git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "f1a7840a74"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "0d756965f5"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

OREData/ored/configuration/equitycurveconfig.cpp

@@ -143,16 +143,5 @@ EquityCurveConfig::Type parseEquityCurveConfigType(const std::string& str) {
     QL_FAIL("Invalid EquityCurveConfig::Type " << str);
 }
 
-std::ostream& operator<<(std::ostream& out, Exercise::Type t) {
-    switch (t) {
-    case Exercise::American:
-        return out << "American";
-    case Exercise::European:
-        return out << "European";
-    default:
-        QL_FAIL("invalid Exercise::Type(" << int(t) << ")");
-    }
-}
-
 } // namespace data
 } // namespace ore

OREData/ored/configuration/equitycurveconfig.hpp

@@ -118,7 +118,6 @@ class EquityCurveConfig : public CurveConfig {
 };
 
 std::ostream& operator<<(std::ostream& out, EquityCurveConfig::Type t);
-std::ostream& operator<<(std::ostream& out, QuantLib::Exercise::Type t);
 
 EquityCurveConfig::Type parseEquityCurveConfigType(const std::string& str);
 

OREData/ored/configuration/volatilityconfig.cpp

@@ -46,7 +46,7 @@ void VolatilityConfig::fromXMLNode(XMLNode* node) {
 }
 
 void VolatilityConfig::toXMLNode(XMLDocument& doc, XMLNode* node) const {
-    XMLUtils::addAttribute(doc, node, "priority", to_string(priority_));
+    XMLUtils::addAttribute(doc, node, "priority", std::to_string(priority_));
     if (!calendarStr_.empty())
         XMLUtils::addChild(doc, node, "Calendar", calendarStr_);
 }
@@ -126,7 +126,7 @@ void QuoteBasedVolatilityConfig::toBaseNode(XMLDocument& doc, XMLNode* node) con
     // Check first for premium
     if (quoteType_ == MarketDatum::QuoteType::PRICE) {
         XMLUtils::addChild(doc, node, "QuoteType", "Premium");
-        XMLUtils::addChild(doc, node, "ExerciseType", to_string(exerciseType_));
+        XMLUtils::addChild(doc, node, "ExerciseType", ore::data::to_string(exerciseType_));
         return;
     }
 

OREData/ored/utilities/parsers.cpp

@@ -1492,5 +1492,20 @@ std::ostream& operator<<(std::ostream& out, SabrParametricVolatility::ModelVaria
     return out;
 }
 
+std::ostream& operator<<(std::ostream& os, Exercise::Type type) {
+    if (type == Exercise::European) {
+        os << "European";
+    } else if (type == Exercise::Bermudan) {
+        os << "Bermudan";
+    } else if (type == Exercise::American) {
+        os << "American";
+    } else {
+        QL_FAIL("Exercise::Type (" << static_cast<int>(type)
+                                   << " not recognized. Expected 'European', 'Bermudan', or 'American'.");
+    }
+
+    return os;
+}
+
 } // namespace data
 } // namespace ore

OREData/ored/utilities/parsers.hpp

@@ -611,5 +611,11 @@ QuantExt::SabrParametricVolatility::ModelVariant parseSabrParametricVolatilityMo
 */
 std::ostream& operator<<(std::ostream& out, QuantExt::SabrParametricVolatility::ModelVariant m);
 
+//! Write QuantLib::Exercise::Type
+/*!
+\ingroup utilities
+*/
+std::ostream& operator<<(std::ostream& os, QuantLib::Exercise::Type type);
+
 } // namespace data
 } // namespace ore

OREData/ored/utilities/to_string.cpp

@@ -42,7 +42,7 @@ using namespace QuantLib;
 
 std::string to_string(const Date& date) {
     if (date == Date())
-        return "1900-01-01";
+        return "1901-01-01";
 
     char buf[11];
     int y = date.year();

QuantExt/qle/math/basiccpuenvironment.cpp

@@ -236,8 +236,8 @@ std::vector<std::vector<std::size_t>> BasicCpuContext::createInputVariates(const
         rng_ = std::make_unique<MersenneTwisterUniformRng>(settings_.rngSeed);
     }
 
-    if (variates_.size() < dim * steps) {
-        for (std::size_t i = variates_.size(); i < dim * steps; ++i) {
+    if (variates_.size() < numberOfVariates_[currentId_ - 1] + dim * steps) {
+        for (std::size_t i = variates_.size(); i < numberOfVariates_[currentId_ - 1] + dim * steps; ++i) {
             variates_.push_back(RandomVariable(size_[currentId_ - 1]));
             for (std::size_t j = 0; j < variates_.back().size(); ++j)
                 variates_.back().set(j, icn_(rng_->nextReal()));
@@ -247,11 +247,11 @@ std::vector<std::vector<std::size_t>> BasicCpuContext::createInputVariates(const
     std::vector<std::vector<std::size_t>> resultIds(dim, std::vector<std::size_t>(steps));
     for (std::size_t i = 0; i < dim; ++i) {
         for (std::size_t j = 0; j < steps; ++j) {
-            resultIds[i][j] = numberOfInputVars_[currentId_ - 1] + i * steps + j;
+            resultIds[i][j] = numberOfInputVars_[currentId_ - 1] + numberOfVariates_[currentId_ - 1] + i * steps + j;
         }
     }
 
-    numberOfVariates_[currentId_ - 1] = dim * steps;
+    numberOfVariates_[currentId_ - 1] += dim * steps;
 
     return resultIds;
 }
@@ -368,8 +368,9 @@ void BasicCpuContext::finalizeCalculation(std::vector<double*>& output) {
         RandomVariable* v;
         if (id < numberOfInputVars_[currentId_ - 1])
             v = &values_[id];
-        else if (id < numberOfInputVars_[currentId_ - 1] + numberOfVariates_[currentId_ - 1])
+        else if (id < numberOfInputVars_[currentId_ - 1] + numberOfVariates_[currentId_ - 1]) {
             v = &variates_[id - numberOfInputVars_[currentId_ - 1]];
+        }
         else
             v = &values_[id - numberOfVariates_[currentId_ - 1]];
         for (Size j = 0; j < size_[currentId_ - 1]; ++j) {