QPR-12329 fixes

Author: pcaspers

OREData/ored/model/crossassetmodelbuilder.cpp

@@ -103,6 +103,8 @@ CrossAssetModelBuilder::CrossAssetModelBuilder(
         marketObserver_->addObservable(c.second);
     // reset market observer's updated flag
     marketObserver_->hasUpdated(true);
+    // register with market observer
+    registerWith(marketObserver_);
 }
 
 Handle<QuantExt::CrossAssetModel> CrossAssetModelBuilder::model() const {
@@ -244,9 +246,9 @@ void CrossAssetModelBuilder::buildModel() const {
             }
             auto builder = boost::dynamic_pointer_cast<LgmBuilder>(subBuilders_[CrossAssetModel::AssetType::IR][i]);
             lgmBuilder.push_back(builder);
+            if (builder->requiresRecalibration())
+                recalibratedCurrencies.insert(builder->parametrization()->currency().code());
             auto parametrization = builder->parametrization();
-            if(builder->requiresRecalibration())
-                recalibratedCurrencies.insert(parametrization->currency().code());
             if (dontCalibrate_)
                 builder->freeze();
             swaptionBaskets_[i] = builder->swaptionBasket();
@@ -270,9 +272,9 @@ void CrossAssetModelBuilder::buildModel() const {
             }
             auto builder = boost::dynamic_pointer_cast<HwBuilder>(subBuilders_[CrossAssetModel::AssetType::IR][i]);
             hwBuilder.push_back(builder);
+            if (builder->requiresRecalibration())
+                recalibratedCurrencies.insert(builder->parametrization()->currency().code());
             auto parametrization = builder->parametrization();
-            if(builder->requiresRecalibration())
-                recalibratedCurrencies.insert(parametrization->currency().code());
             if (dontCalibrate_)
                 builder->freeze();
             swaptionBaskets_[i] = builder->swaptionBasket();
@@ -543,8 +545,6 @@ void CrossAssetModelBuilder::buildModel() const {
             continue;
         }
 
-        std::cout << "calibrate fx " << fx->foreignCcy() << std::endl;
-
         DLOG("FX Calibration " << i);
 
         // attach pricing engines to helpers
@@ -591,6 +591,7 @@ void CrossAssetModelBuilder::buildModel() const {
                 }
             }
         }
+        fxBuilder[i]->setCalibrationDone();
     }
 
     /*************************
@@ -616,8 +617,8 @@ void CrossAssetModelBuilder::buildModel() const {
 
         if (!eqBuilder[i]->requiresRecalibration() &&
             recalibratedCurrencies.find(eq->currency()) == recalibratedCurrencies.end()) {
-            DLOG("EQ Calibration "
-                 << i << " skipped, since neither eq builder nor ir model in eq ccy were recalibrated.");
+            DLOG("EQ Calibration " << i
+                                   << " skipped, since neither eq builder nor ir model in eq ccy were recalibrated.");
             continue;
         }
 
@@ -664,6 +665,7 @@ void CrossAssetModelBuilder::buildModel() const {
                 }
             }
         }
+        eqBuilder[i]->setCalibrationDone();
     }
 
     /*************************
@@ -729,10 +731,6 @@ void CrossAssetModelBuilder::buildModel() const {
         DLOG("Relinked discounting curve for " << p->currency().code() << " as final model curves");
     }
 
-    // play safe (although the cache of the model should be empty at
-    // this point from all what we know...)
-    model_->update();
-
     DLOG("Building CrossAssetModel done");
 }
 

OREData/ored/model/eqbsbuilder.cpp

@@ -126,15 +126,18 @@ bool EqBsBuilder::requiresRecalibration() const {
 
 void EqBsBuilder::performCalculations() const {
     if (requiresRecalibration()) {
-        // reset market observer updated flag
-        marketObserver_->hasUpdated(true);
         // build option basket
         buildOptionBasket();
-        // update vol cache
-        volSurfaceChanged(true);
     }
 }
 
+void EqBsBuilder::setCalibrationDone() const {
+    // reset market observer updated flag
+    marketObserver_->hasUpdated(true);
+    // update vol cache
+    volSurfaceChanged(true);
+}
+
 Real EqBsBuilder::optionStrike(const Size j) const {
     ore::data::Strike strike = ore::data::parseStrike(data_->optionStrikes()[j]);
     Real strikeValue;

OREData/ored/model/eqbsbuilder.hpp

@@ -75,6 +75,8 @@ class EqBsBuilder : public QuantExt::ModelBuilder {
     bool requiresRecalibration() const override;
     //@}
 
+    void setCalibrationDone() const;
+
 private:
     void performCalculations() const override;
     Real optionStrike(const Size j) const;

OREData/ored/model/fxbsbuilder.cpp

@@ -125,15 +125,18 @@ bool FxBsBuilder::requiresRecalibration() const {
 
 void FxBsBuilder::performCalculations() const {
     if (requiresRecalibration()) {
-        // reset market observer updated flag
-        marketObserver_->hasUpdated(true);
         // build option basket
         buildOptionBasket();
-        // update vol cache
-        volSurfaceChanged(true);
     }
 }
 
+void FxBsBuilder::setCalibrationDone() const {
+    // reset market observer updated flag
+    marketObserver_->hasUpdated(true);
+    // update vol cache
+    volSurfaceChanged(true);
+}
+
 Real FxBsBuilder::optionStrike(const Size j) const {
     Date expiryDate = optionExpiry(j);
     ore::data::Strike strike = ore::data::parseStrike(data_->optionStrikes()[j]);

OREData/ored/model/fxbsbuilder.hpp

@@ -72,6 +72,8 @@ class FxBsBuilder : public QuantExt::ModelBuilder {
     void forceRecalculate() override;
     bool requiresRecalibration() const override;
     //@}
+    
+    void setCalibrationDone() const;
 
 private:
     void performCalculations() const override;

OREData/ored/model/lgmbuilder.cpp

@@ -213,7 +213,7 @@ LgmBuilder::LgmBuilder(const boost::shared_ptr<ore::data::Market>& market, const
         marketObserver_->addObservable(shortSwapIndex_->forwardingTermStructure());
         marketObserver_->addObservable(shortSwapIndex_->discountingTermStructure());
     }
-    marketObserver_->addObservable(modelDiscountCurve_);
+    // we do not register with modelDiscountCurve_, since this curve does not affect the calibration
     marketObserver_->addObservable(calibrationDiscountCurve_);
     registerWith(marketObserver_);
     // notify observers of all market data changes, not only when not calculated

QuantExt/qle/models/lgm.hpp

@@ -263,6 +263,7 @@ inline void LinearGaussMarkovModel::calibrateVolatilitiesIterative(
         std::vector<boost::shared_ptr<BlackCalibrationHelper>> h(1, helpers[i]);
         calibrate(h, method, endCriteria, constraint, weights, MoveVolatility(i));
     }
+    update();
 }
 
 inline void LinearGaussMarkovModel::calibrateReversionsIterative(
@@ -272,6 +273,7 @@ inline void LinearGaussMarkovModel::calibrateReversionsIterative(
         std::vector<boost::shared_ptr<BlackCalibrationHelper>> h(1, helpers[i]);
         calibrate(h, method, endCriteria, constraint, weights, MoveReversion(i));
     }
+    update();
 }
 
 inline void
@@ -282,6 +284,7 @@ LinearGaussMarkovModel::calibrateVolatilities(const std::vector<boost::shared_pt
     for (Size i = 0; i < parametrization_->parameter(0)->size(); ++i)
         moveVols[i] = false;
     calibrate(helpers, method, endCriteria, constraint, weights, moveVols);
+    update();
 }
 
 inline void
@@ -292,6 +295,7 @@ LinearGaussMarkovModel::calibrateReversions(const std::vector<boost::shared_ptr<
     for (Size i = 0; i < parametrization_->parameter(1)->size(); ++i)
         moveRevs[parametrization_->parameter(0)->size() + i] = false;
     calibrate(helpers, method, endCriteria, constraint, weights, moveRevs);
+    update();
 }
 
 } // namespace QuantExt

QuantExt/qle/models/linkablecalibratedmodel.cpp

@@ -149,12 +149,11 @@ void LinkableCalibratedModel::setParams(const Array& params) {
 }
 
 void LinkableCalibratedModel::setParam(Size idx, const Real value) {
+    int tmp = static_cast<int>(idx);
     for (Size i = 0; i < arguments_.size(); ++i) {
         for (Size j = 0; j < arguments_[i]->size(); ++j) {
-            if (idx == 0)
+            if (tmp-- == 0)
                 arguments_[i]->setParam(j, value);
-            else
-                --idx;
         }
     }
     generateArguments();