0"?>
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<Simulation>
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<Parameters>
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<Grid>528,2W</Grid>
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<Calendar>EUR,USD,GBP,CHF</Calendar>
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<Sequence>MersenneTwister</Sequence>
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<Scenario>Simple</Scenario>
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<Seed>42</Seed>
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<Samples>8192</Samples>
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<DayCounter>A365F</DayCounter>
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</Parameters>
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<CrossAssetModel>
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<Discretization>Euler</Discretization>
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<DomesticCcy>EUR</DomesticCcy>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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<BootstrapTolerance>0.0001</BootstrapTolerance>
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<InterestRateModels>
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<LGM ccy="default">
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<CalibrationType>Bootstrap</CalibrationType>
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<Volatility>
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<Calibrate>Y</Calibrate>
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<VolatilityType>Hagan</VolatilityType>
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<ParamType>Piecewise</ParamType>
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<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
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<InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
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</Volatility>
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<Reversion>
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<Calibrate>N</Calibrate>
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<ReversionType>HullWhite</ReversionType>
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<ParamType>Constant</ParamType>
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<TimeGrid/>
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<InitialValue>0.0</InitialValue>
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</Reversion>
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<CalibrationSwaptions>
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<Expiries> 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 11Y, 12Y, 13Y, 14Y, 15Y, 16Y, 17Y, 18Y, 19Y</Expiries>
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<Terms> 19Y, 18Y, 17Y, 16Y, 15Y, 14Y, 13Y, 12Y, 11y, 10Y, 9Y, 8Y, 7Y, 6Y, 5Y, 4Y, 3Y, 2Y, 1Y</Terms>
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<Strikes/>
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</CalibrationSwaptions>
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<ParameterTransformation>
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<ShiftHorizon>20.0</ShiftHorizon>
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<Scaling>1.0</Scaling>
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</ParameterTransformation>
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</LGM>
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</InterestRateModels>
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<ForeignExchangeModels>
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<CrossCcyLGM foreignCcy="default">
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<DomesticCcy>EUR</DomesticCcy>
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<CalibrationType>Bootstrap</CalibrationType>
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<Sigma>
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<Calibrate>Y</Calibrate>
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<ParamType>Piecewise</ParamType>
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<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
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<InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1</InitialValue>
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</Sigma>
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<CalibrationOptions>
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<Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
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<Strikes/>
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</CalibrationOptions>
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</CrossCcyLGM>
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</ForeignExchangeModels>
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<InstantaneousCorrelations/>
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</CrossAssetModel>
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<Market>
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<BaseCurrency>EUR</BaseCurrency>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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<YieldCurves>
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<Configuration>
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<Tenors>2W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 15Y, 20Y, 30Y</Tenors>
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<Interpolation>LogLinear</Interpolation>
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<Extrapolation>Y</Extrapolation>
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</Configuration>
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</YieldCurves>
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<DefaultCurves>
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<Names>
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<Name>BANK</Name>
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</Names>
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<Tenors>2W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 15Y, 20Y, 30Y</Tenors>
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<SimulateSurvivalProbabilities>true</SimulateSurvivalProbabilities>
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</DefaultCurves>
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<Indices>
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<Index>EUR-EURIBOR-6M</Index>
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<Index>EUR-EURIBOR-3M</Index>
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<Index>EUR-EONIA</Index>
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</Indices>
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<SwapIndices>
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<SwapIndex>
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<Name>EUR-CMS-1Y</Name>
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<DiscountingIndex>EUR-EONIA</DiscountingIndex>
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</SwapIndex>
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<SwapIndex>
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<Name>EUR-CMS-30Y</Name>
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<DiscountingIndex>EUR-EONIA</DiscountingIndex>
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</SwapIndex>
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</SwapIndices>
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<SwaptionVolatilities>
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<Simulate>true</Simulate>
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<ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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<Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y</Expiries>
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<Terms>1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y</Terms>
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<SimulateATMOnly>true</SimulateATMOnly>
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<SmileDynamics key="">StickyStrike</SmileDynamics>
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</SwaptionVolatilities>
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<AggregationScenarioDataCurrencies>
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<Currency>EUR</Currency>
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</AggregationScenarioDataCurrencies>
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<AggregationScenarioDataIndices>
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<Index>EUR-EURIBOR-3M</Index>
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<Index>EUR-EONIA</Index>
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</AggregationScenarioDataIndices>
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</Market>
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</Simulation>

‎OREAnalytics/orea/CMakeLists.txt‎

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app/analytics/analyticfactory.cpp
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app/analytics/imscheduleanalytic.cpp
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app/analytics/parconversionanalytic.cpp
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app/analytics/pnlexplainanalytic.cpp
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app/analytics/pnlanalytic.cpp
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app/analytics/parstressconversionanalytic.cpp
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app/analytics/pnlanalytic.cpp
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app/analytics/pnlexplainanalytic.cpp
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app/analytics/pricinganalytic.cpp
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app/analytics/scenarioanalytic.cpp
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app/analytics/scenariostatisticsanalytic.cpp
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app/analytics/analyticfactory.hpp
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app/analytics/imscheduleanalytic.hpp
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app/analytics/parconversionanalytic.hpp
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app/analytics/pnlexplainanalytic.hpp
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app/analytics/pnlanalytic.hpp
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app/analytics/parstressconversionanalytic.hpp
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app/analytics/pnlanalytic.hpp
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app/analytics/pnlexplainanalytic.hpp
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app/analytics/pricinganalytic.hpp
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app/analytics/scenarioanalytic.hpp
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app/analytics/scenariostatisticsanalytic.hpp

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