Merge remote-tracking branch 'origin/master' into QPR-12493

Author: pcaspers

Docs/UserGuide/tradedata/callableswap.tex

@@ -1,10 +1,12 @@
 \subsubsection{Callable Swap}\label{ss:callable_swap}
 
 The \lstinline!CallableSwapData! node is the trade data container for the \emph{CallableSwap} trade type. A Callable Swap is a
-two-legged swap that can be cancelled at predefined dates by one of the counterparties. A Callable Swap must have two legs,
-one fixed and one floating, each described by a \lstinline!LegData! trade component sub-node as described in section
-\ref{ss:leg_data}.  There must be at least one full coupon period after the exercise date for European 
-Callable Swaps, and after the last exercise date for Bermudan and American Callable Swaps. The \lstinline!CallableSwapData! node also contains an \lstinline!OptionData! node which describes
+ swap that can be cancelled at predefined dates by one of the counterparties. A Callable Swap must have at least one leg, each leg described by a \lstinline!LegData! trade component sub-node as described in section
+\ref{ss:leg_data}.  
+
+There must be at least one full coupon period after the exercise date for European Callable Swaps, and after the last exercise date for Bermudan and American Callable Swaps. 
+
+The \lstinline!CallableSwapData! node also contains an \lstinline!OptionData! node which describes
 the exercise dates and specifies which party holds the call right, see \ref{ss:option_data}. An example structure of a
 \lstinline!CallableSwapData! node is shown in Listing \ref{lst:callableswap_data}.
 
@@ -58,5 +60,7 @@ \subsubsection{Callable Swap}\label{ss:callable_swap}
   underlying Swap. A Callable Swap must have at least one leg on the underlying Swap, but can have multiple legs,
   i.e. multiple \lstinline!LegData! nodes.  The LegType elements must be of types \emph{Floating}, \emph{Fixed} or
   \emph{Cashflow}. All legs must have the same \lstinline!Currency!.
+  
+  Note that the direction of the legs, determined by the \lstinline!Payer! tag, is like for a Swap, from the perspective of the party to the trade. I.e. unlike for a Swaption where the direction of the legs is from the perspective of the party that is long. 
 
 \end{itemize}

OREAnalytics/orea/app/analytics/pnlexplainanalytic.cpp

@@ -119,9 +119,10 @@ void PnlExplainAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::da
     std::unique_ptr<MarketRiskReport::SensiRunArgs> sensiArgs =
         std::make_unique<MarketRiskReport::SensiRunArgs>(ss, shiftCalculator);
 
-    auto pnlExplainReport = ext::make_shared<PnlExplainReport>(inputs_->baseCurrency(), analytic()->portfolio(), inputs_->portfolioFilter(),
-                                           period, pnlReport, scenarios, move(sensiArgs), nullptr, nullptr, true);
-        
+    auto pnlExplainReport =
+        ext::make_shared<PnlExplainReport>(inputs_->baseCurrency(), analytic()->portfolio(), inputs_->portfolioFilter(),
+                                           period, pnlReport, scenarios, std::move(sensiArgs), nullptr, nullptr, true);
+
     LOG("Call PNL Explain calculation");
     CONSOLEW("Risk: PNL Explain Calculation");
     ext::shared_ptr<MarketRiskReport::Reports> reports = ext::make_shared<MarketRiskReport::Reports>();
@@ -134,4 +135,4 @@ void PnlExplainAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::da
 }
 
 } // namespace analytics
-} // namespace ore
+} // namespace ore

OREAnalytics/orea/engine/varcalculator.cpp

@@ -26,7 +26,7 @@ VarReport::VarReport(const std::string& baseCurrency, const QuantLib::ext::share
                      const std::string& portfolioFilter, const vector<Real>& p, boost::optional<ore::data::TimePeriod> period,
                      const QuantLib::ext::shared_ptr<HistoricalScenarioGenerator>& hisScenGen,
                      std::unique_ptr<SensiRunArgs> sensiArgs, std::unique_ptr<FullRevalArgs> fullRevalArgs, const bool breakdown) 
-    : MarketRiskReport(baseCurrency, portfolio, portfolioFilter, period, hisScenGen, move(sensiArgs), move(fullRevalArgs), nullptr, breakdown), p_(p) { 
+    : MarketRiskReport(baseCurrency, portfolio, portfolioFilter, period, hisScenGen, std::move(sensiArgs), std::move(fullRevalArgs), nullptr, breakdown), p_(p) { 
 }
 
 void VarReport::createReports(const ext::shared_ptr<MarketRiskReport::Reports>& reports) {