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Merge branch 'master' into 'master'
update from master Closes QPR-12027 See merge request qs/ore-github!15
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‎Docker/Dockerfile-Test‎

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@@ -5,7 +5,7 @@ RUN apt-get update \
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&& DEBIAN_FRONTEND=noninteractive apt-get install -y dos2unix python3 python3-pip libxml2-utils xsltproc \
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&& apt-get clean \
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&& rm -rf /var/lib/apt/lists/* \
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&& pip3 install matplotlib pandas nose nose_xunitmp datacompy
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&& pip3 install matplotlib pandas nose nose_xunitmp datacompy jsondiff
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CMD bash
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‎Docs/UserGuide/tradecomponents/underlying.tex‎

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<FutureMonthOffset>0</FutureMonthOffset>
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<DeliveryRollDays>0</DeliveryRollDays>
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<DeliveryRollCalendar>TARGET</DeliveryRollCalendar>
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<FutureContractMonth>Nov2023</FutureContractMonth>
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</Underlying>
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\end{minted}
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\caption{Commodity Underlying}
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Allowable values: See Table \ref{tab:calendar}. Defaults to the null calendar if left blank or omitted, and \lstinline!Type!: is \emph{Commodity}.
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\item \lstinline!FutureContractMonth! [Optional]:
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Only valid when \lstinline!Type! is \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureExpiryDate! node. It specifies the underlying future contract month in the format \emph{MonYYYY}, for example Nov2023.
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\item \lstinline!FutureExpiryDate! [Optional]:
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Only valid when \lstinline!Type! is \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureContractMonth! node. This gives the expiration date of the underlying commodity future contract.
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If the field \lstinline!FutureExpiryDate! and \lstinline!FutureContractMonth! are omitted, the expiration date of the underlying commodity future contract is set to the prompt future, adjusted for any \lstinline!FutureMonthOffset!.
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\item \lstinline!Interpolation! [Optional]:
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Only valid when \lstinline!Type! is \emph{Inflation}. The index observation interpolation between fixings.
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‎Docs/UserGuide/userguide.tex‎

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@@ -6135,10 +6135,15 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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In case of the swaption volatility shifts, the single value given as {\tt Shift} (without the attributes {\tt expiry}
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and {\tt term}) represents a default value that is used whenever no explicit value is given for a expiry / term pair.
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UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
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improve the alignment of the scenario sim market and t0 curves.
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\begin{longlisting}
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%\hrule\medskip
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\begin{minted}[fontsize=\scriptsize]{xml}
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<StressTesting>
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<UseSpreadedTermStructures>false</UseSpreadedTermStructures>
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<StressTest id="parallel_rates">
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<DiscountCurves>
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<DiscountCurve ccy="EUR">

‎Examples/Example_1/ExpectedOutput/log_progress.json‎

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{ "@timestamp": "2023-10-20T23:28:28.996474", "key": "Running XVA Analytic", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:28.999475", "key": "XVA: Build Today's Market", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.261480", "key": "XVA: Build Today's Market", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.925485", "key": "XVA: Build Portfolio", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.932486", "key": "XVA: Build Portfolio", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.952486", "key": "XVA: Building cube", "progress": 0, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.633495", "key": "XVA: Building cube", "progress": 1, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.678496", "key": "XVA: Building cube", "progress": 2, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.710535", "key": "XVA: Building cube", "progress": 3, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.742498", "key": "XVA: Building cube", "progress": 4, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.778497", "key": "XVA: Building cube", "progress": 5, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.808497", "key": "XVA: Building cube", "progress": 6, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.837496", "key": "XVA: Building cube", "progress": 7, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.871498", "key": "XVA: Building cube", "progress": 8, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.901499", "key": "XVA: Building cube", "progress": 9, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.937499", "key": "XVA: Building cube", "progress": 10, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.973500", "key": "XVA: Building cube", "progress": 11, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.008500", "key": "XVA: Building cube", "progress": 12, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.045499", "key": "XVA: Building cube", "progress": 13, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.073501", "key": "XVA: Building cube", "progress": 14, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.113499", "key": "XVA: Building cube", "progress": 15, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.145502", "key": "XVA: Building cube", "progress": 16, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.177501", "key": "XVA: Building cube", "progress": 17, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.205502", "key": "XVA: Building cube", "progress": 18, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.249503", "key": "XVA: Building cube", "progress": 19, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.278507", "key": "XVA: Building cube", "progress": 20, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.315504", "key": "XVA: Building cube", "progress": 21, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.349504", "key": "XVA: Building cube", "progress": 22, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.379504", "key": "XVA: Building cube", "progress": 23, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.408503", "key": "XVA: Building cube", "progress": 24, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.452506", "key": "XVA: Building cube", "progress": 25, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.480507", "key": "XVA: Building cube", "progress": 26, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.509509", "key": "XVA: Building cube", "progress": 27, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.539505", "key": "XVA: Building cube", "progress": 28, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.574506", "key": "XVA: Building cube", "progress": 29, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.617511", "key": "XVA: Building cube", "progress": 30, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.652511", "key": "XVA: Building cube", "progress": 31, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.684508", "key": "XVA: Building cube", "progress": 32, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.726510", "key": "XVA: Building cube", "progress": 33, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.758508", "key": "XVA: Building cube", "progress": 34, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.792510", "key": "XVA: Building cube", "progress": 35, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.822511", "key": "XVA: Building cube", "progress": 36, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.853510", "key": "XVA: Building cube", "progress": 37, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.880512", "key": "XVA: Building cube", "progress": 38, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.910511", "key": "XVA: Building cube", "progress": 39, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.956512", "key": "XVA: Building cube", "progress": 40, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.990512", "key": "XVA: Building cube", "progress": 41, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.035513", "key": "XVA: Building cube", "progress": 42, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.066513", "key": "XVA: Building cube", "progress": 43, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.097553", "key": "XVA: Building cube", "progress": 44, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.127515", "key": "XVA: Building cube", "progress": 45, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.155513", "key": "XVA: Building cube", "progress": 46, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.192514", "key": "XVA: Building cube", "progress": 47, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.240518", "key": "XVA: Building cube", "progress": 48, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.282517", "key": "XVA: Building cube", "progress": 49, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.323518", "key": "XVA: Building cube", "progress": 50, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.350520", "key": "XVA: Aggregation", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.395517", "key": "XVA: Aggregation", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.396518", "key": "XVA: Reports", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.410517", "key": "XVA: Reports", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.411518", "key": "Running XVA Analytic", "progress": 1, "total": 1 }

‎Examples/Example_1/Input/ore.xml‎

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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Logging>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="progressLogFile">my_log_progress_%N.txt</Parameter>
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<Parameter name="progressLogRotationSize">102400</Parameter>
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<Parameter name="progressLogToConsole">N</Parameter>
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<Parameter name="structuredLogFile">my_structured_logs_%N.txt</Parameter>
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<Parameter name="structuredLogRotationSize">102400</Parameter>
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</Logging>
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<Markets>
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<Parameter name="lgmcalibration">libor</Parameter>
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<Parameter name="fxcalibration">libor</Parameter>

‎Examples/Example_10/ExpectedOutput/log_progress.json‎

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{ "@timestamp": "2023-10-20T23:29:25.856733", "key": "Running XVA Analytic", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:25.858733", "key": "XVA: Build Today's Market", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:26.440291", "key": "XVA: Build Today's Market", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:27.045338", "key": "XVA: Load Cubes", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:27.051338", "key": "XVA: Load Cubes", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:27.237343", "key": "XVA: Aggregation", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.258365", "key": "XVA: Aggregation", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.259364", "key": "XVA: Reports", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.306366", "key": "XVA: Reports", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.306366", "key": "Running XVA Analytic", "progress": 1, "total": 1 }

‎Examples/Example_10/Input/ore.xml‎

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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_mpor.xml‎

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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_mta.xml‎

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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_threshold.xml‎

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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">

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