git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "e1cc79a4cf"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "a541f326b9"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

OREAnalytics/orea/cube/sensitivitycube.cpp

@@ -225,7 +225,7 @@ Real SensitivityCube::delta(const Size tradeIdx, const RiskFactorKey& riskFactor
         return (cube_->get(tradeIdx, fd.index) - cube_->getT0(tradeIdx, 0)) * scaling(fd);
     } else if (s->second == ShiftScheme::Backward) {
         auto fd = index(riskFactorKey, downFactors_);
-        return cube_->getT0(tradeIdx, 0) - cube_->get(tradeIdx, fd.index) * scaling(fd);
+        return (cube_->getT0(tradeIdx, 0) - cube_->get(tradeIdx, fd.index)) * scaling(fd);
     } else if (s->second == ShiftScheme::Central) {
         auto fdup = index(riskFactorKey, upFactors_);
         auto fddown = index(riskFactorKey, downFactors_);

OREData/ored/configuration/yieldcurveconfig.hpp

@@ -122,10 +122,6 @@ class YieldCurveSegment : public XMLSerializable {
     //! Utility to build a quote, optional flag defaults to false
     pair<string, bool> quote(const string& name, bool opt = false) { return make_pair(name, opt); }
 
-    //! Utility method to read quotes from XML
-    void loadQuotesFromXML(XMLNode* node);
-    //! Utility method to write quotes to XML
-
 private:
     // TODO: why type and typeID?
     Type type_;

QuantExt/qle/math/openclenvironment.cpp

@@ -906,14 +906,14 @@ void OpenClContext::finalizeCalculation(std::vector<double*>& output, const Sett
             QL_REQUIRE(err == CL_SUCCESS,
                        "OpenClContext::finalizeCalculation(): writing to output buffer fails: " << errorText(err));
         }
-        // copy from float to double
-        for (std::size_t i = 0; i < output.size(); ++i) {
-            std::copy(outputFloat[i].begin(), outputFloat[i].end(), output[i]);
-        }
         err = clWaitForEvents(outputBufferEvents.size(), outputBufferEvents.empty() ? nullptr : &outputBufferEvents[0]);
         QL_REQUIRE(
             err == CL_SUCCESS,
             "OpenClContext::finalizeCalculation(): wait for output buffer events to finish fails: " << errorText(err));
+        // copy from float to double
+        for (std::size_t i = 0; i < output.size(); ++i) {
+            std::copy(outputFloat[i].begin(), outputFloat[i].end(), output[i]);
+        }
     }
 
     if (debug_) {

QuantExt/qle/pricingengines/fddefaultableequityjumpdiffusionconvertiblebondengine.cpp

@@ -516,6 +516,12 @@ void FdDefaultableEquityJumpDiffusionConvertibleBondEngine::calculate() const {
                                 cr = events.getCallData(i).mwCr(S[j], cr0);
                             // compuate forced conversion value and update npv node
                             Real forcedConversionValue = S[j] * cr * notional(grid[i]) / N0 + accrual(grid[i]);
+                            if (forcedConversionValue > c && forcedConversionValue < value[plane][j]) {
+                                // conversion is forced -> update flags
+                                if (!conversionIndicator.empty())
+                                    conversionIndicator[plane][j] = 0.0;
+                                conversionExercised[plane][j] = false;
+                            }
                             value[plane][j] = std::min(std::max(forcedConversionValue, c), value[plane][j]);
                             if (!valueNoConversion.empty()) {
                                 valueNoConversion[plane][j] =
@@ -529,8 +535,13 @@ void FdDefaultableEquityJumpDiffusionConvertibleBondEngine::calculate() const {
             if (events.hasPut(i)) {
                 Real c = getCallPriceAmount(events.getPutData(i), notional(t_from), accrual(t_from));
                 for (Size j = 0; j < n; ++j) {
-                    if (!conversionExercised[plane][j])
-                        value[plane][j] = std::max(c, value[plane][j]);
+                    if (c > value[plane][j]) {
+                        // put is more favorable than conversion (if that happened above)
+                        value[plane][j] = c;
+                        if (!conversionIndicator.empty())
+                            conversionIndicator[plane][j] = 0.0;
+                        conversionExercised[plane][j] = false;
+                    }
                 }
                 if (!valueNoConversion.empty()) {
                     for (Size j = 0; j < n; ++j) {