Merge branch 'feature/QPR-13699' into 'master'

QPR-13699: set mpor date given mpor days

Closes QPR-13699

See merge request qs/oreplus!3089

Author: damienbarker

ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_app.i

@@ -112,6 +112,7 @@ public:
     const ext::shared_ptr<ore::data::CurrencyConfig>& currencyConfigs();
     const ext::shared_ptr<ore::data::CalendarAdjustmentConfig>& calendarAdjustmentConfigs();
     const ext::shared_ptr<CurveConfigurations>& curveConfig(const std::string& s = std::string()) const;
+    QuantLib::Date mporDate();
 
     const QuantLib::ext::shared_ptr<ScenarioSimMarketParameters>& stressSimMarketParams() const;
     const QuantLib::ext::shared_ptr<StressTestScenarioData>& stressScenarioData() const;

ORE-SWIG/OREData-SWIG/SWIG/ored_parsers.i

@@ -74,6 +74,7 @@ using ore::data::parseBusinessDayConvention;
 using ore::data::parseDate;
 using ore::data::fxDominance;
 using ore::data::isGenericIborIndex;
+using ore::data::calculateMporDate;
 %}
 bool isGenericIborIndex(const std::string& indexName);
 ext::shared_ptr<IborIndex> parseIborIndex(const std::string& s,
@@ -103,6 +104,7 @@ QuantLib::Settlement::Type parseSettlementType(const std::string& s);
 QuantLib::Exercise::Type parseExerciseType(const std::string& s);
 QuantLib::Option::Type parseOptionType(const std::string& s);
 QuantLib::Date parseDate(const std::string& s);
+QuantLib::Date calculateMporDate(QuantLib::Size& mporDays, QuantLib::Date asOf = QuantLib::Date(), std::string mporCalendar = "US");
 
 %template(StringCalMap) std::map<std::string, Calendar>;
 

OREData/ored/utilities/parsers.cpp

@@ -472,6 +472,13 @@ Settlement::Method parseSettlementMethod(const std::string& s) {
     }
 }
 
+QuantLib::Date calculateMporDate(QuantLib::Size& mporDays, QuantLib::Date asOf, std::string mporCalendar) {
+    QuantLib::Calendar mporCal = parseCalendar(mporCalendar);
+    if (asOf == Date())
+        asOf = Settings::instance().evaluationDate();
+    return mporCal.advance(asOf, mporDays, QuantExt::Days);
+}
+
 Exercise::Type parseExerciseType(const std::string& s) {
     static map<string, Exercise::Type> m = {
         {"European", Exercise::European},

OREData/ored/utilities/parsers.hpp

@@ -611,6 +611,13 @@ enum MporCashFlowMode { Unspecified, NonePay, BothPay, WePay, TheyPay };
 */
 MporCashFlowMode parseMporCashFlowMode(const std::string& s);
 
+//! Return Mpor Date given Mpor days and Mpor Calendar
+/*!
+\ingroup utilities
+*/
+QuantLib::Date calculateMporDate(QuantLib::Size& mporDays, QuantLib::Date asOf = QuantLib::Date(),
+                                 std::string mporCalendar = "US");
+
 //! Write MporCashFlowMode to stream
 /*!
 \ingroup utilities