git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "e8a6202652"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "ca06e24764"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docs/UserGuide/tradecomponents/underlying.tex

@@ -106,6 +106,7 @@ \subsubsection{Underlying}
           <FutureMonthOffset>0</FutureMonthOffset>
           <DeliveryRollDays>0</DeliveryRollDays>
           <DeliveryRollCalendar>TARGET</DeliveryRollCalendar>
+          <FutureContractMonth>Nov2023</FutureContractMonth>
         </Underlying>
 \end{minted}
 \caption{Commodity Underlying}
@@ -242,6 +243,14 @@ \subsubsection{Underlying}
 
 Allowable values: See Table \ref{tab:calendar}. Defaults to the null calendar if left blank or omitted, and \lstinline!Type!: is  \emph{Commodity}.
 
+\item \lstinline!FutureContractMonth! [Optional]:
+Only valid when  \lstinline!Type! is  \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureExpiryDate! node. It specifies the underlying future contract month  in the format \emph{MonYYYY}, for example Nov2023. 
+
+\item \lstinline!FutureExpiryDate! [Optional]:
+Only valid when  \lstinline!Type! is  \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureContractMonth! node. This gives the expiration date of the underlying commodity future contract. 
+
+If the field \lstinline!FutureExpiryDate! and \lstinline!FutureContractMonth! are omitted, the expiration date of the underlying commodity future contract is set to the prompt future, adjusted for any \lstinline!FutureMonthOffset!.
+
 \item \lstinline!Interpolation! [Optional]:
 Only valid when \lstinline!Type! is  \emph{Inflation}. The index observation interpolation between fixings.
 

Examples/Example_40/ExpectedOutput/parsensitivity.csv

@@ -63,6 +63,7 @@
 #include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
 #include <ql/pricingengines/credit/midpointcdsengine.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
+#include <ql/quotes/derivedquote.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/yield/oisratehelper.hpp>
 #include <qle/instruments/fixedbmaswap.hpp>
@@ -1701,6 +1702,10 @@ ParSensitivityAnalysis::makeCrossCcyBasisSwap(const boost::shared_ptr<Market>& m
     boost::shared_ptr<FxIndex> fxIndex =
         boost::make_shared<FxIndex>("dummy", conv->settlementDays(), currency, baseCurrency, conv->settlementCalendar(),
                                     fxSpot, discountCurve, baseDiscountCurve);
+    auto m = [](Real x) { return 1.0 / x; };
+    boost::shared_ptr<FxIndex> reversedFxIndex = boost::make_shared<FxIndex>(
+        "dummyRev", conv->settlementDays(), baseCurrency, currency, conv->settlementCalendar(),
+        Handle<Quote>(boost::make_shared<DerivedQuote<decltype(m)>>(fxSpot, m)), baseDiscountCurve, discountCurve);
 
     // LOG("Make Cross Ccy Swap for base ccy " << baseCcy << " currency " << ccy);
     // Set up first leg as spread leg, second as flat leg
@@ -1714,7 +1719,7 @@ ParSensitivityAnalysis::makeCrossCcyBasisSwap(const boost::shared_ptr<Market>& m
 	    DLOG("create resettable xccy par instrument (1), convention " << conv->id());
 	    helper = boost::make_shared<CrossCcyBasisMtMResetSwap>(
 		baseNotional, baseCurrency, baseSchedule, *baseIndex, 0.0, // spread index leg => use fairForeignSpread
-		currency, schedule, *index, 0.0, fxIndex, true,            // resettable flat index leg
+		currency, schedule, *index, 0.0, reversedFxIndex, true,    // resettable flat index leg
 		conv->paymentLag(), conv->flatPaymentLag(),
 		conv->includeSpread(), conv->lookback(), conv->fixingDays(), conv->rateCutoff(), conv->isAveraged(),
 		conv->flatIncludeSpread(), conv->flatLookback(), conv->flatFixingDays(), conv->flatRateCutoff(), conv->flatIsAveraged(),
@@ -1758,7 +1763,7 @@ ParSensitivityAnalysis::makeCrossCcyBasisSwap(const boost::shared_ptr<Market>& m
 	    // second leg is resettable, so the second leg is the non-base non-flat spread leg  
 	    helper = boost::make_shared<CrossCcyBasisMtMResetSwap>(
 		baseNotional, baseCurrency, baseSchedule, *baseIndex, 0.0, // flat index leg
-		currency, schedule, *index, 0.0, fxIndex, true,            // resettable spread index leg => use fairDomesticSpread
+		currency, schedule, *index, 0.0, reversedFxIndex, true,    // resettable spread index leg => use fairDomesticSpread
 		conv->flatPaymentLag(), conv->paymentLag(), 
 		conv->flatIncludeSpread(), conv->flatLookback(), conv->flatFixingDays(), conv->flatRateCutoff(), conv->flatIsAveraged(),
 		conv->includeSpread(), conv->lookback(), conv->fixingDays(), conv->rateCutoff(), conv->isAveraged(),

Examples/Example_50/ExpectedOutput/parconversion_sensitivity.csv

@@ -64,15 +64,25 @@ void CommodityPosition::build(const boost::shared_ptr<ore::data::EngineFactory>&
             auto convention = boost::dynamic_pointer_cast<CommodityFutureConvention>(p.second);
             ConventionsBasedFutureExpiry feCalc(*convention);
             Date expiry = Settings::instance().evaluationDate();
+            Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
             if (u.deliveryRollDays() != Null<Size>()) {
-                auto cal = u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
+                auto cal =
+                    u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
                 expiry = cal.advance(expiry, u.deliveryRollDays() * Days, convention->businessDayConvention());
             }
-            
-            Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
-
             expiry = feCalc.nextExpiry(true, expiry, nOffset);
-            
+            if (!u.futureContractMonth().empty()) {
+                QL_REQUIRE(u.futureContractMonth().size() == 7,
+                           "FutureContractMonth has invalid format, please use MonYYYY, where 'Mon' is a 3 letter "
+                           "month abbreviation.");
+                auto month = parseMonth(u.futureContractMonth().substr(0, 3));
+                auto year = parseInteger(u.futureContractMonth().substr(3, 4));
+                Date contractDate(1, month, year);
+                expiry = feCalc.expiryDate(contractDate, nOffset, false);
+            } else if (!u.futureExpiryDate().empty()) {
+                expiry = parseDate(u.futureExpiryDate());
+                expiry = feCalc.nextExpiry(true, expiry, nOffset, false);
+            }
             index = index->clone(expiry, pts);
         }
         indices_.push_back(index);

OREAnalytics/orea/engine/parsensitivityanalysis.cpp

@@ -133,6 +133,10 @@ void CommodityUnderlying::fromXML(XMLNode* node) {
             deliveryRollDays_ = Null<Size>();
         deliveryRollCalendar_ = XMLUtils::getChildValue(node, "DeliveryRollCalendar", false);
         isBasic_ = false;
+        futureExpiryDate_ = XMLUtils::getChildValue(node, "FutureExpiryDate", false);
+        futureContractMonth_ = XMLUtils::getChildValue(node, "FutureContractMonth", false);
+        QL_REQUIRE(futureExpiryDate_.empty() || futureContractMonth_.empty(),
+                   "Only futureExpiryDate or futureContractMonth are allowed not both");
     } else {
         QL_FAIL("Need either a Name or Underlying node for CommodityUnderlying.");
     }
@@ -153,6 +157,10 @@ XMLNode* CommodityUnderlying::toXML(XMLDocument& doc) {
             XMLUtils::addChild(doc, node, "DeliveryRollDays", (int)deliveryRollDays_);
         if (!deliveryRollCalendar_.empty())
             XMLUtils::addChild(doc, node, "DeliveryRollCalendar", deliveryRollCalendar_);
+        if (!futureExpiryDate_.empty()) 
+            XMLUtils::addChild(doc, node, "FutureExpiryDate", futureExpiryDate_);
+        if (!futureContractMonth_.empty())
+            XMLUtils::addChild(doc, node, "FutureContractMonth", futureContractMonth_);
     }
     return node;
 }

OREData/ored/portfolio/commodityposition.cpp

@@ -140,7 +140,8 @@ class CommodityUnderlying : public Underlying {
     QuantLib::Size futureMonthOffset() const { return futureMonthOffset_; }
     QuantLib::Size deliveryRollDays() const { return deliveryRollDays_; }
     const std::string& deliveryRollCalendar() const { return deliveryRollCalendar_; }
-
+    const std::string& futureContractMonth() const { return futureContractMonth_; }
+    const std::string& futureExpiryDate() const { return futureExpiryDate_;  }
     //! \name Serialisation
     //@{
     void fromXML(XMLNode* node) override;
@@ -152,6 +153,8 @@ class CommodityUnderlying : public Underlying {
     QuantLib::Size futureMonthOffset_ = QuantLib::Null<QuantLib::Size>();
     QuantLib::Size deliveryRollDays_ = QuantLib::Null<QuantLib::Size>();
     std::string deliveryRollCalendar_;
+    std::string futureContractMonth_;
+    std::string futureExpiryDate_;
 };
 
 class FXUnderlying : public Underlying {

OREData/ored/portfolio/underlying.cpp

@@ -23,7 +23,7 @@
 #pragma once
 
 #include <ql/patterns/singleton.hpp>
-
+#include <boost/thread/shared_mutex.hpp>
 #include <cstdint>
 #include <set>
 

OREData/ored/portfolio/underlying.hpp

@@ -30,6 +30,7 @@
 #include <boost/accumulators/statistics/variance.hpp>
 
 #include <iostream>
+#include <map>
 
 // if defined, RandomVariableStats are updated (this might impact perfomance!), default is undefined
 //#define ENABLE_RANDOMVARIABLE_STATS

QuantExt/qle/math/computeenvironment.hpp

@@ -1797,6 +1797,8 @@
       <xs:element type="xs:nonNegativeInteger" name="FutureMonthOffset" minOccurs="0"/>
       <xs:element type="xs:nonNegativeInteger" name="DeliveryRollDays" minOccurs="0"/>
       <xs:element type="xs:string" name="DeliveryRollCalendar" minOccurs="0"/>
+      <xs:element type="xs:string" name="FutureExpiryDate" minOccurs="0"/>
+      <xs:element type="xs:string" name="FutureContractMonth" minOccurs="0"/>
       <xs:element type="xs:string" name="Interpolation" minOccurs="0"/>
       <xs:element type="xs:float" name="BidAskAdjustment" minOccurs="0"/>
     </xs:all>