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rolandlichtersrolandlichters
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Merge branch 'master' into github_modules
2 parents cef6291 + 21f11b3 commit 61e78f8

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‎Examples/Example_23/ExpectedOutput/flows.csv‎

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@@ -59,3 +59,4 @@ averageOIS2,Swap,7,0,2019-08-09,Interest,-613308.8889,USD,0.0124040000,0.4944444
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averageOIS2,Swap,8,0,2020-02-10,Interest,-623645.5556,USD,0.0124040000,0.5027777778,2019-08-09,2020-02-10,0.0000,#N/A,#N/A,100000000.0000,0.9562859655,-596383.4921941592,0.8831293157,-526683.7453815951,EUR,#N/A,#N/A,#N/A,#N/A
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averageOIS2,Swap,9,0,2020-08-10,Interest,-620200.0000,USD,0.0124040000,0.5000000000,2020-02-10,2020-08-10,0.0000,#N/A,#N/A,100000000.0000,0.9483563111,-588170.5841673282,0.8831293157,-519430.6855356031,EUR,#N/A,#N/A,#N/A,#N/A
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averageOIS2,Swap,10,0,2021-02-09,Interest,-616754.4444,USD,0.0124040000,0.4972222222,2020-08-10,2021-02-09,0.0000,#N/A,#N/A,100000000.0000,0.9404493830,-580026.3367307166,0.8831293157,-512238.2618696701,EUR,#N/A,#N/A,#N/A,#N/A
62+
fra1,ForwardRateAgreement,1,0,2016-10-28,InterestProjected,-1372871.5757,EUR,-0.0007026433,19.2777777778,2016-10-28,2035-10-29,0.0000,2016-10-26,-0.0006926433,100000000.0000,1.0021811279,-1375865.9841961791,1.0000000000,-1375865.9841961791,EUR,#N/A,#N/A,#N/A,#N/A

‎Examples/Example_26/ExpectedOutput/flows.csv‎

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@@ -2003,6 +2003,33 @@ BasisSwap_6M_3M_GBP_7Y,Swap,13,1,2022-08-05,InterestProjected,7249.9496,GBP,0.01
20032003
BasisSwap_6M_3M_GBP_7Y,Swap,14,1,2023-02-06,InterestProjected,7494.0828,GBP,0.0182102856,0.5068493151,2022-08-05,2023-02-06,0.0000,2022-08-05,0.0182102856,811938.0000,0.9452227321,7083.5774425438,1.2316211336,8724.2836799655,EUR,#N/A,#N/A,#N/A,#N/A
20042004
BasisSwap_6M_3M_GBP_7Y,Swap,2,2,2023-02-06,Notional,-811938.0000,GBP,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9452227321,-767462.2546846707,1.2316211336,-945222.7321355456,EUR,#N/A,#N/A,#N/A,#N/A
20052005
BasisSwap_6M_3M_GBP_7Y,Swap,2,3,2023-02-06,Notional,811938.0000,GBP,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9452227321,767462.2546846707,1.2316211336,945222.7321355456,EUR,#N/A,#N/A,#N/A,#N/A
2006+
FRA_CHF_1M_6M,ForwardRateAgreement,1,0,2016-03-09,InterestProjected,0.0000,CHF,0.0000000000,0.5111111111,2016-03-09,2016-09-09,0.0000,2016-03-07,-0.0080730000,1125046.0000,1.0007053936,0.0000000000,0.8888525447,0.0000000000,EUR,#N/A,#N/A,#N/A,#N/A
2007+
FRA_CHF_2M_6M,ForwardRateAgreement,1,0,2016-04-09,InterestProjected,0.0000,CHF,0.0000000000,0.5138888889,2016-04-09,2016-10-11,0.0000,2016-04-07,-0.0084080000,1125046.0000,1.0014534246,0.0000000002,0.8888525447,0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2008+
FRA_CHF_3M_6M,ForwardRateAgreement,1,0,2016-05-09,InterestProjected,0.0000,CHF,0.0000000000,0.5111111111,2016-05-09,2016-11-09,0.0000,2016-05-05,-0.0086320000,1125046.0000,1.0021977720,-0.0000000001,0.8888525447,-0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2009+
FRA_CHF_4M_6M,ForwardRateAgreement,1,0,2016-06-09,InterestProjected,0.0000,CHF,0.0000000000,0.5083333333,2016-06-09,2016-12-09,0.0000,2016-06-07,-0.0086090000,1125046.0000,1.0029701397,-0.0000000003,0.8888525447,-0.0000000003,EUR,#N/A,#N/A,#N/A,#N/A
2010+
FRA_CHF_5M_6M,ForwardRateAgreement,1,0,2016-07-09,InterestProjected,0.0000,CHF,0.0000000000,0.5166666667,2016-07-09,2017-01-11,0.0000,2016-07-07,-0.0088290000,1125046.0000,1.0041007488,0.0000000000,0.8888525447,0.0000000000,EUR,#N/A,#N/A,#N/A,#N/A
2011+
FRA_CHF_6M_6M,ForwardRateAgreement,1,0,2016-08-09,InterestProjected,0.0000,CHF,0.0000000000,0.5111111111,2016-08-09,2017-02-09,0.0000,2016-08-05,-0.0088610000,1125046.0000,1.0045903877,-0.0000000001,0.8888525447,-0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2012+
FRA_EUR_1M_3M,ForwardRateAgreement,1,0,2016-03-09,InterestProjected,0.0000,EUR,0.0000000000,0.2555555556,2016-03-09,2016-06-09,0.0000,2016-03-07,-0.0012430000,1000000.0000,1.0001584288,0.0000000000,1.0000000000,0.0000000000,EUR,#N/A,#N/A,#N/A,#N/A
2013+
FRA_EUR_1Y_3M,ForwardRateAgreement,1,0,2017-02-09,InterestProjected,0.0000,EUR,0.0000000000,0.2472222222,2017-02-09,2017-05-09,0.0000,2017-02-07,-0.0021020000,1000000.0000,1.0032090583,0.0000000001,1.0000000000,0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2014+
FRA_EUR_2M_3M,ForwardRateAgreement,1,0,2016-04-09,InterestProjected,0.0000,EUR,0.0000000000,0.2583333333,2016-04-09,2016-07-11,0.0000,2016-04-07,-0.0015810000,1000000.0000,1.0003590582,0.0000002310,1.0000000000,0.0000002310,EUR,#N/A,#N/A,#N/A,#N/A
2015+
FRA_EUR_3M_3M,ForwardRateAgreement,1,0,2016-05-09,InterestProjected,0.0000,EUR,0.0000000000,0.2555555556,2016-05-09,2016-08-09,0.0000,2016-05-05,-0.0017470000,1000000.0000,1.0005987008,0.0000000000,1.0000000000,0.0000000000,EUR,#N/A,#N/A,#N/A,#N/A
2016+
FRA_EUR_4M_3M,ForwardRateAgreement,1,0,2016-06-09,InterestProjected,0.0000,EUR,0.0000000000,0.2555555556,2016-06-09,2016-09-09,0.0000,2016-06-07,-0.0019310000,1000000.0000,1.0008387815,0.0000000000,1.0000000000,0.0000000000,EUR,#N/A,#N/A,#N/A,#N/A
2017+
FRA_EUR_5M_3M,ForwardRateAgreement,1,0,2016-07-09,InterestProjected,0.0000,EUR,0.0000000000,0.2611111111,2016-07-09,2016-10-11,0.0000,2016-07-07,-0.0020170000,1000000.0000,1.0011383231,-0.0000000001,1.0000000000,-0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2018+
FRA_EUR_6M_3M,ForwardRateAgreement,1,0,2016-08-09,InterestProjected,0.0000,EUR,0.0000000000,0.2555555556,2016-08-09,2016-11-09,0.0000,2016-08-05,-0.0019320000,1000000.0000,1.0013181466,-0.0000000004,1.0000000000,-0.0000000004,EUR,#N/A,#N/A,#N/A,#N/A
2019+
FRA_EUR_9M_3M,ForwardRateAgreement,1,0,2016-11-09,InterestProjected,0.0000,EUR,0.0000000000,0.2555555556,2016-11-09,2017-02-09,0.0000,2016-11-07,-0.0022370000,1000000.0000,1.0023470665,0.0000000003,1.0000000000,0.0000000003,EUR,#N/A,#N/A,#N/A,#N/A
2020+
FRA_GBP_1M_6M,ForwardRateAgreement,1,0,2016-03-05,InterestProjected,0.0000,GBP,0.0000000000,0.5095890411,2016-03-05,2016-09-07,0.0000,2016-03-07,0.0083540000,811938.0000,0.9995452690,0.0000000007,1.2316211336,0.0000000008,EUR,#N/A,#N/A,#N/A,#N/A
2021+
FRA_GBP_1Y_6M,ForwardRateAgreement,1,0,2017-02-05,InterestProjected,0.0000,GBP,0.0000000000,0.5013698630,2017-02-05,2017-08-07,0.0000,2017-02-06,0.0081130000,811938.0000,0.9950768029,0.0000000009,1.2316211336,0.0000000011,EUR,#N/A,#N/A,#N/A,#N/A
2022+
FRA_GBP_2M_6M,ForwardRateAgreement,1,0,2016-04-05,InterestProjected,0.0000,GBP,0.0000000000,0.5013698630,2016-04-05,2016-10-05,0.0000,2016-04-05,0.0083750000,811938.0000,0.9990758685,-0.0000000001,1.2316211336,-0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2023+
FRA_GBP_3M_6M,ForwardRateAgreement,1,0,2016-05-05,InterestProjected,0.0000,GBP,0.0000000000,0.5095890411,2016-05-05,2016-11-07,0.0000,2016-05-05,0.0083270000,811938.0000,0.9986055909,0.0000000000,1.2316211336,0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2024+
FRA_GBP_4M_6M,ForwardRateAgreement,1,0,2016-06-05,InterestProjected,0.0000,GBP,0.0000000000,0.5041095890,2016-06-05,2016-12-06,0.0000,2016-06-06,0.0081920000,811938.0000,0.9981710394,-0.0000000036,1.2316211336,-0.0000000044,EUR,#N/A,#N/A,#N/A,#N/A
2025+
FRA_GBP_5M_6M,ForwardRateAgreement,1,0,2016-07-05,InterestProjected,0.0000,GBP,0.0000000000,0.5041095890,2016-07-05,2017-01-05,0.0000,2016-07-05,0.0081390000,811938.0000,0.9977195275,-0.0000000039,1.2316211336,-0.0000000048,EUR,#N/A,#N/A,#N/A,#N/A
2026+
FRA_GBP_6M_6M,ForwardRateAgreement,1,0,2016-08-05,InterestProjected,0.0000,GBP,0.0000000000,0.5068493151,2016-08-05,2017-02-06,0.0000,2016-08-05,0.0081970000,811938.0000,0.9972893348,-0.0000000088,1.2316211336,-0.0000000109,EUR,#N/A,#N/A,#N/A,#N/A
2027+
FRA_USD_1Y_3M,ForwardRateAgreement,1,0,2017-02-09,InterestProjected,0.0000,USD,0.0000000000,0.2472222222,2017-02-09,2017-05-09,0.0000,2017-02-07,0.0095940000,1132337.0000,0.9942753944,-0.0000002650,0.8831293157,-0.0000002341,EUR,#N/A,#N/A,#N/A,#N/A
2028+
FRA_USD_1Y_6M,ForwardRateAgreement,1,0,2017-02-09,InterestProjected,0.0000,USD,0.0000000000,0.5027777778,2017-02-09,2017-08-09,0.0000,2017-02-07,0.0097810000,1132337.0000,0.9942753944,-0.0000000001,0.8831293157,-0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2029+
FRA_USD_3M_3M,ForwardRateAgreement,1,0,2016-05-09,InterestProjected,0.0000,USD,0.0000000000,0.2555555556,2016-05-09,2016-08-09,0.0000,2016-05-05,0.0081320000,1132337.0000,0.9987390667,-0.0000000039,0.8831293157,-0.0000000035,EUR,#N/A,#N/A,#N/A,#N/A
2030+
FRA_USD_6M_3M,ForwardRateAgreement,1,0,2016-08-09,InterestProjected,0.0000,USD,0.0000000000,0.2555555556,2016-08-09,2016-11-09,0.0000,2016-08-05,0.0085800000,1132337.0000,0.9973098156,-0.0000000397,0.8831293157,-0.0000000351,EUR,#N/A,#N/A,#N/A,#N/A
2031+
FRA_USD_6M_6M,ForwardRateAgreement,1,0,2016-08-09,InterestProjected,0.0000,USD,0.0000000000,0.5111111111,2016-08-09,2017-02-09,0.0000,2016-08-05,0.0096300000,1132337.0000,0.9973098156,-0.0000000001,0.8831293157,-0.0000000001,EUR,#N/A,#N/A,#N/A,#N/A
2032+
FRA_USD_9M_3M,ForwardRateAgreement,1,0,2016-11-09,InterestProjected,0.0000,USD,0.0000000000,0.2555555556,2016-11-09,2017-02-09,0.0000,2016-11-07,0.0091410000,1132337.0000,0.9958037221,-0.0000001729,0.8831293157,-0.0000001527,EUR,#N/A,#N/A,#N/A,#N/A
20062033
Swap_CHF_3M_10Y,Swap,1,0,2017-02-09,Interest,-2973.4966,CHF,-0.0026430000,1.0000000000,2016-02-09,2017-02-09,0.0000,#N/A,#N/A,1125046.0000,1.0097080582,-3002.3634559637,0.8888525447,-2668.6583979355,EUR,#N/A,#N/A,#N/A,#N/A
20072034
Swap_CHF_3M_10Y,Swap,2,0,2018-02-09,Interest,-2973.4966,CHF,-0.0026430000,1.0000000000,2017-02-09,2018-02-09,0.0000,#N/A,#N/A,1125046.0000,1.0204170438,-3034.2065877510,0.8888525447,-2696.9622466557,EUR,#N/A,#N/A,#N/A,#N/A
20082035
Swap_CHF_3M_10Y,Swap,3,0,2019-02-11,Interest,-2990.0160,CHF,-0.0026430000,1.0055555556,2018-02-09,2019-02-11,0.0000,#N/A,#N/A,1125046.0000,1.0308816166,-3082.3525313126,0.8888525447,-2739.7568911072,EUR,#N/A,#N/A,#N/A,#N/A

‎OREData/ored/CMakeLists.txt‎

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@@ -152,7 +152,6 @@ portfolio/builders/equityfuturesoption.cpp
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portfolio/builders/equityoption.cpp
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portfolio/builders/equitytouchoption.cpp
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portfolio/builders/forwardbond.cpp
155-
portfolio/builders/forwardrateagreement.cpp
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portfolio/builders/fxasianoption.cpp
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portfolio/builders/fxbarrieroption.cpp
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portfolio/builders/fxdigitalbarrieroption.cpp
@@ -461,7 +460,6 @@ portfolio/builders/equityfuturesoption.hpp
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portfolio/builders/equityoption.hpp
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portfolio/builders/equitytouchoption.hpp
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portfolio/builders/forwardbond.hpp
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portfolio/builders/forwardrateagreement.hpp
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portfolio/builders/fxasianoption.hpp
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portfolio/builders/fxbarrieroption.hpp
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portfolio/builders/fxdigitalbarrieroption.hpp

‎OREData/ored/ored.hpp‎

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#include <ored/portfolio/builders/equityoption.hpp>
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#include <ored/portfolio/builders/equitytouchoption.hpp>
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#include <ored/portfolio/builders/forwardbond.hpp>
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#include <ored/portfolio/builders/forwardrateagreement.hpp>
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#include <ored/portfolio/builders/fxasianoption.hpp>
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#include <ored/portfolio/builders/fxbarrieroption.hpp>
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#include <ored/portfolio/builders/fxdigitalbarrieroption.hpp>

‎OREData/ored/portfolio/builders/forwardrateagreement.cpp‎

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‎OREData/ored/portfolio/builders/forwardrateagreement.hpp‎

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