Merge branch 'feature/QPR-13646' into 'master'

QPR-13646 add md label and value to market calibration report, cashflow report for curve instruments

Closes QPR-13646

See merge request qs/oreplus!3022

Author: pcaspers

Examples/CurveBuilding/ExpectedOutput/fixedfloatccs/todaysmarketcalibration.csv

@@ -37,6 +37,7 @@
       <Parameter name="configuration">default</Parameter>
       <Parameter name="grid">240,1M</Parameter>
       <Parameter name="outputFileName">curves.csv</Parameter>
+      <Parameter name="outputTodaysMarketCalibration">true</Parameter>
     </Analytic>
   </Analytics>
 </ORE>

Examples/CurveBuilding/ExpectedOutput/fixedfloatccs/todaysmarketcalibration_cashflows.csv

@@ -1,7 +1,7 @@
 #Portfolio,RiskClass,RiskType,Quantile_0.010000,Quantile_0.050000,Quantile_0.950000,Quantile_0.990000,ExpectedShortfall_0.010000,ExpectedShortfall_0.050000,ExpectedShortfall_0.950000,ExpectedShortfall_0.990000
-All,All,All,-874502.874530,-629898.758251,552878.029114,846747.430447,-949845.533394,-777808.333103,-46660.216653,-19301.216764
-All,All,DeltaGamma,-874502.874530,-629898.758251,552878.029114,846747.430447,-949845.533394,-777808.333103,-46660.216653,-19301.216764
-All,InterestRate,All,-63274.820389,-47022.474424,75704.146136,103062.394662,-68496.169001,-56659.031807,2840.586138,6221.907915
-All,InterestRate,DeltaGamma,-63274.820389,-47022.474424,75704.146136,103062.394662,-68496.169001,-56659.031807,2840.586138,6221.907915
-All,FX,All,-884243.685619,-636898.503103,534980.158696,806008.620044,-955310.750585,-776949.933008,-53409.935097,-26518.146700
-All,FX,DeltaGamma,-884243.685619,-636898.503103,534980.158696,806008.620044,-955310.750585,-776949.933008,-53409.935097,-26518.146700
+All,All,All,-874503.346996,-629899.117052,552878.307798,846747.819325,-949845.987415,-777808.702398,-46660.238115,-19301.225679
+All,All,DeltaGamma,-874503.346996,-629899.117052,552878.307798,846747.819325,-949845.987415,-777808.702398,-46660.238115,-19301.225679
+All,InterestRate,All,-63274.845054,-47022.474291,75704.158273,103062.448727,-68496.179457,-56659.032043,2840.589295,6221.911416
+All,InterestRate,DeltaGamma,-63274.845054,-47022.474291,75704.158273,103062.448727,-68496.179457,-56659.032043,2840.589295,6221.911416
+All,FX,All,-884244.095663,-636898.798448,534980.406779,806008.993809,-955311.193585,-776950.293297,-53409.959864,-26518.158997
+All,FX,DeltaGamma,-884244.095663,-636898.798448,534980.406779,806008.993809,-955311.193585,-776950.293297,-53409.959864,-26518.158997

Examples/CurveBuilding/Input/ore_fixedfloatccs.xml

@@ -1,11 +1,11 @@
 #TradeId,ScenarioLabel,Base NPV,Scenario NPV,Sensitivity
-CDS,xccy_basis_per,-64058.63,-64116.91,-58.28
-CDS,cds_spread_par,-64058.63,-40203.77,23854.86
-CDS,cds_spread_zero,-64058.63,-49830.74,14227.90
-CDS,eur_ester_par,-64058.63,-63725.85,332.78
-CDS,xccy_basis_zero,-64058.63,-63292.52,766.12
-CDS,eur_ester_zero,-64058.63,-64055.12,3.51
-CDS,eur_ester_par_and_FX,-64058.63,-64363.11,-304.47
+CDS,xccy_basis_per,-64058.64,-64116.92,-58.28
+CDS,cds_spread_par,-64058.64,-40203.78,23854.86
+CDS,cds_spread_zero,-64058.64,-49830.74,14227.90
+CDS,eur_ester_par,-64058.64,-63725.85,332.78
+CDS,xccy_basis_zero,-64058.64,-63292.52,766.12
+CDS,eur_ester_zero,-64058.64,-64055.13,3.51
+CDS,eur_ester_par_and_FX,-64058.64,-64363.11,-304.47
 Cap,eur_capfloor_par,4988926.69,4413744.60,-575182.09
 Cap,eur_capfloor_zero,4988926.69,4411082.64,-577844.06
 Cap,eur_ester_par,4988926.69,4923338.02,-65588.67
@@ -20,8 +20,8 @@ EUR6MSwap,eur6m_zero,5924803.71,7615306.91,1690503.20
 EUR6MSwap,eur6m_no_caplet,5924803.71,8055907.11,2131103.40
 EUR6MSwap,eur_ester_zero,5924803.71,5867078.77,-57724.94
 EUR6MSwap,eur_ester_par_and_FX,5924803.71,5847515.87,-77287.84
-XccySwap,xccy_basis_per,268883.09,373842.20,104959.10
-XccySwap,eur_ester_par,268883.09,1184696.53,915813.43
-XccySwap,xccy_basis_zero,268883.09,1954584.28,1685701.18
-XccySwap,eur_ester_zero,268883.09,29452.27,-239430.83
-XccySwap,eur_ester_par_and_FX,268883.09,230968.94,-37914.16
+XccySwap,xccy_basis_per,268878.25,373837.37,104959.12
+XccySwap,eur_ester_par,268878.25,1184691.80,915813.55
+XccySwap,xccy_basis_zero,268878.25,1954579.45,1685701.20
+XccySwap,eur_ester_zero,268878.25,29447.50,-239430.75
+XccySwap,eur_ester_par_and_FX,268878.25,230964.20,-37914.05

Examples/MarketRisk/ExpectedOutput/HistSimVar/historical_PnL.csv

@@ -1,5 +1,5 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-CDS,CreditDefaultSwap,2026-12-21,2.795000,-69177.877661,USD,-64058.632078,EUR,1000000.00,USD,925998.81,NS,CP
+CDS,CreditDefaultSwap,2026-12-21,2.795000,-69177.881713,USD,-64058.635830,EUR,1000000.00,USD,925998.81,NS,CP
 Cap,Swap,2026-03-02,1.989520,4413744.604500,EUR,4413744.604500,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
 EUR6MSwap,Swap,2026-03-02,1.989520,5924803.709084,EUR,5924803.709084,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
-XccySwap,Swap,2026-01-06,1.838835,290370.886693,USD,268883.094219,EUR,102120250.00,USD,94563229.51,,A
+XccySwap,Swap,2026-01-06,1.838835,290365.654422,USD,268878.249142,EUR,102120250.00,USD,94563229.51,,A

Examples/MarketRisk/ExpectedOutput/HistSimVar/var.csv

@@ -1,5 +1,5 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-CDS,CreditDefaultSwap,2026-12-21,2.795000,-43365.517475,USD,-40156.417380,EUR,1000000.00,USD,925998.81,NS,CP
+CDS,CreditDefaultSwap,2026-12-21,2.795000,-43365.519647,USD,-40156.419392,EUR,1000000.00,USD,925998.81,NS,CP
 Cap,Swap,2026-03-02,1.989520,4988926.691472,EUR,4988926.691472,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
 EUR6MSwap,Swap,2026-03-02,1.989520,5924803.709084,EUR,5924803.709084,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
-XccySwap,Swap,2026-01-06,1.838835,290370.886693,USD,268883.094219,EUR,102120250.00,USD,94563229.51,,A
+XccySwap,Swap,2026-01-06,1.838835,290365.654422,USD,268878.249142,EUR,102120250.00,USD,94563229.51,,A