git subrepo pull (merge) ore

jenkins · jenkins · commit 6ae428712681 · 2024-01-30T09:32:40.000Z
subrepo: subdir: "ore" merged: "09d5b5af42" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "0f10dadd83" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
diff --git a/Examples/Input/currencies.xml b/Examples/Input/currencies.xml
diff --git a/OREAnalytics/test/decomposedsensitivitystream.cpp b/OREAnalytics/test/decomposedsensitivitystream.cpp
diff --git a/OREAnalytics/test/sensitivityanalysis.cpp b/OREAnalytics/test/sensitivityanalysis.cpp
@@ -87,6 +87,7 @@ using testsuite::buildZeroBond;
 using testsuite::TestConfigurationObjects;
 using testsuite::TestMarket;
 
+namespace {
 void testPortfolioSensitivity(ObservationMode::Mode om) {
     SavedSettings backup;
 
@@ -118,7 +119,7 @@ void testPortfolioSensitivity(ObservationMode::Mode om) {
 
     // build scenario generator
     boost::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator =
-        boost::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket, 
+        boost::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket,
                                                          scenarioFactory, false);
     simMarket->scenarioGenerator() = scenarioGenerator;
 
@@ -730,8 +731,8 @@ void testPortfolioSensitivity(ObservationMode::Mode om) {
             string label = to_string(desc[j]);
             if (fabs(sensi) > tiny) {
                 count++;
-                BOOST_TEST_MESSAGE("{ \"" << tradeId << "\", \"" << label << "\", " <<
-                    std::fixed << std::setprecision(12) << npv0 << ", " << sensi << " },");
+                BOOST_TEST_MESSAGE("{ \"" << tradeId << "\", \"" << label << "\", " << std::fixed
+                                          << std::setprecision(12) << npv0 << ", " << sensi << " },");
                 pair<string, string> p(tradeId, label);
                 QL_REQUIRE(npvMap.find(p) != npvMap.end(),
                            "pair (" << p.first << ", " << p.second << ") not found in npv map");
@@ -744,9 +745,8 @@ void testPortfolioSensitivity(ObservationMode::Mode om) {
                                         fabs((sensi - sensiMap[p]) / sensi) < tolerance,
                                     "sensitivity regression failed for pair ("
                                         << p.first << ", " << p.second << "): " << sensi << " vs " << sensiMap[p]);
-		coveredSensis.insert(p);
+                coveredSensis.insert(p);
             }
-            
         }
         currentTradeIdx++;
     }
@@ -768,7 +768,7 @@ void testPortfolioSensitivity(ObservationMode::Mode om) {
     map<pair<string, string>, Real> deltaMap;
     map<pair<string, string>, Real> gammaMap;
     std::set<string> sensiTrades;
-    for (const auto& [pid,p] : portfolio->trades()) {
+    for (const auto& [pid, p] : portfolio->trades()) {
         sensiTrades.insert(pid);
         for (const auto& f : sa->sensiCube()->factors()) {
             auto des = sa->sensiCube()->factorDescription(f);
@@ -815,6 +815,7 @@ void testPortfolioSensitivity(ObservationMode::Mode om) {
     ObservationMode::instance().setMode(backupMode);
     IndexManager::instance().clearHistories();
 }
+} // namespace
 
 BOOST_FIXTURE_TEST_SUITE(OREAnalyticsTestSuite, ore::test::OreaTopLevelFixture)
 
@@ -882,7 +883,7 @@ void test1dShifts(bool granular) {
 
     // build scenario generator
     boost::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator =
-        boost::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket, 
+        boost::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket,
                                                          scenarioFactory, false);
 
     // cache initial zero rates
@@ -978,9 +979,8 @@ BOOST_AUTO_TEST_CASE(test2dShifts) {
 
     // build scenario generator
     boost::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator =
-        boost::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket, 
-                                                         scenarioFactory,
-                                                         false);
+        boost::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket,
+                                                         scenarioFactory, false);
 
     // cache initial zero rates
     vector<Period> expiries = simMarketData->swapVolExpiries("");
@@ -1162,15 +1162,14 @@ BOOST_AUTO_TEST_CASE(testEquityOptionDeltaGamma) {
     }
 
     bool recalibrateModels = true; // nothing to calibrate here
-    boost::shared_ptr<SensitivityAnalysis> sa =
-        boost::make_shared<SensitivityAnalysis>(portfolio, initMarket, Market::defaultConfiguration, data,
-                                                simMarketData, sensiData, recalibrateModels);
+    boost::shared_ptr<SensitivityAnalysis> sa = boost::make_shared<SensitivityAnalysis>(
+        portfolio, initMarket, Market::defaultConfiguration, data, simMarketData, sensiData, recalibrateModels);
     sa->generateSensitivities();
 
     map<pair<string, string>, Real> deltaMap;
     map<pair<string, string>, Real> gammaMap;
     std::set<string> sensiTrades;
-    for (auto [pid,p] : portfolio->trades()) {
+    for (auto [pid, p] : portfolio->trades()) {
         sensiTrades.insert(pid);
         for (const auto& f : sa->sensiCube()->factors()) {
             auto des = sa->sensiCube()->factorDescription(f);
@@ -1385,7 +1384,7 @@ BOOST_AUTO_TEST_CASE(testFxOptionDeltaGamma) {
     map<pair<string, string>, Real> deltaMap;
     map<pair<string, string>, Real> gammaMap;
     std::set<string> sensiTrades;
-    for (const auto& [pid ,_] : portfolio->trades()) {
+    for (const auto& [pid, _] : portfolio->trades()) {
         sensiTrades.insert(pid);
         for (const auto& f : sa->sensiCube()->factors()) {
             auto des = sa->sensiCube()->factorDescription(f);
diff --git a/OREData/ored/CMakeLists.txt b/OREData/ored/CMakeLists.txt
@@ -731,8 +731,8 @@ utilities/currencyhedgedequityindexdecomposition.hpp
 utilities/currencyparser.hpp
 utilities/dategrid.hpp
 utilities/fileio.hpp
-utilities/formulaparser.hpp
 utilities/flowanalysis.hpp
+utilities/formulaparser.hpp
 utilities/indexnametranslator.hpp
 utilities/indexparser.hpp
 utilities/inflationstartdate.hpp
diff --git a/OREData/ored/model/utilities.cpp b/OREData/ored/model/utilities.cpp
@@ -114,7 +114,7 @@ map<Date, HelperValues> jyHelperValues(const vector<boost::shared_ptr<Calibratio
         if (ctr < times.size())
             kv.second.maturity = times[ctr++];
         else
-            kv.second.maturity = times.back();
+            kv.second.maturity = times.empty() ? 0.0 : times.back();
     }
 
     return result;
diff --git a/OREData/ored/portfolio/schedule.cpp b/OREData/ored/portfolio/schedule.cpp
@@ -337,6 +337,9 @@ Schedule makeSchedule(const ScheduleRules& data, const Date& openEndDateReplacem
 
     Date firstDate = parseDate(data.firstDate());
     Date lastDate = parseDate(data.lastDate());
+    if (firstDate != Date() && lastDate != Date())
+        QL_REQUIRE(firstDate <= lastDate, "Schedule::makeSchedule firstDate must be before lastDate");
+
     Period tenor = parsePeriod(data.tenor());
 
     // defaults
diff --git a/OREData/ored/utilities/currencyconfig.cpp b/OREData/ored/utilities/currencyconfig.cpp
@@ -49,15 +49,24 @@ void CurrencyConfig::fromXML(XMLNode* baseNode) {
             // the digit where we switch form roundng down to rounding up, typically 5 and used across all
             // Integer digit = parseInteger(XMLUtils::getChildValue(node, "Digit", false));
             string format = XMLUtils::getChildValue(node, "Format", false);
+            QuantExt::ConfigurableCurrency::Type currencyType = parseCurrencyType(XMLUtils::getChildValue(node, "CurrencyType", false, "Major"));
             Rounding rounding(precision, roundingType);
-
             QuantExt::ConfigurableCurrency c(name, isoCode, numericCode, symbol, fractionSymbol, fractionsPerUnit,
-                                             rounding, format, minorUnitCodes);
-            currencies_.push_back(c);
-
+                                             rounding, format, minorUnitCodes, currencyType);
             DLOG("loading configuration for currency code " << isoCode);
 
-            CurrencyParser::instance().addCurrency(c.code(), c);
+            switch (currencyType) { 
+                case QuantExt::ConfigurableCurrency::Type::Crypto:
+                    CurrencyParser::instance().addCrypto(c.code(), c);
+                    break;
+                case QuantExt::ConfigurableCurrency::Type::Metal:
+                    CurrencyParser::instance().addMetal(c.code(), c);
+                    break;
+                default:
+                    CurrencyParser::instance().addCurrency(c.code(), c);
+                    break;
+            }
+            currencies_.push_back(c);
 
         } catch (std::exception&) {
             ALOG("error loading currency config for name " << name << " iso code " << isoCode);
@@ -81,6 +90,7 @@ XMLNode* CurrencyConfig::toXML(XMLDocument& doc) {
         XMLUtils::addChild(doc, ccyNode, "RoundingPrecision", to_string(ccy.rounding().precision()));
         // XMLUtils::addChild(doc, ccyNode, "Digit", to_string(ccy.rounding().roundingDigit()));
         XMLUtils::addChild(doc, ccyNode, "Format", ccy.format());
+        XMLUtils::addChild(doc, ccyNode, "CurrencyType", to_string(ccy.currencyType()));
     }
     return node;
 }
diff --git a/OREData/ored/utilities/currencyconfig.hpp b/OREData/ored/utilities/currencyconfig.hpp
@@ -25,6 +25,7 @@
 
 #include <map>
 #include <ored/utilities/xmlutils.hpp>
+#include <qle/currencies/configurablecurrency.hpp>
 #include <ql/patterns/singleton.hpp>
 #include <ql/currency.hpp>
 #include <ql/utilities/dataparsers.hpp>
@@ -34,6 +35,7 @@
 
 namespace ore {
 namespace data {
+using QuantExt::ConfigurableCurrency;
 using QuantLib::Currency;
 using std::map;
 using std::set;
@@ -50,13 +52,13 @@ class CurrencyConfig : public XMLSerializable {
     CurrencyConfig();
 
     //! check out any configured currencies
-    const vector<Currency>& getCurrencies() const { return currencies_; }
+    const vector<ConfigurableCurrency>& getCurrencies() const { return currencies_; }
 
     void fromXML(XMLNode* node) override;
     XMLNode* toXML(XMLDocument& doc) override;
 
 private:
-    vector<Currency> currencies_;
+    vector<ConfigurableCurrency> currencies_;
 };
 
 } // namespace data
diff --git a/OREData/ored/utilities/currencyhedgedequityindexdecomposition.cpp b/OREData/ored/utilities/currencyhedgedequityindexdecomposition.cpp
@@ -20,21 +20,13 @@ loadCurrencyHedgedIndexDecomposition(const std::string& name, const boost::share
     std::map<std::string, std::pair<double, std::string>> currencyWeightsAndFxIndexNames;
     
     if (refDataMgr) {
-        try {
+        if (refDataMgr->hasData("CurrencyHedgedEquityIndex", name))
             indexRefData = boost::dynamic_pointer_cast<CurrencyHedgedEquityIndexReferenceDatum>(
                 refDataMgr->getData("CurrencyHedgedEquityIndex", name));
-        } catch (...) {
-            // Index not a CurrencyHedgedEquityIndex or referencedata is missing, don't throw here
-        }
 
-        if (indexRefData != nullptr) {
-            try {
-                underlyingRefData = boost::dynamic_pointer_cast<EquityIndexReferenceDatum>(
-                    refDataMgr->getData("EquityIndex", indexRefData->underlyingIndexName()));
-            } catch (...) {
-                // referencedata is missing, but don't throw here, return null ptr
-            }
-        }
+        if (indexRefData != nullptr && refDataMgr->hasData("EquityIndex", indexRefData->underlyingIndexName()))
+            underlyingRefData = boost::dynamic_pointer_cast<EquityIndexReferenceDatum>(
+                refDataMgr->getData("EquityIndex", indexRefData->underlyingIndexName()));
     }
 
     if (indexRefData == nullptr || underlyingRefData == nullptr) {
diff --git a/OREData/ored/utilities/currencyparser.cpp b/OREData/ored/utilities/currencyparser.cpp
@@ -181,6 +181,22 @@ void CurrencyParser::addCurrency(const std::string& newName, const QuantLib::Cur
     addMinorCurrencyCodes(currency);
 }
 
+void CurrencyParser::addMetal(const std::string& newName, const QuantLib::Currency& currency) {
+    boost::unique_lock<boost::shared_mutex> lock(mutex_);
+    if (currencies_.find(newName) != currencies_.end() || preciousMetals_.find(newName) != preciousMetals_.end() ||
+        cryptoCurrencies_.find(newName) != cryptoCurrencies_.end())
+        return;
+    preciousMetals_[newName] = currency;
+}
+
+void CurrencyParser::addCrypto(const std::string& newName, const QuantLib::Currency& currency) {
+    boost::unique_lock<boost::shared_mutex> lock(mutex_);
+    if (currencies_.find(newName) != currencies_.end() || preciousMetals_.find(newName) != preciousMetals_.end() ||
+        cryptoCurrencies_.find(newName) != cryptoCurrencies_.end())
+        return;
+    cryptoCurrencies_[newName] = currency;
+}
+
 void CurrencyParser::addMinorCurrencyCodes(const QuantLib::Currency& currency) {
     for (auto const& c : currency.minorUnitCodes()) {
         minorCurrencies_[c] = currency;
diff --git a/OREData/ored/utilities/currencyparser.hpp b/OREData/ored/utilities/currencyparser.hpp
@@ -44,6 +44,8 @@ class CurrencyParser : public QuantLib::Singleton<CurrencyParser, std::integral_
                                                                         const std::string& delimiters) const;
 
     void addCurrency(const std::string& newName, const QuantLib::Currency& currency);
+    void addMetal(const std::string& newName, const QuantLib::Currency& currency);
+    void addCrypto(const std::string& newName, const QuantLib::Currency& currency);
 
     bool isValidCurrency(const std::string& name) const;
     bool isMinorCurrency(const std::string& name) const;
diff --git a/OREData/ored/utilities/parsers.cpp b/OREData/ored/utilities/parsers.cpp
@@ -284,6 +284,22 @@ DayCounter parseDayCounter(const string& s) {
 
 Currency parseCurrency(const string& s) { return CurrencyParser::instance().parseCurrency(s); }
 
+QuantExt::ConfigurableCurrency::Type parseCurrencyType(const string& s) {
+    static map<string, QuantExt::ConfigurableCurrency::Type> m = {
+        {"Major", QuantExt::ConfigurableCurrency::Type::Major}, {"Fiat Currency", QuantExt::ConfigurableCurrency::Type::Major},
+        {"Fiat", QuantExt::ConfigurableCurrency::Type::Major}, {"Metal", QuantExt::ConfigurableCurrency::Type::Metal}, 
+        {"Precious Metal", QuantExt::ConfigurableCurrency::Type::Metal}, {"Crypto", QuantExt::ConfigurableCurrency::Type::Crypto},
+        {"Cryptocurrency", QuantExt::ConfigurableCurrency::Type::Crypto}};
+
+    auto it = m.find(s);
+    if (it != m.end()) {
+        return it->second;
+    } else {
+        QL_FAIL("Currency type \"" << s << "\" not recognised");
+    }
+}
+
+
 Currency parseMinorCurrency(const string& s) { return CurrencyParser::instance().parseMinorCurrency(s); }
 
 Currency parseCurrencyWithMinors(const string& s) { return CurrencyParser::instance().parseCurrencyWithMinors(s); }
diff --git a/OREData/ored/utilities/parsers.hpp b/OREData/ored/utilities/parsers.hpp
@@ -142,6 +142,12 @@ QuantLib::DayCounter parseDayCounter(const string& s);
  */
 QuantLib::Currency parseCurrency(const string& s);
 
+//! Convert text to QuantExt::ConfigurableCurrency::Type (Major, Minor, Metal, Crypto)
+/*!
+  \ingroup utilities
+ */
+QuantExt::ConfigurableCurrency::Type parseCurrencyType(const string& s);
+
 //! Convert text to QuantLib::Currency for minor currencies e.g GBp -> GBPCurrency()
 /*!
   \ingroup utilities
diff --git a/QuantExt/qle/CMakeLists.txt b/QuantExt/qle/CMakeLists.txt
@@ -53,12 +53,12 @@ cashflows/fixedratefxlinkednotionalcoupon.cpp
 cashflows/floatingannuitycoupon.cpp
 cashflows/floatingannuitynominal.cpp
 cashflows/formulabasedcoupon.cpp
-cashflows/mcgaussianformulabasedcouponpricer.cpp
 cashflows/fxlinkedcashflow.cpp
 cashflows/iborfracoupon.cpp
 cashflows/indexedcoupon.cpp
 cashflows/jyyoyinflationcouponpricer.cpp
 cashflows/lognormalcmsspreadpricer.cpp
+cashflows/mcgaussianformulabasedcouponpricer.cpp
 cashflows/nonstandardcapflooredyoyinflationcoupon.cpp
 cashflows/nonstandardinflationcouponpricer.cpp
 cashflows/nonstandardyoyinflationcoupon.cpp
@@ -452,12 +452,12 @@ cashflows/floatingannuitycoupon.hpp
 cashflows/floatingannuitynominal.hpp
 cashflows/floatingratefxlinkednotionalcoupon.hpp
 cashflows/formulabasedcoupon.hpp
-cashflows/mcgaussianformulabasedcouponpricer.hpp
 cashflows/fxlinkedcashflow.hpp
 cashflows/iborfracoupon.hpp
 cashflows/indexedcoupon.hpp
 cashflows/jyyoyinflationcouponpricer.hpp
 cashflows/lognormalcmsspreadpricer.hpp
+cashflows/mcgaussianformulabasedcouponpricer.hpp
 cashflows/nonstandardcapflooredyoyinflationcoupon.hpp
 cashflows/nonstandardinflationcouponpricer.hpp
 cashflows/nonstandardyoyinflationcoupon.hpp
diff --git a/QuantExt/qle/currencies/configurablecurrency.cpp b/QuantExt/qle/currencies/configurablecurrency.cpp
@@ -26,10 +26,26 @@ using namespace QuantLib;
 ConfigurableCurrency::ConfigurableCurrency(const std::string& name, const std::string& code, Integer numericCode,
                                            const std::string& symbol, const std::string& fractionSymbol,
                                            Integer fractionsPerUnit, const Rounding& rounding,
-                                           const std::string& formatString,
-                                           const std::set<std::string>& minorUnitCodes) {
+                                           const std::string& formatString, const std::set<std::string>& minorUnitCodes,
+                                           ConfigurableCurrency::Type currencyType)
+    : Currency(name, code, numericCode, symbol, fractionSymbol, fractionsPerUnit, rounding, formatString, Currency(),
+               minorUnitCodes),
+      currencyType_(currencyType) {
     data_ = boost::make_shared<Currency::Data>(name, code, numericCode, symbol, fractionSymbol, fractionsPerUnit,
                                                rounding, formatString, Currency(), minorUnitCodes);
 }
 
+std::ostream& operator<<(std::ostream& os, ConfigurableCurrency::Type ccytype) {
+    switch (ccytype) {
+		case ConfigurableCurrency::Type::Major:
+			return os << "Major";
+        case ConfigurableCurrency::Type::Metal:
+            return os <<"Metal";
+        case ConfigurableCurrency::Type::Crypto:
+            return os << "Crypto";
+        default:
+            QL_FAIL("Unknown AssetClass");
+    }
+}
+
 } // namespace QuantExt
diff --git a/QuantExt/qle/currencies/configurablecurrency.hpp b/QuantExt/qle/currencies/configurablecurrency.hpp
@@ -35,11 +35,18 @@ using namespace QuantLib;
  */
 class ConfigurableCurrency : public Currency {
 public:
+    enum class Type { Major, Metal, Crypto };
     ConfigurableCurrency(const std::string& name, const std::string& code, Integer numericCode,
                          const std::string& symbol, const std::string& fractionSymbol, Integer fractionsPerUnit,
-                         const Rounding& rounding, const std::string& formatString,
-                         const std::set<std::string>& minorUnitCodes);
+                         const Rounding& rounding, const std::string& formatString, 
+                         const std::set<std::string>& minorUnitCodes, Type currencyType = Type::Major);
+    Type currencyType() const { return currencyType_; }
+
+private:
+    ConfigurableCurrency::Type currencyType_;
 };
 
+std::ostream& operator<<(std::ostream& os, QuantExt::ConfigurableCurrency::Type ccytype);
+
 } // namespace QuantExt
 #endif
diff --git a/QuantExt/qle/pricingengines/numericlgmmultilegoptionengine.cpp b/QuantExt/qle/pricingengines/numericlgmmultilegoptionengine.cpp
@@ -321,8 +321,11 @@ void NumericLgmMultiLegOptionEngineBase::calculate() const {
             // transfer relevant cashflow amounts to exercise into npv
 
             for (auto const& cf : option->second) {
-                underlyingNpv1 += underlyingNpv2[cf];
-                underlyingNpv2.erase(cf);
+                auto npv2Cf = underlyingNpv2.find(cf);
+                if (npv2Cf != underlyingNpv2.end()) {
+                    underlyingNpv1 += npv2Cf->second;
+                    underlyingNpv2.erase(cf);
+                }
             }
 
             // update the option value (exercise value including rebate vs. continuation value)
diff --git a/xsd/currencyconfig.xsd b/xsd/currencyconfig.xsd
@@ -23,6 +23,7 @@
       <xs:element type="xs:string" name="RoundingType"/>
       <xs:element type="xs:integer" name="RoundingPrecision"/>
       <xs:element type="xs:string" name="Format"/>
+      <xs:element type="xs:string" name="CurrencyType" minOccurs="0"/>
     </xs:all>
   </xs:complexType>
   

Original file line number	Diff line number	Diff line change
`@@ -114,7 +114,7 @@ map<Date, HelperValues> jyHelperValues(const vector<boost::shared_ptr<Calibratio`
`114`	`114`	`if (ctr < times.size())`
`115`	`115`	`kv.second.maturity = times[ctr++];`
`116`	`116`	`else`
`117`		`- kv.second.maturity = times.back();`
	`117`	`+ kv.second.maturity = times.empty() ? 0.0 : times.back();`
`118`	`118`	`}`
`119`	`119`
`120`	`120`	`return result;`