Merge branch '1.0.69' into tmp

Author: pcaspers

Docker/.env

@@ -1,5 +1,5 @@
 TAG=latest
-DEBIAN_TAG=12.0
+DEBIAN_TAG=11.7
 QL_TAG=1.30_9921a4d7
 BOOST_TAG=1.78.0
 BOOST_DIR=1_78_0

Docker/Dockerfile-Test

@@ -5,7 +5,7 @@ RUN apt-get update \
   && DEBIAN_FRONTEND=noninteractive apt-get install -y dos2unix python3 python3-pip libxml2-utils xsltproc \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/* \
-  && pip3 install --break-system-packages matplotlib pandas nose nose_xunitmp datacompy
+  && pip3 install matplotlib pandas nose nose_xunitmp datacompy
 
 CMD bash
 

Examples/run_examples_testsuite.py

@@ -6,7 +6,7 @@
 from pathlib import Path
 import nose
 import collections
-collections.Callable = collections.abc.Callable
+#collections.Callable = collections.abc.Callable
 
 # Pull in some shared utilities
 script_dir = Path(__file__).parents[0]

OREAnalytics/orea/app/analytic.cpp

@@ -58,8 +58,8 @@ Analytic::Analytic(std::unique_ptr<Impl> impl,
     : impl_(std::move(impl)), types_(analyticTypes), inputs_(inputs) {
 
     // set these here, can be overwritten in setUpConfigurations
-    if (inputs->curveConfigs().size() > 0)
-        configurations().curveConfig = inputs->curveConfigs()[0];
+    if (inputs->curveConfigs().has())
+        configurations().curveConfig = inputs->curveConfigs().get();
     if (inputs->pricingEngine())
         configurations().engineData = inputs->pricingEngine();
 

OREAnalytics/orea/app/analytics/xvaanalytic.cpp

@@ -119,7 +119,7 @@ void XvaAnalyticImpl::buildScenarioSimMarket() {
             analytic()->configurations().simMarketParams,
             boost::make_shared<FixingManager>(inputs_->asof()),
             configuration,
-            *inputs_->curveConfigs()[0],
+            *inputs_->curveConfigs().get(),
             *analytic()->configurations().todaysMarketParams,
             inputs_->continueOnError(), 
             false, true, false,
@@ -347,7 +347,7 @@ void XvaAnalyticImpl::buildClassicCube(const boost::shared_ptr<Portfolio>& portf
 
         MultiThreadedValuationEngine engine(
             inputs_->nThreads(), inputs_->asof(), grid_, samples_,  analytic()->loader(), scenarioGenerator_,
-            inputs_->simulationPricingEngine(), inputs_->curveConfigs()[0], analytic()->configurations().todaysMarketParams,
+            inputs_->simulationPricingEngine(), inputs_->curveConfigs().get(), analytic()->configurations().todaysMarketParams,
             inputs_->marketConfig("simulation"), analytic()->configurations().simMarketParams, false, false,
             boost::make_shared<ScenarioFilter>(), inputs_->refDataManager(),
             *inputs_->iborFallbackConfig(), true, false, cubeFactory, {}, cptyCubeFactory, "xva-simulation");
@@ -471,7 +471,7 @@ void XvaAnalyticImpl::amcRun(bool doClassicRun) {
             inputs_->nThreads(), inputs_->asof(), samples_,  analytic()->loader(), inputs_->scenarioGeneratorData(),
             inputs_->exposureSimMarketParams()->additionalScenarioDataIndices(),
             inputs_->exposureSimMarketParams()->additionalScenarioDataCcys(), inputs_->crossAssetModelData(),
-            inputs_->amcPricingEngine(), inputs_->curveConfigs()[0], analytic()->configurations().todaysMarketParams,
+            inputs_->amcPricingEngine(), inputs_->curveConfigs().get(), analytic()->configurations().todaysMarketParams,
             inputs_->marketConfig("lgmcalibration"), inputs_->marketConfig("fxcalibration"),
             inputs_->marketConfig("eqcalibration"), inputs_->marketConfig("infcalibration"),
             inputs_->marketConfig("crcalibration"), inputs_->marketConfig("simulation"), inputs_->refDataManager(),

OREAnalytics/orea/app/inputparameters.cpp

@@ -80,13 +80,13 @@ void InputParameters::setConventionsFromFile(const std::string& fileName) {
 void InputParameters::setCurveConfigs(const std::string& xml) {
     auto curveConfig = boost::make_shared<CurveConfigurations>();
     curveConfig->fromXMLString(xml);
-    curveConfigs_.push_back(curveConfig);
+    curveConfigs_.add(curveConfig);
 }
 
 void InputParameters::setCurveConfigsFromFile(const std::string& fileName) {
     auto curveConfig = boost::make_shared<CurveConfigurations>();
     curveConfig->fromFile(fileName);
-    curveConfigs_.push_back(curveConfig);
+    curveConfigs_.add(curveConfig);
 }
 
 void InputParameters::setIborFallbackConfig(const std::string& xml) {

OREAnalytics/orea/app/inputparameters.hpp

@@ -300,7 +300,7 @@ class InputParameters {
     const boost::shared_ptr<ore::data::BasicReferenceDataManager>& refDataManager() { return refDataManager_; }
     const boost::shared_ptr<ore::data::Conventions>& conventions() { return conventions_; }
     const boost::shared_ptr<ore::data::IborFallbackConfig>& iborFallbackConfig() const { return iborFallbackConfig_; }
-    const std::vector<boost::shared_ptr<ore::data::CurveConfigurations>>& curveConfigs() { return curveConfigs_; }
+    CurveConfigurationsManager& curveConfigs() { return curveConfigs_; }
     const boost::shared_ptr<ore::data::EngineData>& pricingEngine() { return pricingEngine_; }
     const boost::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams() { return todaysMarketParams_; }
     const boost::shared_ptr<ore::data::Portfolio>& portfolio() { return portfolio_; }
@@ -536,7 +536,7 @@ class InputParameters {
     boost::shared_ptr<ore::data::BasicReferenceDataManager> refDataManager_;
     boost::shared_ptr<ore::data::Conventions> conventions_;
     boost::shared_ptr<ore::data::IborFallbackConfig> iborFallbackConfig_;
-    std::vector<boost::shared_ptr<ore::data::CurveConfigurations>> curveConfigs_;
+    CurveConfigurationsManager curveConfigs_;
     boost::shared_ptr<ore::data::EngineData> pricingEngine_;
     boost::shared_ptr<ore::data::TodaysMarketParameters> todaysMarketParams_;
     boost::shared_ptr<ore::data::Portfolio> portfolio_;

OREAnalytics/orea/app/marketdataloader.cpp

@@ -185,7 +185,7 @@ void MarketDataLoader::populateFixings(
                 addMarketFixingDates(d, fixings_, *tmp);
             LOG("Add fixing possibly required for equity index delta risk decomposition")
             additional_equity_fixings(fixings_, *tmp, inputs_->refDataManager(),
-                                  inputs_->curveConfigs().front());
+                                  inputs_->curveConfigs().get());
         }
 
         if (inputs_->eomInflationFixings()) {
@@ -273,7 +273,7 @@ void MarketDataLoader::populateLoader(
         for (auto c : tmp->configurations())
             configurations.insert(c.first);
 
-        for (const auto& curveConfig : inputs_->curveConfigs()) {
+        for (const auto& [_,curveConfig] : inputs_->curveConfigs().curveConfigurations()) {
             auto qs = curveConfig->quotes(tmp, configurations);
             quotes.insert(qs.begin(), qs.end());
         }

OREData/ored/configuration/curveconfigurations.cpp

@@ -589,5 +589,29 @@ XMLNode* CurveConfigurations::toXML(XMLDocument& doc) {
 
     return parent;
 }
+
+void CurveConfigurationsManager::add(const QuantLib::ext::shared_ptr<CurveConfigurations>& config, std::string id) {
+    configs_[id] = config;
+}
+
+const QuantLib::ext::shared_ptr<CurveConfigurations>& CurveConfigurationsManager::get(std::string id) const { 
+    auto it = configs_.find(id);
+    QL_REQUIRE(it != configs_.end(), "CurveConfigurationsManager: could not find CurveConfiguration for id " << id);
+    return it->second;
+}
+
+
+const bool CurveConfigurationsManager::has(std::string id) const { 
+    auto it = configs_.find(id); 
+    return it != configs_.end();
+}
+
+const std::map<std::string, QuantLib::ext::shared_ptr<CurveConfigurations>>& CurveConfigurationsManager::curveConfigurations() const {
+    return configs_;
+}
+
+const bool CurveConfigurationsManager::empty() const { 
+    return configs_.size() == 0; 
+}
 } // namespace data
 } // namespace ore

OREData/ored/configuration/curveconfigurations.hpp

@@ -177,5 +177,20 @@ class CurveConfigurations : public XMLSerializable {
     void addNodes(XMLDocument& doc, XMLNode* parent, const char* nodeName);
 };
 
+class CurveConfigurationsManager {
+public:
+    CurveConfigurationsManager() {}
+
+    // add a curve config, if no id provided it gets added as a default
+    void add(const QuantLib::ext::shared_ptr<CurveConfigurations>& config, std::string id = std::string());
+    const QuantLib::ext::shared_ptr<CurveConfigurations>& get(std::string id = std::string()) const;
+    const bool has(std::string id = std::string()) const;
+    const std::map<std::string, QuantLib::ext::shared_ptr<CurveConfigurations>>& curveConfigurations() const;
+    const bool empty() const;
+
+private:
+    std::map<std::string, QuantLib::ext::shared_ptr<CurveConfigurations>> configs_;
+};
+
 } // namespace data
 } // namespace ore