Merge remote-tracking branch 'origin/1.0.79' into 79.2_to_master

Author: nathaniel.volfango

OREAnalytics/orea/simm/crif.cpp

@@ -76,27 +76,32 @@ void Crif::addSimmCrifRecord(const CrifRecord& record, bool aggregateDifferentAm
 
 void Crif::insertCrifRecord(const CrifRecord& record, bool aggregateDifferentAmountCurrencies) {
 
-    auto it = records_.find(record);
-    if (aggregateDifferentAmountCurrencies) {
-        it = std::find_if(records_.begin(), records_.end(),
-                          [&record](const auto& x) { return CrifRecord::amountCcyEQCompare(x, record); });
-    }
-    if (it == records_.end()) {
-        records_.insert(record);
+    auto it = aggregateDifferentAmountCurrencies ? records_.end() : records_.find(record);
+    auto itDiffAmountCcy = aggregateDifferentAmountCurrencies
+                               ? diffAmountCurrenciesIndex_.find(record.getSimmAmountCcyKey())
+                               : diffAmountCurrenciesIndex_.end();
+
+    if (it == records_.end() && itDiffAmountCcy == diffAmountCurrenciesIndex_.end()) {
+        auto recordIt = records_.insert(record);
+        diffAmountCurrenciesIndex_[record.getSimmAmountCcyKey()] = &(*(recordIt.first));
         portfolioIds_.insert(record.portfolioId);
         nettingSetDetails_.insert(record.nettingSetDetails);
-    } else {
+    } else if (it != records_.end()) {
         updateAmountExistingRecord(it, record);
+    } else {
+        updateAmountExistingRecord(itDiffAmountCcy, record);
     }
 }
 
 void Crif::addSimmParameterRecord(const CrifRecord& record) {
     auto it = records_.find(record);
     if (it == records_.end()) {
-        records_.insert(record);
+        CrifRecord newRecord = record;
+        records_.insert(newRecord);
+        diffAmountCurrenciesIndex_[record.getSimmAmountCcyKey()] = &newRecord;
     } else if (it->riskType == CrifRecord::RiskType::AddOnFixedAmount) {
         updateAmountExistingRecord(it, record);
-    } else if (it->riskType == CrifRecord::RiskType::AddOnNotionalFactor &&
+    } else if (it->riskType == CrifRecord::RiskType::AddOnNotionalFactor ||
                it->riskType == CrifRecord::RiskType::ProductClassMultiplier) {
         // Only log warning if the values are not the same. If they are, then there is no material discrepancy.
         if (record.amount != it->amount) {
@@ -127,6 +132,25 @@ void Crif::updateAmountExistingRecord(std::set<CrifRecord>::iterator& it, const
         DLOG("Updated net CRIF records: " << *it)
 }
 
+void Crif::updateAmountExistingRecord(std::map<CrifRecord::SimmAmountCcyKey, const CrifRecord*>::iterator& it,
+                                      const CrifRecord& record) {
+    bool updated = false;
+    if (record.hasAmountUsd()) {
+        it->second->amountUsd += record.amountUsd;
+        updated = true;
+    }
+    if (record.hasAmount() && record.hasAmountCcy() && it->second->amountCurrency == record.amountCurrency) {
+        it->second->amount += record.amount;
+        updated = true;
+    }
+    if (record.hasAmountResultCcy() && record.hasResultCcy() && it->second->resultCurrency == record.resultCurrency) {
+        it->second->amountResultCcy += record.amountResultCcy;
+        updated = true;
+    }
+    if (updated)
+        DLOG("Updated net CRIF records: " << *(it->second))
+}
+
 void Crif::addRecords(const Crif& crif, bool aggregateDifferentAmountCurrencies, bool sortFxVolQualifer) {
     for (const auto& r : crif.records_) {
         addRecord(r, aggregateDifferentAmountCurrencies, sortFxVolQualifer);

OREAnalytics/orea/simm/crif.hpp

@@ -119,10 +119,12 @@ class Crif {
     void addSimmCrifRecord(const CrifRecord& record, bool aggregateDifferentAmountCurrencies = false, bool sortFxVolQualifer =true);
     void addSimmParameterRecord(const CrifRecord& record);
     void updateAmountExistingRecord(std::set<CrifRecord>::iterator& it, const CrifRecord& record);
+    void updateAmountExistingRecord(std::map<CrifRecord::SimmAmountCcyKey, const CrifRecord*>::iterator& it, const CrifRecord& record);
 
 
     CrifType type_ = CrifType::Empty;
     std::set<CrifRecord> records_;
+    std::map<CrifRecord::SimmAmountCcyKey, const CrifRecord*> diffAmountCurrenciesIndex_;
 
     //SIMM members
     //! Set of portfolio IDs that have been loaded

OREAnalytics/orea/simm/crifrecord.hpp

@@ -125,6 +125,11 @@ struct CrifRecord {
     //! There are two entries for curvature risk in frtb, a up and down shift
     enum class CurvatureScenario { Empty, Up, Down };
 
+    // clang-format off
+    //                 trade ID                                                qualifier    bucket       label1       label2       collect regs post regs
+    typedef std::tuple<std::string, NettingSetDetails, ProductClass, RiskType, std::string, std::string, std::string, std::string, std::string, std::string> SimmAmountCcyKey;
+    // clang-format on
+
     // required data
     std::string tradeId;
     std::string portfolioId;
@@ -286,6 +291,11 @@ struct CrifRecord {
         return value;
     }
 
+    const SimmAmountCcyKey getSimmAmountCcyKey() const {
+        return std::make_tuple(tradeId, nettingSetDetails, productClass, riskType, qualifier, bucket, label1, label2,
+                               collectRegulations, postRegulations);
+    }
+
     //! Define how CRIF records are compared
     bool operator<(const CrifRecord& cr) const {
         if (type() == RecordType::FRTB || cr.type() == RecordType::FRTB) {

Tools/PythonTools/comparison_config.json

@@ -97,10 +97,12 @@
             "names": [
                 "TradeType",
                 "NettingSet",
+                "Asset",
+                "MaturityDate",
+                "Maturity",
                 "NPV",
-                "Notional",
-                "RiskWeight",
-                "SMRC"
+                "SignedNotional",
+                "RiskWeight"
             ],
             "abs_tol": null,
             "rel_tol": 1e-12