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Sjogren
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Merge remote-tracking branch 'origin/master' into feature/martin_docs1
2 parents 30d4db5 + 39c2f4d commit 687da4d

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Lines changed: 180 additions & 6 deletions

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‎Docker/Dockerfile-ORE-Dependencies‎

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@@ -23,8 +23,23 @@ RUN apt-get update \
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swig \
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lld \
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python3-dev \
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python3-pip \
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python3-venv \
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curl \
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-o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
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&& apt-get clean \
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&& rm -rf /var/lib/apt/lists/* \
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&& mv /usr/bin/ld /usr/bin/ld.backup \
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&& ln -s /usr/bin/lld /usr/bin/ld
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&& ln -s /usr/bin/lld /usr/bin/ld
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RUN \
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curl -sSL https://get.docker.com -o install-docker.sh && \
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sh install-docker.sh --version 28
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RUN python3 -m venv /venv
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ENV PATH="/venv/bin:$PATH"
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RUN \
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pip3 install cibuildwheel==3.2.1 && \
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rm -rf ~/.cache/pip
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‎Docker/Dockerfile-Wheels-Boost‎

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ARG WHEEL_IMG
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FROM ${WHEEL_IMG}
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RUN \
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curl -O -L https://archives.boost.io/release/1.83.0/source/boost_1_83_0.tar.gz && \
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tar xfz boost_1_83_0.tar.gz && \
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cd boost_1_83_0 && \
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./bootstrap.sh --with-libraries=date_time,filesystem,iostreams,log,regex,serialization,system,thread,timer && \
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./b2 install
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‎Docker/Dockerfile-Wheels-CIBW‎

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FROM ${DOCKER_REPO}ore-build-dependencies:${ORE_BUILD_VERSION}
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ARG WHEEL_ARCH
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ARG WHEEL_IMAGE
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ENV PATH="/venv/bin:$PATH"
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ENV CIBW_BUILD="cp310-manylinux_${WHEEL_ARCH} cp312-manylinux_${WHEEL_ARCH}"
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ENV CIBW_MANYLINUX_X86_64_IMAGE=${WHEEL_IMAGE}
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ENV CIBW_MANYLINUX_AARCH64_IMAGE=${WHEEL_IMAGE}
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ENV CIBW_BEFORE_BUILD="chmod +x ORE-SWIG/Wheels-gitlab/before_all_linux.sh && ORE-SWIG/Wheels-gitlab/before_all_linux.sh"
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WORKDIR /builds/qs/oreplus/ore
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RUN cibuildwheel --output-dir wheelhouse ORE-SWIG
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COPY wheelhouse /wheelhouse
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‎Docker/Dockerfile-Wheels-ORE‎

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ARG WHEEL_IMG
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FROM ${WHEEL_IMG}
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ARG CMAKE_BUILD_TYPE=Release
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ARG NUM_CORES=16
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COPY CMakeLists.txt /ore/CMakeLists.txt
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COPY QuantLib /ore/QuantLib
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COPY QuantExt /ore/QuantExt
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COPY OREData /ore/OREData
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COPY OREAnalytics /ore/OREAnalytics
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COPY ThirdPartyLibs /ore/ThirdPartyLibs
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COPY cmake /ore/cmake
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RUN \
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dnf -y install clang && \
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dnf -y install ccache && \
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dnf -y install ninja-build
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ENV PATH="/usr/lib/ccache:$PATH"
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ENV CCACHE_DIR="/ccache"
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ENV CCACHE_MAXSIZE="10G"
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WORKDIR /ore
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RUN \
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mkdir build && \
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cd build && \
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cmake .. -GNinja -DCMAKE_BUILD_TYPE=${CMAKE_BUILD_TYPE} -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -DCMAKE_C_COMPILER=/usr/bin/clang -DCMAKE_CXX_COMPILER=/usr/bin/clang++ -DCMAKE_CXX_FLAGS="-D BOOST_ENABLE_ASSERT_HANDLER $([ "$(uname -m)" = "x86_64" ] && echo "-mavx2")" -DCMAKE_POSITION_INDEPENDENT_CODE=ON -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_TEST_SUITE=OFF -DQL_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DQL_ENABLE_SESSIONS=ON -DORE_BUILD_APP=OFF -DORE_BUILD_DOC=OFF -DORE_BUILD_EXAMPLES=OFF -DORE_BUILD_SWIG=OFF -DORE_BUILD_TESTS=OFF -DORE_ENABLE_OPENCL=OFF -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_PYTHON_INTEGRATION=OFF
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WORKDIR /ore/build
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RUN --mount=type=cache,target=/ccache/ ccache -z && \
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cmake --build . -- -j ${NUM_CORES} install && \
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ccache -s
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‎Docs/UserGuide/allowablevalues.tex‎

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Original file line numberDiff line numberDiff line change
@@ -258,6 +258,7 @@ \subsection{Allowable Values}
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\emph{Actual/365 (No Leap), Act/365 (NL), NL/365, Actual/365 (JGB)} & Actual 365 Fixed (No Leap Year)\\ \hline
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\emph{Act/365 (Canadian Bond)} & Actual 365 Fixed (Canadian Bond)\\ \hline
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\emph{T360, 30/360, ACT/nACT, 30/360 US, 30/360 (US), 30U/360, 30US/360} & Thirty 360 (US) \\ \hline
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\emph{30/360 NASD} & Thirty 360 (NASD) \\ \hline
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\emph{30/360 (Bond Basis)} & Thirty 360 (Bond Basis) \\ \hline
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\emph{30E/360 (Eurobond Basis), 30E/360, 30/360 AIBD (Euro), 30E/360.ICMA, 30E/360 ICMA} & Thirty 360 (European) \\ \hline
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\emph{30E/360E, 30E/360 ISDA, 30E/360.ISDA, 30/360 German, 30/360 (German)} & Thirty 360 (German) \\ \hline

‎ORE-SWIG/Wheels-gitlab/before_all_linux.sh‎

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#!/bin/bash
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pip3 install docker setuptools
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cd ORE-SWIG
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cp Wheels-gitlab/oreanalytics-config .
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chmod +x oreanalytics-config
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python3 setup.py wrap
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‎ORE-SWIG/Wheels-gitlab/oreanalytics-config‎

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#!/bin/sh
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# The dockerfile Dockerfile-Wheels-CIBW launches cibuildwheel like so:
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# WORKDIR /builds/qs/oreplus/ore
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# cibuildwheel --output-dir wheelhouse ORE-SWIG
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# This tells cibuildwheel to start in directory "ore" and run in directory "ORE-SWIG".
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# Then cibuildwheel runs docker, and copies its current directory ("ore")
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# into the container, into directory "/project":
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ORE="/project"
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# On your system, the boost_thread lib may have a nonstandard name, e.g. boost_thread-mt.
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# If that is the case then set the BOOST_THREAD variable before calling this script, e.g:
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# export BOOST_THREAD=boost_thread-mt
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BOOST_THREAD="${BOOST_THREAD:=boost_thread}"
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usage="\
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Usage: oreanalytics-config [--libs] [--cflags]"
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if test $# -eq 0; then
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echo "${usage}" 1>&2
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exit 1
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fi
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while test $# -gt 0; do
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case "$1" in
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-*=*) optarg=`echo "$1" | sed 's/[-_a-zA-Z0-9]*=//'` ;;
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*) optarg= ;;
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esac
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case $1 in
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--cflags)
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#echo -I${ORE}/build/QuantLib -I${ORE}/OREAnalytics -I${ORE}/OREData -I${ORE}/QuantExt -I${ORE}/QuantLib -I${BOOST_INC} -std=c++1z -DNDEBUG -Wno-free-nonheap-object -Wno-maybe-uninitialized -Wno-misleading-indentation
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# We must not specify any include directories, because we have already installed boost and ORE to system directories:
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echo -w
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;;
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--libs)
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#echo -L${ORE}/build/OREAnalytics/orea -lOREAnalytics -L${ORE}/build/OREData/ored -lOREData -L${ORE}/build/QuantExt/qle -lQuantExt -L${ORE}/build/QuantLib/ql -lQuantLib -L${BOOST_LIB} -l${BOOST_THREAD} -lboost_system -lboost_serialization -lboost_date_time -lboost_regex -lboost_filesystem -std=c++1z
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# We must not specify any library directories, because we have already installed boost and ORE to system directories:
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echo -lOREAnalytics -lOREData -lQuantExt -lQuantLib -l${BOOST_THREAD} -lboost_system -lboost_serialization -lboost_date_time -lboost_regex -lboost_filesystem
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;;
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*)
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echo "${usage}" 1>&2
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exit 1
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;;
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esac
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shift
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done
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‎OREAnalytics/orea/app/oreapp.cpp‎

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Original file line numberDiff line numberDiff line change
@@ -1307,11 +1307,48 @@ void OREAppInputParameters::loadParameters() {
13071307
if (tmp != "")
13081308
setMcVarSeed(parseInteger(tmp));
13091309

1310+
tmp = params_->get("parametricVar", "mporDays", false);
1311+
if (tmp != "")
1312+
setMporDays(static_cast<Size>(parseInteger(tmp)));
1313+
1314+
tmp = params_->get("parametricVar", "mporCalendar", false);
1315+
if (tmp != "")
1316+
setMporCalendar(tmp);
1317+
1318+
tmp = params_->get("parametricVar", "mporOverlappingPeriods", false);
1319+
if (tmp != "")
1320+
setMporOverlappingPeriods(parseBool(tmp));
1321+
13101322
tmp = params_->get("parametricVar", "covarianceInputFile", false);
1311-
QL_REQUIRE(tmp != "", "covarianceInputFile not provided");
1312-
std::string covFile = (inputPath_ / tmp).generic_string();
1313-
LOG("Load Covariance Data from file " << covFile);
1314-
setCovarianceDataFromFile(covFile);
1323+
if (tmp != ""){
1324+
std::string covFile = (inputPath_ / tmp).generic_string();
1325+
LOG("Load Covariance Data from file " << covFile);
1326+
setCovarianceDataFromFile(covFile);
1327+
}
1328+
1329+
tmp = params_->get("parametricVar", "historicalPeriod", false);
1330+
if (tmp != "")
1331+
setBenchmarkVarPeriod(tmp);
1332+
1333+
tmp = params_->get("parametricVar", "sensitivityConfigFile", false);
1334+
if (tmp != "") {
1335+
string file = (inputPath_ / tmp).generic_string();
1336+
LOG("Load sensitivity scenario data from file" << file);
1337+
setSensiScenarioDataFromFile(file);
1338+
}
1339+
1340+
tmp = params_->get("parametricVar", "simulationConfigFile", false);
1341+
if (tmp != "") {
1342+
string file = (inputPath_ / tmp).generic_string();
1343+
LOG("Loading sensitivity scenario sim market parameters from file" << file);
1344+
setSensiSimMarketParamsFromFile(file);
1345+
}
1346+
1347+
tmp = params_->get("parametricVar", "scenarioFile", false);
1348+
if (tmp != "") {
1349+
std::string scenarioFile = (inputPath_ / tmp).generic_string();
1350+
setScenarioReader(scenarioFile);
1351+
}
13151352

13161353
tmp = params_->get("parametricVar", "sensitivityInputFile", false);
13171354
QL_REQUIRE(tmp != "", "sensitivityInputFile not provided");

‎OREData/ored/portfolio/builders/fxforward.hpp‎

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@@ -63,7 +63,6 @@ class FxForwardEngineBuilder : public FxForwardEngineBuilderBase {
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protected:
6464
QuantLib::ext::shared_ptr<PricingEngine> engineImpl(const Currency& forCcy, const Currency& domCcy,
6565
const std::string& discountCurve) override {
66-
std::cout << "getting curve '" << discountCurve << "'" << std::endl;
6766
string pair = forCcy.code() + domCcy.code();
6867
return QuantLib::ext::make_shared<QuantExt::DiscountingFxForwardEngine>(
6968
domCcy, market_->discountCurve(domCcy.code(), configuration(MarketContext::pricing)), forCcy,

‎OREData/ored/utilities/parsers.cpp‎

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Original file line numberDiff line numberDiff line change
@@ -235,6 +235,7 @@ DayCounter parseDayCounter(const string& s) {
235235
{"30/360", Thirty360(Thirty360::USA)},
236236
{"30/360 US", Thirty360(Thirty360::USA)},
237237
{"30/360 (US)", Thirty360(Thirty360::USA)},
238+
{"30/360 NASD", Thirty360(Thirty360::NASD)},
238239
{"30U/360", Thirty360(Thirty360::USA)},
239240
{"30US/360", Thirty360(Thirty360::USA)},
240241
{"30/360 (Bond Basis)", Thirty360(Thirty360::BondBasis)},

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