Merge remote-tracking branch 'origin/master' into QPR-12101

Author: Farah Khashman

Docs/UserGuide/tradecomponents/optiondata.tex

@@ -111,8 +111,8 @@ \subsubsection{Option Data}
 
   Allowable values: \emph{European} or \emph{American} or \emph{Bermudan}. 
   
-  Note that trade types IR Swaption and CallableSwap can have style
-  \emph{European} or \emph{Bermudan}, but not \emph{American}.  
+  Note that trade types IR Swaption and CallableSwap can have all three styles:
+  \emph{European}, \emph{Bermudan}, or \emph{American}.  
   
   FX, Equity and Commodity vanilla options can have styles \emph{European}
   or \emph{American}, but not \emph{Bermudan}. 

Docs/UserGuide/tradedata/indexcdsoption.tex

@@ -3,10 +3,6 @@ \subsubsection{Index Credit Default Swap Option}
 An index CDS option, trade type \lstinline!IndexCreditDefaultSwapOption!, is an option to enter into an index CDS at a specified strike spread or strike price. The Index CDS Option is set up using an \lstinline!IndexCreditDefaultSwapOptionData! node as shown in Listing \ref{lst:indexcdsoptiondata}. Its child nodes have the following meanings:
 
 \begin{itemize}
-\item
-\lstinline!KnockOut!: A boolean node that determines whether front end protection is included or not. When this node evaluates to \lstinline!false!, front end protection is included. When this node evaluates to \lstinline!true!, front end protection is not included.
-
-Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}.
 
 \item
 \lstinline!IndexTerm! [Optional]: An optional node giving the term of the underlying index CDS e.g.\ 3Y, 5Y, 7Y, 10Y etc. The main function of this node is to allow for different index CDS option volatility structures for different terms of the same index series e.g.\ a CDX HY Series 34 5Y volatility structure and a CDX HY Series 34 10Y volatility structure. If this node is omitted, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! node under \lstinline!IndexCreditDefaultSwapData!. There will generally be one \lstinline!CreditCurveId! for each index CDS series e.g.\ \lstinline!CDXHYS34V1! for CDX HY Series 34 Version 1. Consequently, there can only be one CDS volatility surface for this index CDS series. When \lstinline!IndexTerm! is populated with the underlying index term, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! node with suffix \lstinline!-[IndexTerm]!. For example, if the \lstinline!CreditCurveId! node on an index CDS option trade is \lstinline!CDXHYS34V1! and the \lstinline!IndexTerm! node is populated with \lstinline!5Y!, the market will be searched for a CDS volatility surface with ID \lstinline!CDXHYS34V1-5Y! and this will be used in the trade valuation. In this way, different volatility surfaces can be used to value different terms of the same CDS index series.
@@ -83,7 +79,6 @@ \subsubsection{Index Credit Default Swap Option}
 \begin{listing}[H]
 \begin{minted}[fontsize=\footnotesize]{xml}
 <IndexCreditDefaultSwapOptionData>
-  <KnockOut>N</KnockOut>
   <IndexTerm>5Y</IndexTerm>
   <OptionData>
       <LongShort>Long</LongShort>

Docs/UserGuide/tradedata/swaption.tex

@@ -142,7 +142,9 @@ \subsubsection{Swaption}
 \item \lstinline!ExerciseFeeSettlementConvention![Optional]: The roll convention used to compute the exercise fee settlement date from
   the exercise date. Defaults to \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
 
-\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given, and for \emph{American} style swaptions  exactly two \lstinline!ExerciseDate! date element must be given, defining the start and the end of the American exercise period.  \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two  \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
+\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given, and for \emph{American} style swaptions  exactly two \lstinline!ExerciseDate! date element must be given, defining the start and the end of the American exercise period.  \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two  \lstinline!ExerciseDate! elements must be given). See Listing \ref{lst:bermudan_swaption_exercisedates}
+
+\item  \emph{Bermudan} style swaptions can also have Rules or Dates based exercise dates using an  \lstinline!ExerciseSchedule! node instead of  \lstinline!ExerciseDates!. See Listings \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
 
 
 \begin{listing}[H]
@@ -172,15 +174,15 @@ \subsubsection{Swaption}
         <LongShort>Long</LongShort>
         <Style>Bermudan</Style>
         <Settlement>Physical</Settlement>
-        <ExerciseDates>
+        <ExerciseSchedule>
          <Rules>
           <StartDate>2027-03-02</StartDate>
           <EndDate>2029-03-02</EndDate>
           <Tenor>1Y</Tenor>
           <Calendar>US</Calendar>
           <Convention>MF</Convention>
-         <Rules>                    
-        </ExerciseDates>
+         </Rules>                    
+        </ExerciseSchedule>
         ...
     </OptionData>
    ...
@@ -196,17 +198,17 @@ \subsubsection{Swaption}
         <LongShort>Long</LongShort>
         <Style>Bermudan</Style>
         <Settlement>Physical</Settlement>
-        <ExerciseDates>
+        <ExerciseSchedule>
          <Dates>
           <Calendar>NullCalendar</Calendar>
           <Convention>Unadjusted</Convention>
           <Dates>
            <Date>2027-03-02</Date>
            <Date>2028-03-02</Date>
            <Date>2029-03-02</Date>
-          <Dates>
-         <Dates>                    
-        </ExerciseDates>
+          </Dates>
+         </Dates>                    
+        </ExerciseSchedule>
         ...
     </OptionData>
    ...

Examples/Example_40/Input/portfolio.xml

@@ -267,7 +267,6 @@
     </Envelope>
     <IndexCreditDefaultSwapOptionData>
       <Strike>0.0060</Strike>
-      <KnockOut>N</KnockOut>
       <OptionData>
         <LongShort>Long</LongShort>
         <OptionType>Call</OptionType>

Examples/Example_54/ExpectedOutput/npv.csv

@@ -1,3 +1,3 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
 BermSwp,ScriptedTrade,2036-03-03,20.073770,51640.311738,EUR,51640.311738,EUR,#N/A,#N/A,#N/A,CPTY_A,CPTY_A
-LPISwp,ScriptedTrade,2035-02-01,18.989303,62979.404029,GBP,78301.934721,EUR,#N/A,#N/A,#N/A,CPTY_B,CPTY_B
+LPISwp,ScriptedTrade,2035-02-01,18.989303,53833.516084,GBP,66930.904274,EUR,#N/A,#N/A,#N/A,CPTY_B,CPTY_B

Examples/Example_54/Input/pricingengine.xml

@@ -8,11 +8,17 @@
       <Parameter name="EnforceBaseCcy">false</Parameter>
       <Parameter name="GridCoarsening">3M(1W),1Y(1M),5Y(3M),10Y(1Y),50Y(5Y)</Parameter>
       <Parameter name="IrReversion_EUR">0.01</Parameter>
-      <Parameter name="IrReversion_GBP">0.01</Parameter>
+      <Parameter name="IrReversion_GBP">0.015</Parameter>
       <Parameter name="FullDynamicFx">true</Parameter>
       <Parameter name="FullDynamicIr">true</Parameter>
       <!-- DK or JY -->
       <Parameter name="InfModelType">JY</Parameter>
+      <!-- explicit overwrite of cam correlations -->
+      <Parameter name="Correlation_IR:GBP_INF:UKRPI:0">0.8</Parameter>
+      <Parameter name="Correlation_IR:GBP_INF:UKRPI:1">0.6</Parameter>
+      <Parameter name="Correlation_INF:UKRPI:0_INF:UKRPI:1">0.3</Parameter>
+      <!-- real to nominal rate vol ratio in jy model -->
+      <Parameter name="InfJyRealToNominalVolRatio">0.6</Parameter>
     </ModelParameters>
     <Engine>Generic</Engine>
     <EngineParameters>

Examples/Example_54/run.py

@@ -5,11 +5,9 @@
 sys.path.append('../')
 from ore_examples_helper import OreExample
 
-samples1=os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]
-print("samples1 =", samples1)
-os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]=""
-samples2=os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]
-print("samples2 =", samples2)
+if "OVERWRITE_SCENARIOGENERATOR_SAMPLES" in os.environ:
+    backupSamples = os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]
+    os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"] = ""
 
 oreex = OreExample(sys.argv[1] if len(sys.argv)>1 else False)
 
@@ -41,4 +39,5 @@
 oreex.decorate_plot(title="Example Scripting / AMC - DIM Evolution for LPI Swap (sticky date mpor mode)")
 oreex.save_plot_to_file()
 
-os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]=samples1
+if "OVERWRITE_SCENARIOGENERATOR_SAMPLES" in os.environ:
+    os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"] = backupSamples

OREAnalytics/orea/orea.hpp

@@ -22,6 +22,7 @@
 #include <orea/aggregation/staticcreditxvacalculator.hpp>
 #include <orea/aggregation/xvacalculator.hpp>
 #include <orea/app/analytic.hpp>
+#include <orea/app/analytics/imscheduleanalytic.hpp>
 #include <orea/app/analytics/parconversionanalytic.hpp>
 #include <orea/app/analytics/pricinganalytic.hpp>
 #include <orea/app/analytics/scenarioanalytic.hpp>
@@ -64,6 +65,7 @@
 #include <orea/engine/historicalpnlgenerator.hpp>
 #include <orea/engine/historicalsensipnlcalculator.hpp>
 #include <orea/engine/historicalsimulationvar.hpp>
+#include <orea/engine/marketriskbacktest.hpp>
 #include <orea/engine/marketriskreport.hpp>
 #include <orea/engine/mporcalculator.hpp>
 #include <orea/engine/multistatenpvcalculator.hpp>
@@ -85,6 +87,7 @@
 #include <orea/engine/stresstest.hpp>
 #include <orea/engine/valuationcalculator.hpp>
 #include <orea/engine/valuationengine.hpp>
+#include <orea/engine/varbacktest.hpp>
 #include <orea/engine/varcalculator.hpp>
 #include <orea/engine/xvaenginecg.hpp>
 #include <orea/engine/zerotoparcube.hpp>
@@ -121,6 +124,8 @@
 #include <orea/simm/crif.hpp>
 #include <orea/simm/crifloader.hpp>
 #include <orea/simm/crifrecord.hpp>
+#include <orea/simm/imschedulecalculator.hpp>
+#include <orea/simm/imscheduleresults.hpp>
 #include <orea/simm/simmbasicnamemapper.hpp>
 #include <orea/simm/simmbucketmapper.hpp>
 #include <orea/simm/simmbucketmapperbase.hpp>

OREData/ored/CMakeLists.txt

@@ -623,8 +623,8 @@ portfolio/equityfuturesoption.hpp
 portfolio/equityfxlegbuilder.hpp
 portfolio/equityfxlegdata.hpp
 portfolio/equityoption.hpp
-portfolio/equityoutperformanceoption.hpp
 portfolio/equityoptionposition.hpp
+portfolio/equityoutperformanceoption.hpp
 portfolio/equityposition.hpp
 portfolio/equityswap.hpp
 portfolio/equitytouchoption.hpp

OREData/ored/model/crossassetmodelbuilder.cpp

@@ -162,6 +162,35 @@ void CrossAssetModelBuilder::resetModelParams(const CrossAssetModel::AssetType t
     }
 }
 
+void CrossAssetModelBuilder::copyModelParams(const CrossAssetModel::AssetType t0, const Size param0, const Size index0,
+                                             const Size i0, const CrossAssetModel::AssetType t1, const Size param1,
+                                             const Size index1, const Size i1, const Real mult) const {
+    auto mp0 = model_->MoveParameter(t0, param0, index0, i0);
+    auto mp1 = model_->MoveParameter(t1, param1, index1, i1);
+    auto s0 = 0, s1 = 0;
+    for (Size i = 0; i < mp0.size(); ++i)
+        if (mp0[i])
+            s0++;
+    for (Size i = 0; i < mp1.size(); ++i)
+        if (mp1[i])
+            s1++;
+    QL_REQUIRE(s0 == s1, "CrossAssetModelBuilder::copyModelParams(): source range size ("
+                             << s0 << ") does not match target range size (" << s1 << ") when copying (" << t0 << ", "
+                             << param0 << "," << index0 << "," << i0 << ") -> (" << t0 << ", " << param0 << ","
+                             << index0 << "," << i0 << ")");
+    std::vector<Real> sourceValues(s0);
+    for (Size idx0 = 0, count = 0; idx0 < mp0.size(); ++idx0) {
+        if (!mp0[idx0]) {
+            sourceValues[count++] = params_[idx0];
+        }
+    }
+    for (Size idx1 = 0, count = 0; idx1 < mp1.size(); ++idx1) {
+        if (!mp1[idx1]) {
+            model_->setParam(idx1, sourceValues[count++] * mult);
+        }
+    }
+}
+
 void CrossAssetModelBuilder::buildModel() const {
 
     LOG("Start building CrossAssetModel");
@@ -842,6 +871,15 @@ void CrossAssetModelBuilder::calibrateInflation(const InfJyData& data, Size mode
     // Calibration configuration.
     const auto& cc = data.calibrationConfiguration();
 
+    // if we link the real rate params to the nominal rate params, we copy them over now (ir calibration is done at this point)
+    if(data.linkRealRateParamsToNominalRateParams()) {
+        Size irIdx = model_->ccyIndex(model_->infjy(modelIdx)->currency());
+        copyModelParams(CrossAssetModel::AssetType::IR, 0, irIdx, Null<Size>(), CrossAssetModel::AssetType::INF, 0,
+                        modelIdx, Null<Size>(), data.linkedRealRateVolatilityScaling());
+        copyModelParams(CrossAssetModel::AssetType::IR, 1, irIdx, Null<Size>(), CrossAssetModel::AssetType::INF, 1,
+                        modelIdx, Null<Size>(), 1.0);
+    }
+
     if (data.calibrationType() == CalibrationType::BestFit) {
 
         // If calibration type is BestFit, do a global optimisation on the parameters that need to be calibrated.
@@ -937,6 +975,13 @@ void CrossAssetModelBuilder::calibrateInflation(const InfJyData& data, Size mode
     }
 
     // Log the calibration details.
+    TLOG("INF (JY) " << data.index() << " model parameters after calibration:");
+    TLOG("Real    rate vol times   : " << inflationParam->parameterTimes(0));
+    TLOG("Real    rate vol values  : " << inflationParam->parameterValues(0));
+    TLOG("Real    rate rev times   : " << inflationParam->parameterTimes(1));
+    TLOG("Real    rate rev values  : " << inflationParam->parameterValues(1));
+    TLOG("R/N conversion   times   : " << inflationParam->parameterTimes(2));
+    TLOG("R/N conversion   values  : " << inflationParam->parameterValues(2));
     DLOG("INF (JY) " << data.index() << " calibration errors:");
     inflationCalibrationErrors_[modelIdx] = getCalibrationError(allHelpers);
     if (data.calibrationType() == CalibrationType::Bootstrap) {