git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "30cc15f8b4"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "281ae67075"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

OREAnalytics/orea/simm/simmcalculator.cpp

@@ -1272,6 +1272,12 @@ void SimmCalculator::calcAddMargin(const SimmSide& side, const NettingSetDetails
             // Add to aggregation at portfolio level
             add(nettingSetDetails, regulation, ProductClass::All, RiskClass::All, MarginType::All, "All", pcmMargin, side,
                 overwrite);
+            CrifRecord spRecord = it;
+            if (side == SimmSide::Call)
+                spRecord.collectRegulations = regulation;
+            else
+                spRecord.postRegulations = regulation;
+            simmParameters_.addRecord(spRecord);
         }
     }
 
@@ -1292,6 +1298,12 @@ void SimmCalculator::calcAddMargin(const SimmSide& side, const NettingSetDetails
         // Add to aggregation at portfolio level
         add(nettingSetDetails, regulation, ProductClass::All, RiskClass::All, MarginType::All, "All", fixedMargin, side,
             overwrite);
+        CrifRecord spRecord = it;
+        if (side == SimmSide::Call)
+            spRecord.collectRegulations = regulation;
+        else
+            spRecord.postRegulations = regulation;
+        simmParameters_.addRecord(spRecord);
     }
 
     // Third, add percentage of notional amounts IM, using "AddOnNotionalFactor"
@@ -1326,6 +1338,12 @@ void SimmCalculator::calcAddMargin(const SimmSide& side, const NettingSetDetails
             add(nettingSetDetails, regulation, ProductClass::All, RiskClass::All, MarginType::All, "All",
                 notionalFactorMargin,
                 side, overwrite);
+            CrifRecord spRecord = it;
+            if (side == SimmSide::Call)
+                spRecord.collectRegulations = regulation;
+            else
+                spRecord.postRegulations = regulation;
+            simmParameters_.addRecord(spRecord);
         }
     }
 }

OREAnalytics/orea/simm/simmcalculator.hpp

@@ -92,6 +92,8 @@ class SimmCalculator {
 
     const std::map<SimmSide, std::set<std::string>>& finalTradeIds() const { return finalTradeIds_; }
 
+    const Crif& simmParameters() const { return simmParameters_; }
+
     //! Return the calculator's calculation currency
     const std::string& calculationCurrency(const SimmSide& side) const {
         return side == SimmSide::Call ? calculationCcyCall_ : calculationCcyPost_;
@@ -112,6 +114,9 @@ class SimmCalculator {
     //! Net sentivities at the regulation level within each netting set
     std::map<SimmSide, std::map<ore::data::NettingSetDetails, std::map<std::string, Crif>>> regSensitivities_;
 
+    //! Record of SIMM parameters that were used in the calculation
+    ore::analytics::Crif simmParameters_;
+
     //! The SIMM configuration governing the calculation
     QuantLib::ext::shared_ptr<SimmConfiguration> simmConfiguration_;
 

OREData/ored/portfolio/indexcreditdefaultswapoption.cpp

@@ -427,6 +427,13 @@ const std::string& IndexCreditDefaultSwapOption::indexTerm() const { return inde
 
 Real IndexCreditDefaultSwapOption::strike() const { return strike_; }
 
+QuantLib::Option::Type IndexCreditDefaultSwapOption::callPut() const {
+    if (swap().leg().isPayer())
+        return QuantLib::Option::Type::Call;
+    else
+        return QuantLib::Option::Type::Put;
+}
+
 const string& IndexCreditDefaultSwapOption::strikeType() const { return strikeType_; }
 
 const Date& IndexCreditDefaultSwapOption::tradeDate() const { return tradeDate_; }

OREData/ored/portfolio/indexcreditdefaultswapoption.hpp

@@ -56,6 +56,7 @@ class IndexCreditDefaultSwapOption : public Trade {
     const ore::data::OptionData& option() const;
     const std::string& indexTerm() const;
     QuantLib::Real strike() const;
+    QuantLib::Option::Type callPut() const;
     const std::string& strikeType() const;
     const QuantLib::Date& tradeDate() const;
     const QuantLib::Date& fepStartDate() const;

Tools/PythonTools/comparison_config.json

@@ -1834,6 +1834,8 @@
               "saccr/rW",
               "simmReport/initial_margin",
               "simmReport/initial_margin_in_report_ccy",
+              "simm_parameters/amount",
+              "simm_parameters/amount_usd",
               "totalIMReport/initial_margin",
               "totalIMReport/initial_margin_in_report_ccy",
               "xva/allocatedCVA",