Merge remote-tracking branch 'origin/master'

Author: pcaspers

OREAnalytics/orea/app/analytic.cpp

@@ -29,6 +29,7 @@
 #include <orea/engine/valuationengine.hpp>
 #include <orea/aggregation/dimregressioncalculator.hpp>
 
+#include <ored/marketdata/compositeloader.hpp>
 #include <ored/marketdata/todaysmarket.hpp>
 #include <ored/marketdata/bondspreadimply.hpp>
 #include <ored/portfolio/builders/currencyswap.hpp>
@@ -163,17 +164,21 @@ void Analytic::buildMarket(const boost::shared_ptr<ore::data::InMemoryLoader>& l
     // first build the market if we have a todaysMarketParams
     if (configurations().todaysMarketParams) {
         try {
-            // Note: we usually update the loader with implied data, but we simply use the provided loader here
-             loader_ = loader;
+            // imply bond spreads (no exclusion of securities in ore, just in ore+) and add results to loader
+            auto bondSpreads = implyBondSpreads(configurations().asofDate, inputs_, configurations_.todaysMarketParams,
+                                                loader, configurations_.curveConfig, std::string());
+
+            // Join the loaders
+            loader_ = boost::make_shared<CompositeLoader>(loader, bondSpreads);
+
             // Check that the loader has quotes
-            QL_REQUIRE( loader_->hasQuotes(inputs()->asof()),
-                       "There are no quotes available for date " << inputs()->asof());
+            QL_REQUIRE(loader_->hasQuotes(configurations().asofDate),
+                       "There are no quotes available for date " << configurations().asofDate);
             // Build the market
-            market_ = boost::make_shared<TodaysMarket>(inputs()->asof(), configurations().todaysMarketParams, loader_,
-                                                       configurations().curveConfig, inputs()->continueOnError(),
-                                                       true, inputs()->lazyMarketBuilding(), inputs()->refDataManager(),
-                                                       false, *inputs()->iborFallbackConfig());
-            // Note: we usually wrap the market into a PC market, but skip this step here
+            market_ = boost::make_shared<TodaysMarket>(
+                configurations().asofDate, configurations().todaysMarketParams, loader_, configurations().curveConfig,
+                inputs()->continueOnError(), true, inputs()->lazyMarketBuilding(), inputs()->refDataManager(), false,
+                *inputs()->iborFallbackConfig());
         } catch (const std::exception& e) {
             if (marketRequired)
                 QL_FAIL("Failed to build market: " << e.what());

OREData/ored/portfolio/builders/capfloorediborleg.cpp

@@ -17,6 +17,7 @@
 */
 
 #include <ored/portfolio/builders/capfloorediborleg.hpp>
+#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
 #include <ored/utilities/log.hpp>
 
 #include <boost/make_shared.hpp>
@@ -28,7 +29,13 @@ boost::shared_ptr<FloatingRateCouponPricer> CapFlooredIborLegEngineBuilder::engi
 
     std::string ccyCode = parseIborIndex(index)->currency().code();
     Handle<YieldTermStructure> yts = market_->discountCurve(ccyCode, configuration(MarketContext::pricing));
-    Handle<OptionletVolatilityStructure> ovs = market_->capFloorVol(index, configuration(MarketContext::pricing));
+    Handle<OptionletVolatilityStructure> ovs;
+    if (parseBool(engineParameter("ZeroVolatility", {}, false, "false"))) {
+        ovs = Handle<OptionletVolatilityStructure>(boost::make_shared<ConstantOptionletVolatility>(
+            0, NullCalendar(), Unadjusted, 0.0, Actual365Fixed(), Normal));
+    } else {
+        ovs = market_->capFloorVol(index, configuration(MarketContext::pricing));
+    }
     BlackIborCouponPricer::TimingAdjustment timingAdjustment = BlackIborCouponPricer::Black76;
     boost::shared_ptr<SimpleQuote> correlation = boost::make_shared<SimpleQuote>(1.0);
     // for backwards compatibility we do not require the additional timing adjustment fields

OREData/ored/portfolio/makenonstandardlegs.cpp

@@ -156,12 +156,15 @@ Leg makeNonStandardIborLeg(const boost::shared_ptr<IborIndex>& index, const std:
     for (auto const& d : calcDates)
         effCalcDates.insert(d);
 
-    for (auto const& d : resetDates)
-        effCalcDates.insert(d);
+    for (auto const& d : resetDates) {
+        if (d >= calcDates.front() && d < calcDates.back())
+            effCalcDates.insert(d);
+    }
 
     if (strictNotionalDates) {
         for (auto const& d : notionalDates) {
-            effCalcDates.insert(d);
+            if (d >= calcDates.front() && d < calcDates.back())
+                effCalcDates.insert(d);
         }
     }
 
@@ -279,7 +282,8 @@ Leg makeNonStandardFixedLeg(const std::vector<Date>& calcDates, const std::vecto
 
     if (strictNotionalDates)
         for (auto const& d : notionalDates) {
-            effCalcDates.insert(d);
+            if (d >= calcDates.front() && d < calcDates.back())
+                effCalcDates.insert(d);
         }
 
     // build coupons