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Update github See merge request qs/ore-github!3
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‎Docker/.env‎

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TAG=latest
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DEBIAN_TAG=11.7
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QL_TAG=1.30_9921a4d7
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QL_TAG=1.30_4274655e
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BOOST_TAG=1.78.0
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BOOST_DIR=1_78_0
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NUM_CORES=16

‎Docs/UserGuide/tradecomponents/floatinglegdata.tex‎

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@@ -250,7 +250,7 @@ \subsubsection{Floating Leg Data, Spreads, Gearings, Caps and Floors}
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\item Caps [Optional]: This node contains child elements of type \lstinline!Cap! indicating that the coupon rate is
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capped at the given rate (after applying gearing and spread, if any). The mode of specification is analogous to
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spreads, see above. Caps / Floors are supported for Ibor and compounded / averaged OIS coupons, but not for coupons
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spreads, see above. Caps / Floors are supported for Ibor, SIFMA, compounded / averaged OIS coupons, but not for coupons
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with subperiods.
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For OIS coupons notice how the gearing $g$ and spread $s$ enter the calculation of the coupon amount $A$ dependent on

‎Docs/UserGuide/tradedata/capfloor.tex‎

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\subsubsection{Cap/Floor}
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\label{ss:capfloor}
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The \lstinline!CapFloorData! node is the trade data container for the \emph{CapFloor} trade type. It's a cap, floor or collar
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(i.e. a portfolio of a long cap and a short floor for a long position in the collar) on a series of Ibor or CMS rates.
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The \lstinline!CapFloorData! node is the trade data container for the \emph{CapFloor} trade type. It's a cap, floor or
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collar (i.e. a portfolio of a long cap and a short floor for a long position in the collar) on a series of Ibor, SIFMA,
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OIS, CMS, Duration-adjusted CMS, CMS Spread, CPI, YY coupons.
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The \lstinline!CapFloorData! node contains a \lstinline!LongShort! sub-node which indicates whether the cap (floor, collar)
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is long or short, and a \lstinline!LegData! sub-node where the

‎Docs/UserGuide/tradedata/crosscurrencyswap.tex‎

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\item Optionally additional legs of type \emph{Cashflow}.
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\end{itemize}
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Rebalancing\\
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A Cross Currency Swap can be rebalancing, meaning the notional amount on one leg resets to the equivalent of a fixed amount in another currency (called ForeignCurrency, and is typically the currency of the other leg) at each period. This is represented using an \lstinline!FXReset! node on the resetting/rebalancing leg, within the \lstinline!Notionals! node.
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Note that for rebalancing Cross Currency Swaps, the Notional in leg currency on the rebalancing leg is optional. If set, it is used as starting notional, and causes the first period (if forward starting) to be considered as "on-the-run" for purposes of SIMM exemptions as the fx rate for the notional is considered to have been fixed from the inception of the trade. If no notional on the rebalancing leg is set, the starting notional will be based on a projected fx rate (i.e. not "on-the-run") until the actual fixing date.
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\label{lst:crosscurrencyswapreset}
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\end{listing}
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Non-Deliverable\\
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Note that Cross Currency Swaps having legs in non-deliverable currencies with payment in a deliverable currency are supported by using the Indexings node (\ref{ss:indexings}), setting Settlement to \emph{Cash} and setting the Currency to the deliverable currency, while keeping the Notional expressed in the non-deliverable currency amount.
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The Indexings node includes a mandatory fx Index field defining the deliverable and non-deliverable currency pair, and an optional InitialNotionalFixing field for the contractual fx rate to be applied to the initial notional exchange. Notice that the InitialNotionalFixing rate has to be expressed as amount in deliverable or payment currency per unit of non-deliverable currency, and if omitted defaults to a projected (if in the future) or an fx fixing from market data (if in the past). The Indexing node can also include optional FixingCalendar, IsInArrears and FixingDays fields to determine the date(s) of the fx fixing(s).
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Listing \ref{lst:ndir_xccy_swap} includes an example USD-CLP non-deliverable cross currency swap where one leg is in CLP which is a non-deliverable
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currency, and the other is in USD which is deliverable. Note that it is possible for both legs to be in different non-deliverable currencies.
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwapData>
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<Settlement>Cash</Settlement>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>false</Payer>
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<Currency>USD</Currency>
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<Notionals>
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<Notional>1000000</Notional>
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<Exchanges>
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<NotionalInitialExchange>true</NotionalInitialExchange>
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<NotionalFinalExchange>true</NotionalFinalExchange>
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</Exchanges>
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</Notionals>
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...
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</LegData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>false</Payer>
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<Currency>USD</Currency><!-- Payment currency is USD rather than CLP -->
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<Notionals>
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<Notional>850000000</Notional><!-- in CLP -->
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<Exchanges>
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<NotionalInitialExchange>true</NotionalInitialExchange>
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<NotionalFinalExchange>true</NotionalFinalExchange>
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</Exchanges>
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</Notionals>
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<Indexings>
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<Indexing>
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<Index>FX-TR20H-CLP-USD</Index><!-- to convert CLP flows into USD -->
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<FixingCalendar>CLP,USD</FixingCalendar>
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<IsInArrears>true</IsInArrears>
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<FixingDays>2</FixingDays>
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<InitialNotionalFixing>0.15</InitialNotionalFixing><!-- applied to initial ntl exchange -->
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</Indexing>
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</Indexings>
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...
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</LegData>
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</SwapData>
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\end{minted}
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\caption{Non deliverable Cross Currency Swap}
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\label{lst:ndir_xccy_swap}
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\end{listing}

‎Docs/UserGuide/tradedata/swap.tex‎

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\end{listing}
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Note that Swaps for non-deliverable currencies with payment in a deliverable currency are supported using the Indexings node (\ref{ss:indexings}).
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Note that Swaps in non-deliverable currencies with payment in a deliverable currency are supported by setting Settlement to \emph{Cash} and - on both legs - using the Indexings node (\ref{ss:indexings}), as well as setting the Currency to the deliverable currency, while keeping the Notional expressed in the non-deliverable currency amount.
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A non-deliverable cross currency Swap has Settlement set to \emph{Cash}, and one leg is a regular leg in the deliverable
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currency without Indexings. The other leg has Currency set to the deliverable currency, Notional in the non–deliverable
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currency and Indexings with an FX Index between the deliverable and non-deliverable currency. See Listing
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\ref{lst:ndir_xccy_swap} for an example USD-CLP non-deliverable cross currency swap where CLP is the non–deliverable
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currency. Notice that a contractual fx rate to be applied to the initial notional exchange is specified in the field
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\emph{InitialNotionalFixing}. Notice that this rate has to be expressed with target currency = payment currency.
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Within the Indexings node, an fx Index field is mandatory defining the deliverable and non-deliverable currencies and fixing source. The Indexing node can also include optional FixingCalendar, IsInArrears and FixingDays fields to determine the date(s) of the fx fixing(s). See Listing \ref{lst:ndir_swap} for an example non-deliverable IR swap where USD is the payment currency and CLP is the non-deliverable currency.
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A non-deliverable IR Swap has Currency set to the deliverable currency on both legs, Notional in the non-deliverable
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currency on both legs, and Indexings with an FX Index between the deliverable and non-deliverable currency on both
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legs. See Listing \ref{lst:ndir_swap} for an example non-deliverable IR swap where USD is the payment currency and CLP
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is the non-deliverable currency.
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwapData>
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<Settlement>Cash</Settlement>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>false</Payer>
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<Currency>USD</Currency>
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<Notionals>
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<Notional>1000000</Notional>
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<Exchanges>
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<NotionalInitialExchange>true</NotionalInitialExchange>
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<NotionalFinalExchange>true</NotionalFinalExchange>
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</Exchanges>
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</Notionals>
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...
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</LegData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>false</Payer>
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<Currency>USD</Currency><!-- Payment currency is USD rather than CLP -->
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<Notionals>
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<Notional>850000000</Notional><!-- in CLP -->
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<Exchanges>
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<NotionalInitialExchange>true</NotionalInitialExchange>
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<NotionalFinalExchange>true</NotionalFinalExchange>
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</Exchanges>
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</Notionals>
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<Indexings>
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<Indexing>
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<Index>FX-TR20H-CLP-USD</Index><!-- to convert CLP flows into USD -->
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<FixingCalendar>CLP,USD</FixingCalendar>
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<IsInArrears>true</IsInArrears>
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<FixingDays>2</FixingDays>
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<InitialNotionalFixing>0.15</InitialNotionalFixing> <!-- applied to initial notional exchange -->
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</Indexing>
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</Indexings>
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...
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</LegData>
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</SwapData>
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\end{minted}
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\caption{Non deliverable Cross Currency Swap}
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\label{lst:ndir_xccy_swap}
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\end{listing}
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\begin{listing}[H]
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%\hrule\medskip

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