QPR-12376 bugfix scenario recast

Author: mgroncki

Examples/Example_67/Input/simulation.xml

@@ -200,42 +200,6 @@
         <!-- Alternative: LinearZero -->
         <Extrapolation>Y</Extrapolation>
       </Configuration>
-      <Configuration curve='EUR'>
-        <Tenors>3D, 11D, 18D, 25D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 248D, 278D, 308D, 339D, 370D, 459D, 551D, 643D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4022D, 4387D, 5484D, 7311D, 9138D, 10962D</Tenors>
-        <Interpolation>LogLinear</Interpolation>
-        <!-- Alternative: LinearZero -->
-        <Extrapolation>Y</Extrapolation>
-      </Configuration>
-      <Configuration curve='EUR-EONIA'>
-        <Tenors>3D, 11D, 18D, 25D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 248D, 278D, 308D, 339D, 370D, 459D, 551D, 643D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4022D, 4387D, 5484D, 7311D, 9138D, 10962D</Tenors>
-        <Interpolation>LogLinear</Interpolation>
-        <!-- Alternative: LinearZero -->
-        <Extrapolation>Y</Extrapolation>
-      </Configuration>
-      <Configuration curve='EUR-EURIBOR-6M'>
-        <Tenors>186D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 3657D, 4387D, 5484D, 7311D, 9138D, 25574D, 18267D</Tenors>
-        <Interpolation>LogLinear</Interpolation>
-        <!-- Alternative: LinearZero -->
-        <Extrapolation>Y</Extrapolation>
-      </Configuration>
-      <Configuration curve='EUR-EURIBOR-3M'>
-        <Tenors>5D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 249D, 278D, 370D, 459D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4387D, 5484D, 7311D, 9138D, 14614D, 18267D</Tenors>
-        <Interpolation>LogLinear</Interpolation>
-        <!-- Alternative: LinearZero -->
-        <Extrapolation>Y</Extrapolation>
-      </Configuration>
-      <Configuration curve='USD'>
-        <Tenors>90D, 182D, 276D, 367D, 735D, 1102D, 1466D, 1831D, 2561D, 3657D, 7311D, 10962D, 14614D, 18267D</Tenors>
-        <Interpolation>LogLinear</Interpolation>
-        <!-- Alternative: LinearZero -->
-        <Extrapolation>Y</Extrapolation>
-      </Configuration>
-      <Configuration curve='USD-FedFunds'>
-        <Tenors>90D, 182D, 276D, 367D, 735D, 1102D, 1466D, 1831D, 2561D, 3657D, 7311D, 10962D, 14614D, 18267D</Tenors>
-        <Interpolation>LogLinear</Interpolation>
-        <!-- Alternative: LinearZero -->
-        <Extrapolation>Y</Extrapolation>
-      </Configuration>
     </YieldCurves>
     <Indices>
       <Index>EUR-EURIBOR-6M</Index>

OREAnalytics/orea/scenario/scenarioutilities.cpp

@@ -237,14 +237,16 @@ QuantLib::ext::shared_ptr<Scenario> recastScenario(
     for (auto const& k : scenario->keys()) {
         if(newCoordinates.count({k.keytype, k.name})==1){
             keys.insert(std::make_pair(k.keytype, k.name));
+            TLOG("Insert keys " << k.keytype << " " << k.name)
         } else{
-            DLOG("Recast skip " << k.keytype << " " << k.name);
+            TLOG("Recast skip " << k.keytype << " " << k.name);
         }
     }
 
 
 
     for (auto const& k : keys) {
+
         auto c0 = oldCoordinates.find(k);
         auto c1 = newCoordinates.find(k);
         QL_REQUIRE(c0 != scenario->coordinates().end(), "recastScenario(): no coordinates for "
@@ -265,26 +267,24 @@ QuantLib::ext::shared_ptr<Scenario> recastScenario(
             result->add(key, scenario->get(key));
 
         } else {
-
             // interpolate new values from old values
-
             Size newKeyIndex = 0;
-
             std::vector<Size> indices(c0->second.size(), 0);
             int workingIndex;
             do {
                 workingIndex = indices.size() - 1;
-                indices[workingIndex]++;
-                while (workingIndex >= 0 && indices[workingIndex] == c1->second[workingIndex].size()+1) {
+                while (workingIndex >= 0 && indices[workingIndex] == c1->second[workingIndex].size()) {
                     --workingIndex;
                     if (workingIndex >= 0)
                         indices[workingIndex] = 0;
                 }
                 if (workingIndex >= 0) {
                     RiskFactorKey key(k.first, k.second, newKeyIndex++);
-                    result->add(key, interpolatedValue(c0->second, c1->second, indices, k, scenario));
+                    auto iValue = interpolatedValue(c0->second, c1->second, indices, k, scenario);
+                    TLOG("Add "<< key <<  " interpolated value = " << iValue);
+                    result->add(key, iValue);
+                    indices[workingIndex]++;
                 }
-                
             } while (workingIndex >= 0);
         }
     }