QPR-12376 bugfix

Author: mgroncki

Examples/Example_67/Input/simulation.xml

@@ -200,7 +200,42 @@
         <!-- Alternative: LinearZero -->
         <Extrapolation>Y</Extrapolation>
       </Configuration>
-    
+      <Configuration curve='EUR'>
+        <Tenors>3D, 11D, 18D, 25D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 248D, 278D, 308D, 339D, 370D, 459D, 551D, 643D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4022D, 4387D, 5484D, 7311D, 9138D, 10962D</Tenors>
+        <Interpolation>LogLinear</Interpolation>
+        <!-- Alternative: LinearZero -->
+        <Extrapolation>Y</Extrapolation>
+      </Configuration>
+      <Configuration curve='EUR-EONIA'>
+        <Tenors>3D, 11D, 18D, 25D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 248D, 278D, 308D, 339D, 370D, 459D, 551D, 643D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4022D, 4387D, 5484D, 7311D, 9138D, 10962D</Tenors>
+        <Interpolation>LogLinear</Interpolation>
+        <!-- Alternative: LinearZero -->
+        <Extrapolation>Y</Extrapolation>
+      </Configuration>
+      <Configuration curve='EUR-EURIBOR-6M'>
+        <Tenors>186D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 3657D, 4387D, 5484D, 7311D, 9138D, 25574D, 18267D</Tenors>
+        <Interpolation>LogLinear</Interpolation>
+        <!-- Alternative: LinearZero -->
+        <Extrapolation>Y</Extrapolation>
+      </Configuration>
+      <Configuration curve='EUR-EURIBOR-3M'>
+        <Tenors>5D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 249D, 278D, 370D, 459D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4387D, 5484D, 7311D, 9138D, 14614D, 18267D</Tenors>
+        <Interpolation>LogLinear</Interpolation>
+        <!-- Alternative: LinearZero -->
+        <Extrapolation>Y</Extrapolation>
+      </Configuration>
+      <Configuration curve='USD'>
+        <Tenors>90D, 182D, 276D, 367D, 735D, 1102D, 1466D, 1831D, 2561D, 3657D, 7311D, 10962D, 14614D, 18267D</Tenors>
+        <Interpolation>LogLinear</Interpolation>
+        <!-- Alternative: LinearZero -->
+        <Extrapolation>Y</Extrapolation>
+      </Configuration>
+      <Configuration curve='USD-FedFunds'>
+        <Tenors>90D, 182D, 276D, 367D, 735D, 1102D, 1466D, 1831D, 2561D, 3657D, 7311D, 10962D, 14614D, 18267D</Tenors>
+        <Interpolation>LogLinear</Interpolation>
+        <!-- Alternative: LinearZero -->
+        <Extrapolation>Y</Extrapolation>
+      </Configuration>
     </YieldCurves>
     <Indices>
       <Index>EUR-EURIBOR-6M</Index>

OREAnalytics/orea/scenario/scenariosimmarket.cpp

@@ -2849,6 +2849,7 @@ ScenarioSimMarket::ScenarioSimMarket(
 
     if (offsetScenario_ != nullptr && offsetScenario_->isAbsolute() && !useSpreadedTermStructures_) {
         auto recastedScenario = recastScenario(offsetScenario_, offsetScenario_->coordinates(), coordinatesData_);
+        QL_REQUIRE(recastedScenario != nullptr, "ScenarioSimMarke: Offset Scenario couldn't applied");
         for (auto& [key, quote] : simData_) {
             if (recastedScenario->has(key)) {
                 quote->setValue(recastedScenario->get(key));
@@ -2860,6 +2861,7 @@ ScenarioSimMarket::ScenarioSimMarket(
         }
     } else if (offsetScenario_ != nullptr && offsetScenario_->isAbsolute() && useSpreadedTermStructures_) {
         auto recastedScenario = recastScenario(offsetScenario_, offsetScenario_->coordinates(), coordinatesData_);
+        QL_REQUIRE(recastedScenario != nullptr, "ScenarioSimMarke: Offset Scenario couldn't applied");
         for (auto& [key, data] : simData_) {
             if (recastedScenario->has(key)) {
                 auto shift = getDifferenceScenario(key.keytype, absoluteSimData_[key], recastedScenario->get(key));
@@ -2873,6 +2875,7 @@ ScenarioSimMarket::ScenarioSimMarket(
         }
     } else if (offsetScenario_ != nullptr && !offsetScenario_->isAbsolute() && !useSpreadedTermStructures_) {
         auto recastedScenario = recastScenario(offsetScenario_, offsetScenario_->coordinates(), coordinatesData_);
+        QL_REQUIRE(recastedScenario != nullptr, "ScenarioSimMarke: Offset Scenario couldn't applied");
         for (auto& [key, quote] : simData_) {
             if (recastedScenario->has(key)) {
                 quote->setValue(addDifferenceToScenario(key.keytype, quote->value(), recastedScenario->get(key)));
@@ -2884,6 +2887,7 @@ ScenarioSimMarket::ScenarioSimMarket(
         }
     } else if (offsetScenario_ != nullptr && !offsetScenario_->isAbsolute() && useSpreadedTermStructures_) {
         auto recastedScenario = recastScenario(offsetScenario_, offsetScenario_->coordinates(), coordinatesData_);
+        QL_REQUIRE(recastedScenario != nullptr, "ScenarioSimMarke: Offset Scenario couldn't applied");
         for (auto& [key, quote] : simData_) {
             if (recastedScenario->has(key)) {
                 quote->setValue(recastedScenario->get(key));

OREAnalytics/orea/scenario/scenarioutilities.cpp

@@ -274,7 +274,8 @@ QuantLib::ext::shared_ptr<Scenario> recastScenario(
             int workingIndex;
             do {
                 workingIndex = indices.size() - 1;
-                while (workingIndex >= 0 && indices[workingIndex] == c1->second[workingIndex].size()) {
+                indices[workingIndex]++;
+                while (workingIndex >= 0 && indices[workingIndex] == c1->second[workingIndex].size()+1) {
                     --workingIndex;
                     if (workingIndex >= 0)
                         indices[workingIndex] = 0;
@@ -283,7 +284,7 @@ QuantLib::ext::shared_ptr<Scenario> recastScenario(
                     RiskFactorKey key(k.first, k.second, newKeyIndex++);
                     result->add(key, interpolatedValue(c0->second, c1->second, indices, k, scenario));
                 }
-                indices[workingIndex]++;
+                
             } while (workingIndex >= 0);
         }
     }