Resolve QPR-12520 "Calibrationerror"

Author: pcaspers

OREAnalytics/orea/app/inputparameters.hpp

@@ -555,6 +555,7 @@ class InputParameters {
     const QuantLib::ext::shared_ptr<ore::data::NettingSetManager>& nettingSetManager() const { return nettingSetManager_; }
     // const QuantLib::ext::shared_ptr<ore::data::CounterpartyManager>& counterpartyManager() const { return counterpartyManager_; }
     const QuantLib::ext::shared_ptr<ore::data::CollateralBalances>& collateralBalances() const { return collateralBalances_; }
+    const Real& simulationBootstrapTolerance() const { return simulationBootstrapTolerance_; }
 
     /*****************
      * Getters for xva
@@ -880,6 +881,7 @@ class InputParameters {
     // intermediate results of the exposure simulation, before aggregation
     QuantLib::ext::shared_ptr<NPVCube> cube_, nettingSetCube_, cptyCube_;
     QuantLib::ext::shared_ptr<AggregationScenarioData> mktCube_;
+    Real simulationBootstrapTolerance_ = 0.0001;
 
     /**************
      * XVA analytic

OREData/ored/CMakeLists.txt

@@ -488,6 +488,7 @@ model/localvolmodelbuilder.hpp
 model/modeldata.hpp
 model/modelparameter.hpp
 model/structuredmodelerror.hpp
+model/structuredmodelwarning.hpp
 model/utilities.hpp
 portfolio/accumulator.hpp
 portfolio/ascot.hpp

OREData/ored/model/crossassetmodelbuilder.cpp

@@ -28,7 +28,7 @@
 #include <ored/model/inflation/infjydata.hpp>
 #include <ored/model/irhwmodeldata.hpp>
 #include <ored/model/lgmbuilder.hpp>
-#include <ored/model/structuredmodelerror.hpp>
+#include <ored/model/structuredmodelwarning.hpp>
 #include <ored/model/utilities.hpp>
 #include <ored/utilities/correlationmatrix.hpp>
 #include <ored/utilities/log.hpp>
@@ -634,7 +634,7 @@ void CrossAssetModelBuilder::buildModel() const {
                                                    std::to_string(fxOptionCalibrationErrors_[i]) +
                                                    " exceeds tolerance " +
                                                    std::to_string(config_->bootstrapTolerance());
-                    StructuredModelErrorMessage("Failed to calibrate FX BS Model", exceptionMessage, id_).log();
+                    StructuredModelWarningMessage("Failed to calibrate FX BS Model", exceptionMessage, id_).log();
                     WLOGGERSTREAM("Calibration details:");
                     WLOGGERSTREAM(
                         getCalibrationDetails(fxOptionBaskets_[i], fxParametrizations[i], irParametrizations[0]));
@@ -708,7 +708,7 @@ void CrossAssetModelBuilder::buildModel() const {
                                                    std::to_string(eqOptionCalibrationErrors_[i]) +
                                                    " exceeds tolerance " +
                                                    std::to_string(config_->bootstrapTolerance());
-                    StructuredModelErrorMessage("Failed to calibrate EQ BS Model", exceptionMessage, id_).log();
+                    StructuredModelWarningMessage("Failed to calibrate EQ BS Model", exceptionMessage, id_).log();
                     WLOGGERSTREAM("Calibration details:");
                     WLOGGERSTREAM(
                         getCalibrationDetails(eqOptionBaskets_[i], eqParametrizations[i], irParametrizations[0]));
@@ -848,7 +848,7 @@ void CrossAssetModelBuilder::calibrateInflation(const InfDkData& data, Size mode
             string exceptionMessage = "INF (DK) " + std::to_string(modelIdx) + " calibration error " +
                                       std::to_string(inflationCalibrationErrors_[modelIdx]) + " exceeds tolerance " +
                                       std::to_string(config_->bootstrapTolerance());
-            StructuredModelErrorMessage("Failed to calibrate INF DK Model", exceptionMessage, id_).log();
+            StructuredModelWarningMessage("Failed to calibrate INF DK Model", exceptionMessage, id_).log();
             WLOGGERSTREAM("Calibration details:");
             WLOGGERSTREAM(getCalibrationDetails(cb, inflationParam, false));
             WLOGGERSTREAM("rmse = " << inflationCalibrationErrors_[modelIdx]);
@@ -1021,7 +1021,7 @@ void CrossAssetModelBuilder::calibrateInflation(const InfJyData& data, Size mode
             ss << "INF (JY) " << modelIdx << " calibration error " << std::scientific
                << inflationCalibrationErrors_[modelIdx] << " exceeds tolerance " << config_->bootstrapTolerance();
             string exceptionMessage = ss.str();
-            StructuredModelErrorMessage("Failed to calibrate INF JY Model", exceptionMessage, id_).log();
+            StructuredModelWarningMessage("Failed to calibrate INF JY Model", exceptionMessage, id_).log();
             WLOGGERSTREAM("Calibration details:");
             WLOGGERSTREAM(getCalibrationDetails(rrBasket, idxBasket, inflationParam, rrVol.calibrate()));
             WLOGGERSTREAM("rmse = " << inflationCalibrationErrors_[modelIdx]);

OREData/ored/model/structuredmodelwarning.hpp

@@ -0,0 +1,43 @@
+/*
+ Copyright (C) 2024 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+/*! \file ored/model/structuredmodelerror.hpp
+    \brief Error for model calibration / building
+    \ingroup marketdata
+*/
+
+#pragma once
+
+#include <boost/algorithm/string.hpp>
+#include <ored/utilities/log.hpp>
+
+namespace ore {
+namespace data {
+
+//! Utility class for Structured Model errors
+class StructuredModelWarningMessage : public StructuredMessage {
+public:
+    StructuredModelWarningMessage(const std::string& exceptionType, const std::string& exceptionWhat,
+                                const std::string& contextId)
+        : StructuredMessage(
+              Category::Warning, Group::Model, exceptionWhat,
+              std::map<std::string, std::string>({{"exceptionType", exceptionType}, {"context-id", contextId}})) {}
+};
+
+} // namespace data
+} // namespace ore

OREData/ored/ored.hpp

@@ -112,6 +112,7 @@
 #include <ored/model/modeldata.hpp>
 #include <ored/model/modelparameter.hpp>
 #include <ored/model/structuredmodelerror.hpp>
+#include <ored/model/structuredmodelwarning.hpp>
 #include <ored/model/utilities.hpp>
 #include <ored/portfolio/accumulator.hpp>
 #include <ored/portfolio/ascot.hpp>