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Merge branch 'gh_179_180_182_183' into 'master'
GH PR 179, 180, 182, 183 See merge request qs/ore!57
2 parents 22d2f1b + fa00ee1 commit 6eb08d4

20 files changed

Lines changed: 146 additions & 33 deletions

‎.github/workflows/linux_build.yaml‎

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name: C/C++ CI
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on:
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push:
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branches: master
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pull_request:
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branches: master
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types: [ready_for_review, opened, synchronize, reopened]
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paths:
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- .github/workflows/linux_build.yaml
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- ./App/**
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- ./OREAnalytics/**
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- '!./OREAnalytics/doc/**'
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- ./OREData/**
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- '!./OREData/doc/**'
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- ./ORETest/**
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- ./QuantExt/**
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- '!./QuantExt/doc/**'
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- CMakeLists.txt
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workflow_dispatch:
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jobs:
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build:
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name: building
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runs-on: ubuntu-22.04
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steps:
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- uses: actions/checkout@v3
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- name: get QuantLib
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run: |
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git submodule update --init
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- name: Set up Boost
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run: |
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sudo apt update
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sudo apt install -y libboost-all-dev libboost-test-dev
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- name: cmake configure
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run : mkdir build; cd build; cmake -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -G "Ninja" ..
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- name: cmake build
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run: cd build/; pwd; cmake --build . -j $(nproc)

‎CMakePresets.json‎

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{
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"version": 2,
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"version": 3,
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"configurePresets": [
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{
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"name": "windows-ninja-x64-debug",
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]
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}
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}
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},
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{
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"name": "linux-gcc-base",
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"hidden": true,
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"binaryDir": "${sourceDir}/build/${presetName}",
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"cacheVariables": {
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"CMAKE_CXX_COMPILER": "g++",
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"BOOST_ROOT": "$env{BOOST}",
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"QL_BUILD_EXAMPLES": false,
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"QL_BUILD_TEST_SUITE": false,
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"QL_BUILD_BENCHMARK": false,
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"QL_ENABLE_SESSIONS": true,
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"ORE_BUILD_DOC": false
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},
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"condition": {
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"type": "equals",
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"lhs": "${hostSystemName}",
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"rhs": "Linux"
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}
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},
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{
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"name": "_release",
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"hidden": true,
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"cacheVariables": {
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"CMAKE_BUILD_TYPE": "Release"
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}
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},
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{
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"name": "_debug",
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"hidden": true,
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"cacheVariables": {
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"CMAKE_BUILD_TYPE": "Debug"
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}
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},
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{
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"name": "_relwithdebinfo",
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"hidden": true,
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"cacheVariables": {
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"CMAKE_BUILD_TYPE": "RelWithDebInfo"
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}
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},
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{
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"name": "_ninja",
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"hidden": true,
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"generator": "Ninja"
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},
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{
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"name": "linux-gcc-ninja-debug",
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"inherits": [
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"linux-gcc-base",
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"_ninja",
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"_debug"
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]
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},
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{
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"name": "linux-gcc-ninja-release",
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"inherits": [
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"linux-gcc-base",
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"_ninja",
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"_release"
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]
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},
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{
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"name": "linux-gcc-ninja-relwithdebinfo",
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"inherits": [
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"linux-gcc-base",
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"_ninja",
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"_relwithdebinfo"
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]
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}
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],
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"buildPresets": [

‎Docs/UserGuide/allowablevalues.tex‎

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@@ -192,6 +192,7 @@ \subsection{Allowable Values}
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\emph{TH, THA, THB} & Thailand Calendar \\ \hline
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\emph{TR, TUR, TRY} & Turkey Calendar \\ \hline
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\emph{UA, UKR, UAH} & Ukraine Calendar \\ \hline
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\emph{XASX} & Australian Securities Exchange Calendar \\ \hline
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\emph{BVMF} & Brazil Bovespa Calendar \\ \hline
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\emph{XTSE} & Canada Toronto Stock Exchange Calendar \\ \hline
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\emph{XSHG} & China Shanghai Stock Exchange Calendar \\ \hline

‎Docs/UserGuide/tradecomponents/underlying.tex‎

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\item \lstinline!PriceType! [Optional]:
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Only valid when \lstinline!Type! is \emph{Commodity}. Whether the Spot or Future price is referenced.
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Allowable values: \emph{Spot}, \emph{FutureSettlemment}. Mandatory when \lstinline!Type! is \emph{Commodity} .
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Allowable values: \emph{Spot}, \emph{FutureSettlement}. Mandatory when \lstinline!Type! is \emph{Commodity} .
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\item \lstinline!FutureMonthOffset! [Optional]:
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Only valid when \lstinline!Type! is \emph{Commodity}. Only relevant for the \emph{FutureSettlemment} price type, in which case the the $N+1$th future with
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Only valid when \lstinline!Type! is \emph{Commodity}. Only relevant for the \emph{FutureSettlement} price type, in which case the the $N+1$th future with
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expiry greater than ObservationDate for the given commodity underlying will be referenced.
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Allowable values: An integer. Mandatory for when \lstinline!Type! is \emph{Commodity} and \lstinline!PriceType! is \emph{FutureSettlemment}.
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Allowable values: An integer. Mandatory for when \lstinline!Type! is \emph{Commodity} and \lstinline!PriceType! is \emph{FutureSettlement}.
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\item \lstinline!DeliveryRollDays! [Optional]:
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Only valid when \lstinline!Type! is \emph{Commodity}. The number of days the observation date is rolled forward before the

‎OREAnalytics/orea/app/marketdataloader.cpp‎

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@@ -134,7 +134,7 @@ void additional_equity_fixings(map<string, set<Date>>& fixings, const TodaysMark
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indexDecomposition->addAdditionalFixingsForEquityIndexDecomposition(asof, fixings);
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}
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} catch (const std::exception& e) {
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ALOG("adding addtional equity fixing failed, " << e.what());
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ALOG("adding additional equity fixing failed, " << e.what());
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}
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}
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}
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FixingMap portfolioFixings;
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std::map<std::pair<std::string, QuantLib::Date>, std::set<QuantLib::Date>> lastAvailableFixingLookupMap;
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// portfolio fixings will warn if missinbg
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// portfolio fixings will warn if missing
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if (inputs_->portfolio()) {
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portfolioFixings = inputs_->portfolio()->fixings();
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LOG("The portfolio depends on fixings from " << portfolioFixings.size() << " indices");
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QL_REQUIRE(!inputs_->curveConfigs().empty(), "Need at least one curve configuration to populate loader.");
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QL_REQUIRE(todaysMarketParameters.size() > 0, "No todaysMarketParams provided to populate market data loader.");
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// for equitites check if we have corporate action data
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// for equities check if we have corporate action data
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std::map<std::string, std::string> equities;
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for (const auto& tmp : todaysMarketParameters) {
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if (tmp->hasMarketObject(MarketObject::EquityCurve)) {

‎OREData/ored/configuration/conventions.cpp‎

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if (numberOfEmittedWarnings_ < max_num_warnings) {
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++numberOfEmittedWarnings_;
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WLOG("InstrumentConventions: Could not find conventions for "
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<< dt << ", using convetions from " << it->first
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<< dt << ", using conventions from " << it->first
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<< (numberOfEmittedWarnings_ == max_num_warnings ? " (no more warnings of this type will be emitted)"
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: ""));
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}

‎OREData/ored/portfolio/barrieroption.cpp‎

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@@ -130,8 +130,8 @@ void BarrierOption::build(const boost::shared_ptr<EngineFactory>& engineFactory)
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barrier_.levels()[0].value(), barrier_.levels()[1].value(), rebate, payoff, exercise);
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}
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boost::shared_ptr<QuantLib::PricingEngine> barrierEngine = barrierPricigingEngine(engineFactory, expiryDate, payDate);
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boost::shared_ptr<QuantLib::PricingEngine> vanillaEngine = vanillaPricigingEngine(engineFactory, expiryDate, payDate);
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boost::shared_ptr<QuantLib::PricingEngine> barrierEngine = barrierPricingEngine(engineFactory, expiryDate, payDate);
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boost::shared_ptr<QuantLib::PricingEngine> vanillaEngine = vanillaPricingEngine(engineFactory, expiryDate, payDate);
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// set pricing engines
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barrier->setPricingEngine(barrierEngine);

‎OREData/ored/portfolio/barrieroption.hpp‎

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@@ -63,10 +63,10 @@ class BarrierOption : virtual public ore::data::Trade {
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virtual QuantLib::Real tradeMultiplier() = 0;
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virtual Currency tradeCurrency() = 0;
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virtual boost::shared_ptr<QuantLib::PricingEngine>
66-
vanillaPricigingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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vanillaPricingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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const QuantLib::Date& paymentDate) = 0;
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virtual boost::shared_ptr<QuantLib::PricingEngine>
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barrierPricigingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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barrierPricingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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const QuantLib::Date& paymentDate) = 0;
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virtual const QuantLib::Handle<QuantLib::Quote>& spotQuote() = 0;
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‎OREData/ored/portfolio/equitybarrieroption.cpp‎

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QL_REQUIRE(barrier().style().empty() || barrier().style() == "American", "Only american barrier style suppported");
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}
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32-
boost::shared_ptr<QuantLib::PricingEngine> EquityBarrierOption::vanillaPricigingEngine(const boost::shared_ptr<EngineFactory>& ef,
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boost::shared_ptr<QuantLib::PricingEngine> EquityBarrierOption::vanillaPricingEngine(const boost::shared_ptr<EngineFactory>& ef,
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const QuantLib::Date& expiryDate, const QuantLib::Date& paymentDate) {
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boost::shared_ptr<EngineBuilder> builder = ef->builder("EquityOption");
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}
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boost::shared_ptr<QuantLib::PricingEngine>
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EquityBarrierOption::barrierPricigingEngine(const boost::shared_ptr<EngineFactory>& ef,
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EquityBarrierOption::barrierPricingEngine(const boost::shared_ptr<EngineFactory>& ef,
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const QuantLib::Date& expiryDate, const QuantLib::Date& paymentDate) {
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boost::shared_ptr<EngineBuilder> builder = ef->builder(tradeType_);

‎OREData/ored/portfolio/equitybarrieroption.hpp‎

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//! create the pricing engines
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boost::shared_ptr<QuantLib::PricingEngine>
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vanillaPricigingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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vanillaPricingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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const QuantLib::Date& paymentDate = QuantLib::Date()) override;
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boost::shared_ptr<QuantLib::PricingEngine>
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barrierPricigingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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barrierPricingEngine(const boost::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
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const QuantLib::Date& paymentDate = QuantLib::Date()) override;
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};
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