Merge remote-tracking branch 'nicoB77/pr_setup' into gh_206_210

Author: pcaspers

Examples/Example_44/ExpectedOutput/SIMM2.6_10D/simm.csv

@@ -1,4 +1,4 @@
-#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
+Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
 CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,811888.16,USD,USD
 CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,811888.16,USD,USD
 CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,210187.75,USD,USD

Examples/Example_44/Input/ore_SIMM2.6_10D.xml

@@ -15,6 +15,7 @@
     <Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
     <Parameter name="portfolioFile"></Parameter>
     <Parameter name="observationModel">None</Parameter>
+    <Parameter name="csvCommentReportHeader">N</Parameter>
   </Setup>
   <Markets>
     <Parameter name="lgmcalibration">default</Parameter>
@@ -30,6 +31,7 @@
       <Parameter name="crif">crif.csv</Parameter>
       <Parameter name="calculationCurrency">USD</Parameter>
       <Parameter name="enforceIMRegulations">Y</Parameter>
+      <Parameter name="writeIntermediateReports">N</Parameter>
       <Parameter name="mporDays">10</Parameter>
     </Analytic>
   </Analytics>

OREAnalytics/orea/app/analytics/simmanalytic.hpp

@@ -47,7 +47,9 @@ class SimmAnalytic : public Analytic {
         : Analytic(std::make_unique<SimmAnalyticImpl>(inputs), {"SIMM"}, inputs, false, false, false, false),
           crif_(crif),
           hasNettingSetDetails_(hasNettingSetDetails),
-          determineWinningRegulations_(determineWinningRegulations) {}
+          determineWinningRegulations_(determineWinningRegulations) {
+        setWriteIntermediateReports(inputs->writeSimmIntermediateReports());
+    }
 
     const Crif& crif() const { return crif_; }
     bool hasNettingSetDetails() { return hasNettingSetDetails_; }

OREAnalytics/orea/app/inputparameters.hpp

@@ -307,6 +307,7 @@ class InputParameters {
     void setSimmResultCurrency(const std::string& s) { simmResultCurrency_ = s; }
     void setSimmReportingCurrency(const std::string& s) { simmReportingCurrency_ = s; }
     void setEnforceIMRegulations(bool b) { enforceIMRegulations_= b; }
+    void setWriteSimmIntermediateReports(bool b) { writeSimmIntermediateReports_ = b; }
 
     // Setters for ZeroToParSensiConversion
     void setParConversionXbsParConversion(bool b) { parConversionXbsParConversion_ = b; }
@@ -567,6 +568,7 @@ class InputParameters {
     const std::string& simmReportingCurrency() { return simmReportingCurrency_; }
     bool enforceIMRegulations() { return enforceIMRegulations_; }
     boost::shared_ptr<SimmConfiguration> getSimmConfiguration();
+    bool writeSimmIntermediateReports() { return writeSimmIntermediateReports_; }
 
     /**************************************************
      * Getters for Zero to Par Sensi conversion
@@ -820,6 +822,7 @@ class InputParameters {
     std::string simmReportingCurrency_ = "";
     bool enforceIMRegulations_ = false;
     bool useSimmParameters_ = true;
+    bool writeSimmIntermediateReports_ = true;
 
     /***************
      * Zero to Par Conversion analytic

OREAnalytics/orea/app/oreapp.cpp

@@ -647,6 +647,15 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
             LOG("MarketContext::" << m.first << " = " << m.second);
     }
 
+    if (params_->has("setup", "csvCommentReportHeader"))
+        inputs->setCsvCommentCharacter(parseBool(params_->get("setup", "csvCommentReportHeader")));
+
+    if (params_->has("setup", "csvSeparator")) {
+        tmp = params_->get("setup", "csvSeparator");
+        QL_REQUIRE(tmp.size() == 1, "csvSeparator must be exactly one character");
+        inputs->setCsvSeparator(tmp[0]);
+    }
+
     /*************
      * NPV
      *************/
@@ -917,6 +926,10 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
         tmp = params_->get("simm", "enforceIMRegulations", false);
         if (tmp != "")
             inputs->setEnforceIMRegulations(parseBool(tmp));
+
+        tmp = params_->get("simm", "writeIntermediateReports", false);
+        if (tmp != "")
+            inputs->setWriteSimmIntermediateReports(parseBool(tmp));
     }
 
     /************