git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "ebf3c58134"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "094627784c"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

OREAnalytics/orea/app/oreapp.cpp

@@ -156,10 +156,7 @@ boost::shared_ptr<AggregationScenarioData> OREApp::getMarketCube(std::string cub
 }
 
 std::vector<std::string> OREApp::getErrors() {
-    std::vector<std::string> errors;
-    while (fbLogger_ && fbLogger_->logger->hasNext())
-        errors.push_back(fbLogger_->logger->next());
-    return errors;
+    return structuredLogger_->messages();
 }
 
 Real OREApp::getRunTime() {
@@ -383,6 +380,7 @@ void OREApp::run() {
     runTimer_.start();
 
     try {
+        structuredLogger_->clear();
         analytics();
     } catch (std::exception& e) {
         StructuredAnalyticsWarningMessage("OREApp::run()", "Error", e.what()).log();
@@ -403,6 +401,7 @@ void OREApp::run(const std::vector<std::string>& marketData,
 
     try {
         LOG("ORE analytics starting");
+        structuredLogger_->clear();
         MEM_LOG_USING_LEVEL(ORE_WARNING)
 
         QL_REQUIRE(inputs_, "ORE input parameters not set");
@@ -1411,8 +1410,6 @@ void OREApp::setupLog(const std::string& path, const std::string& file, Size mas
     QL_REQUIRE(boost::filesystem::is_directory(p), "output path '" << path << "' is not a directory.");
 
     Log::instance().registerLogger(boost::make_shared<FileLogger>(file));
-    // Report StructuredErrorMessages with level WARNING, ERROR, CRITICAL, ALERT
-    fbLogger_ = boost::make_shared<FilteredBufferedLoggerGuard>();
     boost::filesystem::path oreRootPath =
         logRootPath.empty() ? boost::filesystem::path(__FILE__).parent_path().parent_path().parent_path().parent_path()
                             : logRootPath;
@@ -1428,10 +1425,10 @@ void OREApp::setupLog(const std::string& path, const std::string& file, Size mas
     Log::instance().registerIndependentLogger(progressLogger);
 
     // Structured message logger
-    auto structuredLogger = boost::make_shared<StructuredLogger>();
+    structuredLogger_ = boost::make_shared<StructuredLogger>();
     string structuredLogFilePath = structuredLogFile.empty() ? path + "/log_structured.json" : structuredLogFile;
-    structuredLogger->setFileLog(structuredLogFilePath, path, structuredLogRotationSize);
-    Log::instance().registerIndependentLogger(structuredLogger);
+    structuredLogger_->setFileLog(structuredLogFilePath, path, structuredLogRotationSize);
+    Log::instance().registerIndependentLogger(structuredLogger_);
 
     // Event message logger
     auto eventLogger = boost::make_shared<EventLogger>();

OREAnalytics/orea/app/oreapp.hpp

@@ -27,8 +27,6 @@
 #include <orea/app/parameters.hpp>
 #include <orea/app/analyticsmanager.hpp>
 
-#include <ored/utilities/filteredbufferedlogger.hpp>
-
 #include <boost/make_shared.hpp>
 #include <boost/timer/timer.hpp>
 
@@ -102,7 +100,7 @@ class OREApp {
     boost::shared_ptr<OutputParameters> outputs_;
 
     boost::shared_ptr<AnalyticsManager> analyticsManager_;
-    boost::shared_ptr<FilteredBufferedLoggerGuard> fbLogger_;
+    boost::shared_ptr<StructuredLogger> structuredLogger_;
     boost::timer::cpu_timer runTimer_;
 };
 

OREData/ored/CMakeLists.txt

@@ -313,6 +313,8 @@ scripting/models/blackscholescg.cpp
 scripting/models/blackscholescgbase.cpp
 scripting/models/fdblackscholesbase.cpp
 scripting/models/gaussiancam.cpp
+scripting/models/gaussiancamcg.cpp
+scripting/models/lgmcg.cpp
 scripting/models/localvol.cpp
 scripting/models/modelcgimpl.cpp
 scripting/models/modelimpl.cpp
@@ -335,7 +337,6 @@ utilities/currencyhedgedequityindexdecomposition.cpp
 utilities/currencyparser.cpp
 utilities/dategrid.cpp
 utilities/fileio.cpp
-utilities/filteredbufferedlogger.cpp
 utilities/flowanalysis.cpp
 utilities/indexnametranslator.cpp
 utilities/indexparser.cpp
@@ -684,13 +685,16 @@ scripting/engines/scriptedinstrumentpricingengine.hpp
 scripting/engines/scriptedinstrumentpricingenginecg.hpp
 scripting/grammar.hpp
 scripting/models/amcmodel.hpp
+scripting/models/amcmodelcg.hpp
 scripting/models/blackscholes.hpp
 scripting/models/blackscholesbase.hpp
 scripting/models/blackscholescg.hpp
 scripting/models/blackscholescgbase.hpp
 scripting/models/dummymodel.hpp
 scripting/models/fdblackscholesbase.hpp
 scripting/models/gaussiancam.hpp
+scripting/models/gaussiancamcg.hpp
+scripting/models/lgmcg.hpp
 scripting/models/localvol.hpp
 scripting/models/model.hpp
 scripting/models/modelcg.hpp
@@ -716,7 +720,6 @@ utilities/currencyhedgedequityindexdecomposition.hpp
 utilities/currencyparser.hpp
 utilities/dategrid.hpp
 utilities/fileio.hpp
-utilities/filteredbufferedlogger.hpp
 utilities/flowanalysis.hpp
 utilities/indexnametranslator.hpp
 utilities/indexparser.hpp

OREData/ored/ored.hpp

@@ -334,13 +334,16 @@
 #include <ored/scripting/engines/scriptedinstrumentpricingenginecg.hpp>
 #include <ored/scripting/grammar.hpp>
 #include <ored/scripting/models/amcmodel.hpp>
+#include <ored/scripting/models/amcmodelcg.hpp>
 #include <ored/scripting/models/blackscholes.hpp>
 #include <ored/scripting/models/blackscholesbase.hpp>
 #include <ored/scripting/models/blackscholescg.hpp>
 #include <ored/scripting/models/blackscholescgbase.hpp>
 #include <ored/scripting/models/dummymodel.hpp>
 #include <ored/scripting/models/fdblackscholesbase.hpp>
 #include <ored/scripting/models/gaussiancam.hpp>
+#include <ored/scripting/models/gaussiancamcg.hpp>
+#include <ored/scripting/models/lgmcg.hpp>
 #include <ored/scripting/models/localvol.hpp>
 #include <ored/scripting/models/model.hpp>
 #include <ored/scripting/models/modelcg.hpp>
@@ -366,7 +369,6 @@
 #include <ored/utilities/currencyparser.hpp>
 #include <ored/utilities/dategrid.hpp>
 #include <ored/utilities/fileio.hpp>
-#include <ored/utilities/filteredbufferedlogger.hpp>
 #include <ored/utilities/flowanalysis.hpp>
 #include <ored/utilities/indexnametranslator.hpp>
 #include <ored/utilities/indexparser.hpp>

OREData/ored/portfolio/builders/scriptedtrade.cpp

@@ -21,6 +21,7 @@
 #include <ored/scripting/models/blackscholescg.hpp>
 #include <ored/scripting/models/fdblackscholesbase.hpp>
 #include <ored/scripting/models/gaussiancam.hpp>
+#include <ored/scripting/models/gaussiancamcg.hpp>
 #include <ored/scripting/models/localvol.hpp>
 #include <ored/scripting/engines/scriptedinstrumentpricingengine.hpp>
 #include <ored/scripting/engines/scriptedinstrumentpricingenginecg.hpp>
@@ -1278,7 +1279,7 @@ void ScriptedTradeEngineBuilder::buildGaussianCam(const std::string& id, const I
     std::vector<boost::shared_ptr<EqBsData>> eqConfigs;
     std::vector<boost::shared_ptr<CommoditySchwartzData>> comConfigs;
     // TODO: populate comConfigs
-    
+
     // calibration expiries and terms for IR, INF, FX, EQ parametrisations (this will only work for a fixed reference
     // date, due to the way the cam builder and nested builders work, see ticket #940)
     Date referenceDate = modelCurves_.front()->referenceDate();
@@ -1473,19 +1474,30 @@ void ScriptedTradeEngineBuilder::buildGaussianCam(const std::string& id, const I
 
     std::string configurationInCcy = configuration(MarketContext::irCalibration);
     std::string configurationXois = configuration(MarketContext::pricing);
+    auto discretization = useCg_ ? CrossAssetModel::Discretization::Euler : CrossAssetModel::Discretization::Exact;
     auto camBuilder = boost::make_shared<CrossAssetModelBuilder>(
         market_,
         boost::make_shared<CrossAssetModelData>(irConfigs, fxConfigs, eqConfigs, infConfigs, crLgmConfigs, crCirConfigs,
-                                                comConfigs, 0, camCorrelations, bootstrapTolerance_),
+                                                comConfigs, 0, camCorrelations, bootstrapTolerance_, "LGM",
+                                                discretization),
         configurationInCcy, configurationXois, configurationXois, configurationInCcy, configurationInCcy,
         configurationXois, !calibrate_ || zeroVolatility_, continueOnCalibrationError_, referenceCalibrationGrid_,
         SalvagingAlgorithm::Spectral, id);
 
-    // TODO hardcode timeStepsPerYear to 0 and exact discretisation (we might want Euler for AD...)
-    model_ = boost::make_shared<GaussianCam>(camBuilder->model(), modelSize_, modelCcys_, modelCurves_, modelFxSpots_,
-                                             modelIrIndices_, modelInfIndices_, modelIndices_, modelIndicesCurrencies_,
-                                             simulationDates_, mcParams_, 0, iborFallbackConfig, std::vector<Size>(),
-                                             conditionalExpectationModelStates);
+    // effective time steps per year: zero for exact evolution, otherwise the pricing engine parameter
+    if (useCg_) {
+        modelCG_ = boost::make_shared<GaussianCamCG>(
+            camBuilder->model(), modelSize_, modelCcys_, modelCurves_, modelFxSpots_, modelIrIndices_, modelInfIndices_,
+            modelIndices_, modelIndicesCurrencies_, simulationDates_,
+            camBuilder->model()->discretization() == CrossAssetModel::Discretization::Exact ? 0 : timeStepsPerYear_,
+            iborFallbackConfig, std::vector<Size>(), conditionalExpectationModelStates);
+    } else {
+        model_ = boost::make_shared<GaussianCam>(
+            camBuilder->model(), modelSize_, modelCcys_, modelCurves_, modelFxSpots_, modelIrIndices_, modelInfIndices_,
+            modelIndices_, modelIndicesCurrencies_, simulationDates_, mcParams_,
+            camBuilder->model()->discretization() == CrossAssetModel::Discretization::Exact ? 0 : timeStepsPerYear_,
+            iborFallbackConfig, std::vector<Size>(), conditionalExpectationModelStates);
+    }
 
     modelBuilders_.insert(std::make_pair(id, camBuilder));
 }
@@ -1526,11 +1538,20 @@ void ScriptedTradeEngineBuilder::buildGaussianCamAMC(
     Handle<CrossAssetModel> projectedModel(
         getProjectedCrossAssetModel(amcCam_, selectedComponents, projectedStateProcessIndices));
 
-    // TODO hardcode timeStepsPerYear to 1 and exact discretisation (we might want Euler for AD...)
-    model_ = boost::make_shared<GaussianCam>(projectedModel, modelSize_, modelCcys_, modelCurves_, modelFxSpots_,
-                                             modelIrIndices_, modelInfIndices_, modelIndices_, modelIndicesCurrencies_,
-                                             simulationDates_, mcParams_, 1, iborFallbackConfig,
-                                             projectedStateProcessIndices, conditionalExpectationModelStates);
+    // effective time steps per year: zero for exact evolution, otherwise the pricing engine parameter
+    if (useCg_) {
+        modelCG_ = boost::make_shared<GaussianCamCG>(
+            projectedModel, modelSize_, modelCcys_, modelCurves_, modelFxSpots_, modelIrIndices_, modelInfIndices_,
+            modelIndices_, modelIndicesCurrencies_, simulationDates_,
+            projectedModel->discretization() == CrossAssetModel::Discretization::Exact ? 0 : timeStepsPerYear_,
+            iborFallbackConfig, projectedStateProcessIndices, conditionalExpectationModelStates);
+    } else {
+        model_ = boost::make_shared<GaussianCam>(
+            projectedModel, modelSize_, modelCcys_, modelCurves_, modelFxSpots_, modelIrIndices_, modelInfIndices_,
+            modelIndices_, modelIndicesCurrencies_, simulationDates_, mcParams_,
+            projectedModel->discretization() == CrossAssetModel::Discretization::Exact ? 0 : timeStepsPerYear_,
+            iborFallbackConfig, projectedStateProcessIndices, conditionalExpectationModelStates);
+    }
 
     DLOG("built GuassianCam model as projection of xva evolution model");
     for (auto const& p : projectedStateProcessIndices)