QPR-12013 -- Handle new SIMM versions

Author: NathanielVolfango

OREAnalytics/orea/simm/simmcalculator.cpp

@@ -20,6 +20,7 @@
 #include <orea/simm/crifloader.hpp>
 #include <orea/simm/simmcalculator.hpp>
 #include <orea/simm/utilities.hpp>
+#include <orea/simm/simmconfigurationbase.hpp>
 
 #include <boost/math/distributions/normal.hpp>
 #include <numeric>
@@ -887,9 +888,9 @@ pair<map<string, Real>, bool> SimmCalculator::irCurvatureMargin(const NettingSet
         }
 
         // Now deal with inflation component
-        SimmVersion version = parseSimmVersion(simmConfiguration_->version());
+        const string simmVersion = simmConfiguration_->version();
         SimmVersion thresholdVersion = SimmVersion::V1_0;
-        if (version > thresholdVersion) {
+        if (simmConfiguration_->isSimmConfigCalibration() || parseSimmVersion(simmVersion) > thresholdVersion) {
             // Weighted sensitivity i.e. $WS_{k,i}$ from SIMM docs
             Real infWs = 0.0;
             for (auto infIt = pInfQualifier.first; infIt != pInfQualifier.second; ++infIt) {
@@ -1206,9 +1207,10 @@ SimmCalculator::curvatureMargin(const NettingSetDetails& nettingSetDetails, cons
             //          example you use sfOuter * (itOuter->amountResultCcy * multiplier) * sigmaOuter;
             Real wsOuter = sfOuter * ((itOuter->amountResultCcy * multiplier) * sigmaOuter);
             // for ISDA SIMM 2.2 or higher, this $CVR_{ik}$ for EQ bucket 12 is zero
-            SimmVersion version = parseSimmVersion(simmConfiguration_->version());
+            const string simmVersion = simmConfiguration_->version();
             SimmVersion thresholdVersion = SimmVersion::V2_2;
-            if (version >= thresholdVersion && bucket == "12" && rt == RiskType::EquityVol) {
+            if ((simmConfiguration_->isSimmConfigCalibration() || parseSimmVersion(simmVersion) >= thresholdVersion) &&
+                bucket == "12" && rt == RiskType::EquityVol) {
                 wsOuter = 0.0;
             }
             // Update weighted sensitivity sum

OREAnalytics/orea/simm/simmconfiguration.hpp

@@ -294,6 +294,8 @@ class SimmConfiguration {
                                        const std::string& secondLabel_1, const std::string& secondLabel_2,
                                        const std::string& calculationCurrency = "") const = 0;
 
+    virtual bool isSimmConfigCalibration() const { return false; }
+
 protected:
     //! Number of risk classes including RiskClass::All
     static const QuantLib::Size numberOfRiskClasses;

OREAnalytics/orea/simm/simmconfigurationbase.cpp

@@ -394,9 +394,8 @@ QuantLib::Real SimmConfigurationBase::correlation(const RiskType& firstRt, const
 
         // Non-residual
         if (bucket_1 == bucket_2) {
-            SimmVersion version = parseSimmVersion(version_);
             SimmVersion thresholdVersion = SimmVersion::V2_2;
-            if (version >= thresholdVersion) {
+            if (isSimmConfigCalibration() || parseSimmVersion(version_) >= thresholdVersion) {
                 // In ISDA SIMM version 2.2 or greater, the CRNQ correlations differ depending on whether or not
                 // the entities have the same group name i.e. CMBX.
                 return firstLabel_2 == secondLabel_2 ? crnqSameIntraCorr_ : crnqDiffIntraCorr_;

OREAnalytics/orea/simm/simmconfigurationcalibration.hpp

@@ -56,6 +56,8 @@ class SimmConfigurationCalibration : public SimmConfigurationBase {
                                const RiskType& secondRt, const std::string& secondQualifier,
                                const std::string& secondLabel_1, const std::string& secondLabel_2,
                                const std::string& calculationCurrency = "") const override;
+    
+    virtual bool isSimmConfigCalibration() const override { return true; }
 
 private:
     //! Find the group of the \p qualifier