Merge branch 'master' into 'master'

Master

See merge request qs/ore-github!14

Author: pcaspers

OREData/ored/portfolio/schedule.cpp

@@ -28,22 +28,48 @@ namespace ore {
 namespace data {
 
 namespace {
-std::vector<Date> everyThursdayDates(const Date& startDate, const Date& endDate, const Date& firstDate) {
+std::vector<Date> everyWeekDayDates(const Date& startDate, const Date& endDate, const Date& firstDate, const QuantLib::Weekday weekday) {
     std::vector<Date> result;
     if (firstDate != Date())
         result.push_back(firstDate);
     Date d = startDate;
-    while (d <= endDate && (d.weekday() != QuantLib::Thursday || d < firstDate)) {
+    while (d <= endDate && (d.weekday() != weekday || d < firstDate)) {
         ++d;
     }
-    if (d.weekday() == QuantLib::Thursday && (result.empty() || result.back() != d))
+    if (d.weekday() == weekday && (result.empty() || result.back() != d))
         result.push_back(d);
     while (d + 7 <= endDate) {
         d += 7;
         result.push_back(d);
     }
     return result;
 }
+
+std::vector<Date> weeklyDates(const Date& startDate, const Date& endDate, const Date& firstDate,
+                                       bool includeWeekend = false) {
+    QuantLib::Weekday weekday = includeWeekend ? QuantLib::Sunday : QuantLib::Friday;
+    // We want the first period to span from
+    //  [startDate, first Friday/SunDay following startDate]
+    // or
+    //  [firstDate, first Friday/SunDay following firstDate]
+    Date effectiveFirstDate = firstDate == Date() ? startDate : firstDate;
+    auto dates = everyWeekDayDates(startDate, endDate, effectiveFirstDate, weekday);
+    // Handle broken period
+    if (!dates.empty()) {
+        // If startDate/first Date falls on end of week,
+        // the first period is consist of only one day, so first periods should be
+        // [startDate, startDate], [startDate+1, next end of the week], ...
+        if (effectiveFirstDate.weekday() == weekday) {
+            dates.insert(dates.begin(), effectiveFirstDate);
+        }
+        // add the enddate if the enddate doesnt fall on friday, last broken period
+        if (dates.back() < endDate) {
+            dates.push_back(endDate);
+        }
+    }
+    return dates;
+}
+
 } // namespace
 
 void ScheduleRules::fromXML(XMLNode* node) {
@@ -334,7 +360,12 @@ Schedule makeSchedule(const ScheduleRules& data, const Date& openEndDateReplacem
         // handle special rules outside the QuantLib date generation rules
 
         if (data.rule() == "EveryThursday") {
-            auto dates = everyThursdayDates(startDate, endDate, firstDate);
+            auto dates = everyWeekDayDates(startDate, endDate, firstDate, QuantLib::Thursday);
+            for (auto& d : dates)
+                d = calendar.adjust(d, bdc);
+            return Schedule(dates, calendar, bdc, bdcEnd, tenor, rule, endOfMonth);
+        } else if (data.rule() == "BusinessWeek" || data.rule() == "CalendarWeek") {
+            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);

QuantExt/qle/pricingengines/mcmultilegbaseengine.cpp

@@ -566,8 +566,8 @@ McMultiLegBaseEngine::CashflowInfo McMultiLegBaseEngine::createCashflowInfo(boos
         info.amountCalculator = [this, indexCcyIdx, sub, simTime, isFxLinked, fxLinkedForeignNominal,
                                  fxLinkedSourceCcyIdx, fxLinkedTargetCcyIdx, fxLinkedFixedFxRate](
                                     const Size n, const std::vector<std::vector<const RandomVariable*>>& states) {
-            RandomVariable effectiveRate = lgmVectorised_[indexCcyIdx].subPeriodsRate(sub->index(), sub->fixingDates(),
-                                                                                      simTime, *states.at(0).at(0));
+            RandomVariable fixing = lgmVectorised_[indexCcyIdx].subPeriodsRate(sub->index(), sub->fixingDates(),
+                                                                               simTime, *states.at(0).at(0));
             RandomVariable fxFixing(n, 1.0);
             if (isFxLinked) {
                 if (fxLinkedFixedFxRate != Null<Real>()) {
@@ -582,6 +582,7 @@ McMultiLegBaseEngine::CashflowInfo McMultiLegBaseEngine::createCashflowInfo(boos
                     fxFixing = fxSource / fxTarget;
                 }
             }
+            RandomVariable effectiveRate = RandomVariable(n, sub->gearing()) * fixing + RandomVariable(n, sub->spread());
             return RandomVariable(n, (isFxLinked ? fxLinkedForeignNominal : sub->nominal()) * sub->accrualPeriod()) *
                    effectiveRate * fxFixing;
         };

QuantExt/qle/termstructures/iterativebootstrap.hpp

@@ -49,8 +49,8 @@ QuantLib::Real dontThrowFallback(const QuantLib::BootstrapError<Curve>& error, Q
     QuantLib::Real stepSize = (xMax - xMin) / steps;
 
     for (QuantLib::Size i = 0; i <= steps; ++i) {
-        Real x = xMin + stepSize * static_cast<double>(i);
-        Real absError = QL_MAX_REAL;
+        QuantLib::Real x = xMin + stepSize * static_cast<double>(i);
+        QuantLib::Real absError = QL_MAX_REAL;
         try {
             absError = std::abs(error(x));
         } catch (...) {
@@ -176,7 +176,7 @@ template <class Curve> void IterativeBootstrap<Curve>::initialize() const {
         latestRelevantDate = helper->latestRelevantDate();
         // check that the helper is really extending the curve, i.e. that
         // pillar-sorted helpers are also sorted by latestRelevantDate
-        QL_REQUIRE(latestRelevantDate > maxDate, io::ordinal(j + 1)
+        QL_REQUIRE(latestRelevantDate > maxDate, QuantLib::io::ordinal(j + 1)
                                                      << " instrument (pillar: " << dates[i]
                                                      << ") has latestRelevantDate (" << latestRelevantDate
                                                      << ") before or equal to "
@@ -219,7 +219,7 @@ template <class Curve> void IterativeBootstrap<Curve>::calculate() const {
         const boost::shared_ptr<typename Traits::helper>& helper = ts_->instruments_[j];
 
         // check for valid quote
-        QL_REQUIRE(helper->quote()->isValid(), io::ordinal(j + 1)
+        QL_REQUIRE(helper->quote()->isValid(), QuantLib::io::ordinal(j + 1)
                                                    << " instrument (maturity: " << helper->maturityDate()
                                                    << ", pillar: " << helper->pillarDate() << ") has an invalid quote");
 

xsd/conventions.xsd

@@ -427,6 +427,13 @@
       <xs:element type="bool" name="AdjustBeforeOffset" minOccurs="0" maxOccurs="1"/>
       <xs:element type="bool" name="IsAveraging" minOccurs="0" maxOccurs="1"/>
       <xs:element type="prohibitedExpiriesType" name="ProhibitedExpiries" minOccurs="0" maxOccurs="1"/>
+      <xs:element name="ValidContractMonths" minOccurs="0" maxOccurs="1">
+        <xs:complexType>
+          <xs:sequence>
+            <xs:element type="monthType" name="Month" minOccurs="1" maxOccurs="12"/>
+          </xs:sequence>
+        </xs:complexType>
+      </xs:element>
       <xs:element type="xs:integer" name="OptionExpiryMonthLag" minOccurs="0" maxOccurs="1"/>
       <xs:element type="frequencyType" name="OptionContractFrequency" minOccurs="0" maxOccurs="1"/>
       <xs:element type="xs:nonNegativeInteger" name="OptionExpiryOffset" minOccurs="0" maxOccurs="1"/>