git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "f90154ee2d"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "e777f12010"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

Examples/Example_48/ExpectedOutput/npv.csv

@@ -1,4 +1,4 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-Ascot,Ascot,2026-02-03,7.435616,996814.000699,EUR,1165610.845653,USD,1000000.00,EUR,1169336.35,,CPTY_C
-AssetSwap,Swap,2026-02-03,7.435616,-42567.908166,EUR,-49776.202381,USD,1000000.00,EUR,1169336.35,,CPTY_C
+Ascot,Ascot,2026-02-03,7.435616,34686.961931,EUR,40560.725473,USD,1000000.00,EUR,1169336.35,,CPTY_C
+AssetSwap,Swap,2026-02-03,7.435616,-4674.890778,EUR,-5466.519722,USD,1000000.00,EUR,1169336.35,,CPTY_C
 ConvertibleBond,ConvertibleBond,2026-02-03,7.435616,1039381.908865,EUR,1215387.048035,USD,1.00,EUR,1.17,,CPTY_C

Examples/Example_48/Input/portfolio.xml

@@ -52,7 +52,7 @@
             <Index>EUR-EURIBOR-3M</Index>
             <!-- The recall spread goes here. -->
             <Spreads>
-              <Spread>0.02</Spread>
+              <Spread>0.025</Spread>
             </Spreads>
           </FloatingLegData>
           <ScheduleData>
@@ -143,7 +143,7 @@
             <Index>EUR-EURIBOR-3M</Index>
             <!-- The recall spread goes here. -->
             <Spreads>
-              <Spread>0.02</Spread>
+              <Spread>0.025</Spread>
             </Spreads>
           </FloatingLegData>
           <ScheduleData>

QuantExt/qle/pricingengines/intrinsicascotengine.cpp

@@ -17,11 +17,11 @@
 */
 
 #include <algorithm>
-#include <qle/pricingengines/binomialconvertibleengine.hpp>
-#include <qle/pricingengines/intrinsicascotengine.hpp>
 #include <ql/cashflows/cashflows.hpp>
 #include <ql/cashflows/iborcoupon.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
+#include <qle/pricingengines/binomialconvertibleengine.hpp>
+#include <qle/pricingengines/intrinsicascotengine.hpp>
 
 namespace QuantExt {
 
@@ -38,31 +38,42 @@ void IntrinsicAscotEngine::calculate() const {
     Real bondPrice = arguments_.bondQuantity * bond.NPV();
 
     Date referenceDate = discountCurve_->referenceDate();
+    Date settlementDate = bond.calendar().advance(referenceDate, bond.settlementDays(), QuantLib::Days);
 
-    Leg notional;
-    auto coupon = boost::dynamic_pointer_cast<QuantLib::Coupon>(bond.cashflows()[0]);
-    QL_REQUIRE(coupon, "expected non-coupon legs");
-    double initFlowAmt = coupon->nominal();
-    Date initDate = coupon->accrualStartDate();
-    initDate = bond.calendar().adjust(initDate, Following);
-    if (initFlowAmt != 0)
-        notional.push_back(boost::shared_ptr<CashFlow>(new SimpleCashFlow(initFlowAmt, initDate)));
+    Real currentNotional = Null<Real>();
+    for (auto const& c : bond.cashflows()) {
+        if (auto coupon = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
+            currentNotional = coupon->nominal();
+            if (c->date() > referenceDate)
+                break;
+        }
+    }
 
-    Real upfrontPayment = CashFlows::npv(notional, **discountCurve_, false, referenceDate, referenceDate);
+    QL_REQUIRE(currentNotional != Null<Real>(), "IntrinsicAscotEngine::calculate(): could not determine current "
+                                                "notional, underlying bond must have at least one coupon");
+
+    Leg upfrontLeg;
+    upfrontLeg.push_back(boost::make_shared<SimpleCashFlow>(currentNotional, settlementDate));
+    Real upfrontLegNpv = CashFlows::npv(upfrontLeg, **discountCurve_, false, referenceDate, referenceDate);
 
     // includes redemption flows
-    Real assetLeg = CashFlows::npv(bond.cashflows(), **discountCurve_, false, referenceDate, referenceDate);
+    Real assetLegNpv = CashFlows::npv(bond.cashflows(), **discountCurve_, false, referenceDate, referenceDate);
 
-    Real redemptionLeg = CashFlows::npv(bond.redemptions(), **discountCurve_, false, referenceDate, referenceDate);
+    Real redemptionLegNpv = CashFlows::npv(bond.redemptions(), **discountCurve_, false, referenceDate, referenceDate);
 
     // multiplied by bondNotional already
-    Real fundingLeg = CashFlows::npv(arguments_.fundingLeg, **discountCurve_, true, referenceDate, referenceDate);
-
-    Real X = arguments_.bondQuantity * (upfrontPayment + assetLeg - redemptionLeg) - fundingLeg;
-
-    boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(arguments_.callPut, X));
-
-    results_.value = (*payoff)(bondPrice);
+    Real fundingLegNpv = CashFlows::npv(arguments_.fundingLeg, **discountCurve_, true, referenceDate, referenceDate);
+
+    Real strike = arguments_.bondQuantity * (upfrontLegNpv + assetLegNpv - redemptionLegNpv) - fundingLegNpv;
+
+    results_.value = PlainVanillaPayoff(arguments_.callPut, strike)(bondPrice);
+    results_.additionalResults["bondPrice"] = bondPrice;
+    results_.additionalResults["strike"] = strike;
+    results_.additionalResults["fundingLegNpv"] = fundingLegNpv;
+    results_.additionalResults["redemptionLegNpv"] = redemptionLegNpv * arguments_.bondQuantity;
+    results_.additionalResults["assetLegNpv"] = assetLegNpv * arguments_.bondQuantity;
+    results_.additionalResults["upfrontLegNpv"] = upfrontLegNpv * arguments_.bondQuantity;
+    results_.additionalResults["bondQuantity"] = arguments_.bondQuantity;
 }
 
 } // namespace QuantExt