QPR-11895 SprededTermStructures in Sim Market for NPV LAgged

Author: pcaspers

OREAnalytics/orea/app/analytics/scenarioanalytic.cpp

@@ -25,8 +25,10 @@ namespace ore {
 namespace analytics {
 
 // ScenarioAnalytic
-ScenarioAnalytic::ScenarioAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
-    : Analytic(std::make_unique<ScenarioAnalyticImpl>(inputs), {"SCENARIO"}, inputs, true, false, false, false) {}
+ScenarioAnalytic::ScenarioAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs,
+                                   const bool useSpreadedTermStructures)
+    : Analytic(std::make_unique<ScenarioAnalyticImpl>(inputs, useSpreadedTermStructures), {"SCENARIO"}, inputs, true,
+               false, false, false) {}
 
 void ScenarioAnalyticImpl::setUpConfigurations() {
     analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
@@ -51,7 +53,7 @@ void ScenarioAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<InMemoryL
     auto ssm = QuantLib::ext::make_shared<ScenarioSimMarket>(
         analytic()->market(), scenarioAnalytic->configurations().simMarketParams, Market::defaultConfiguration,
         *scenarioAnalytic->configurations().curveConfig, *scenarioAnalytic->configurations().todaysMarketParams, true,
-        false, false, false, *inputs_->iborFallbackConfig());
+        useSpreadedTermStructures_, false, false, *inputs_->iborFallbackConfig());
 
     setScenarioSimMarket(ssm);
     auto scenario = ssm->baseScenario();

OREAnalytics/orea/app/analytics/scenarioanalytic.hpp

@@ -30,7 +30,10 @@ class ScenarioAnalyticImpl : public Analytic::Impl {
 public:
     static constexpr const char* LABEL = "SCENARIO";
 
-    ScenarioAnalyticImpl(const QuantLib::ext::shared_ptr<InputParameters>& inputs) : Analytic::Impl(inputs) { setLabel(LABEL); }
+    ScenarioAnalyticImpl(const QuantLib::ext::shared_ptr<InputParameters>& inputs, const bool useSpreadedTermStructures = false) : 
+        Analytic::Impl(inputs), useSpreadedTermStructures_(useSpreadedTermStructures) {
+        setLabel(LABEL);
+    }
     void runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
                              const std::set<std::string>& runTypes = {}) override;
     void setUpConfigurations() override;
@@ -48,11 +51,13 @@ class ScenarioAnalyticImpl : public Analytic::Impl {
 private:
     QuantLib::ext::shared_ptr<ore::analytics::Scenario> scenario_;
     QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarket> scenarioSimMarket_;
+    bool useSpreadedTermStructures_ = false;
 };
 
 class ScenarioAnalytic : public Analytic {
 public:
-    ScenarioAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs);
+    ScenarioAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs,
+                     const bool useSpreadedTermStructures = false);
 
     const QuantLib::ext::shared_ptr<ore::analytics::Scenario>& scenario() const {
         auto sai = static_cast<ScenarioAnalyticImpl*>(impl_.get());