Merge remote-tracking branch 'origin/master' into feature/martin_docs1

Author: Sjogren

Docs/UserGuide/parameterisation/conventions.tex

@@ -140,11 +140,12 @@ \subsubsection{Future Conventions}\label{ss:conventions_future}
 \item Index: The underlying index of the futures, this is either a MM (i.e. Ibor) index like e.g. EUR-EURIBOR-3M or an
   overnight index like e.g. USD-SOFR.
 \item DateGenerationRule [Optional]: This should be set to `IMM' when the start and end dates of the future are
-  following the IMM date logic or `FirstDayOfMonth' when the start and end date are the first day of a month. If not
-  given this field defaults to `IMM'.
+  following the IMM date logic, `FirstDayOfMonth' when the start and end date are the first day of a month, or
+  `SecondThursday' when the expiry date is the second Thursday of the month. If not given this field defaults to `IMM'.
   \begin{itemize}
-  \item For MM futures only `IMM' is allowed and the expiry date is determined as the next 3rd Wednesday of the expiry
-    month of a future.
+  \item For MM futures `IMM' or `SecondThursday' are allowed. The expiry date for `IMM' is determined as the next 3rd
+    Wednesday of the expiry month of a future. The expiry date for `SecondThursday' is determined as the 2nd Thursday
+    of the expiry month (e.g. used for AUD-BBSW-3M futures).
   \item For an overnight index future `IMM' means that the end date of the future is set to the 3rd Wednesday of the
     expiry month and the start date is set to the 3rd Wednesday of the expiry month minus the future tenor. The setting
     `IMM' applies to SOFR-3M futures for example. `FirstDayOfMonth' on the other hand means that the end date of the
@@ -163,8 +164,9 @@ \subsubsection{Future Conventions}\label{ss:conventions_future}
   are averaging the daily overnight fixings over the calculation period of the future.
 \end{itemize}
 
-Listings \ref{lst:future_conventions_euribor_3m}, \ref{lst:future_conventions_sofr_3m},
-\ref{lst:future_conventions_sofr_1m} show examples for Euribor-3M, SOFR-3M and SOFR-1M future conventions.
+Listings \ref{lst:future_conventions_euribor_3m}, \ref{lst:future_conventions_aud_bbsw_3m},
+\ref{lst:future_conventions_sofr_3m}, \ref{lst:future_conventions_sofr_1m} show examples for Euribor-3M, AUD-BBSW-3M,
+SOFR-3M and SOFR-1M future conventions.
 
 \begin{listing}[H]
 %\hrule\medskip
@@ -192,6 +194,19 @@ \subsubsection{Future Conventions}\label{ss:conventions_future}
 \label{lst:future_conventions_euribor_3m}
 \end{listing}
 
+\begin{listing}[H]
+%\hrule\medskip
+\begin{minted}[fontsize=\footnotesize]{xml}
+<Future>
+  <Id>AUD-BBSW-3M-FUTURES-CONVENTIONS</Id>
+  <Index>AUD-BBSW-3M</Index>
+  <DateGenerationRule>SecondThursday</DateGenerationRule>
+</Future>
+\end{minted}
+\caption{AUD BBSW 3M MM Future conventions (Second Thursday expiry)}
+\label{lst:future_conventions_aud_bbsw_3m}
+\end{listing}
+
 \begin{listing}[H]
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}

Examples/CurveBuilding/ExpectedOutput/fixedfloatccs/todaysmarketcalibration_cashflows.csv

@@ -18,3 +18,7 @@ advance start date by 1M
 startDate 2020-05-01
 endDate   2020-06-01
 ---------------------------
+May 1st, 2020
+May 6th, 2020
+May 11th, 2020
+2020-05-06

Examples/ORE-Python/ExampleScripts/ExpectedOutput/dates.txt

@@ -46,3 +46,13 @@
 print("startDate", startDate.to_date())
 print("endDate  ", endDate.to_date())
 print('---------------------------')
+
+mporDays = 3
+
+print(startDate)
+#print(ore.calculateMporDate(mporDays))
+print(ore.calculateMporDate(mporDays, startDate))
+print(ore.calculateMporDate(mporDays, startDate, calendarString))
+
+print(ore.calculateMporDate(mporDays, startDate).to_date())
+      

Examples/ORE-Python/ExampleScripts/dates.py

@@ -112,6 +112,7 @@ public:
     const ext::shared_ptr<ore::data::CurrencyConfig>& currencyConfigs();
     const ext::shared_ptr<ore::data::CalendarAdjustmentConfig>& calendarAdjustmentConfigs();
     const ext::shared_ptr<CurveConfigurations>& curveConfig(const std::string& s = std::string()) const;
+    QuantLib::Date mporDate();
 
     const QuantLib::ext::shared_ptr<ScenarioSimMarketParameters>& stressSimMarketParams() const;
     const QuantLib::ext::shared_ptr<StressTestScenarioData>& stressScenarioData() const;
@@ -127,6 +128,7 @@ public:
     void setBuildFailedTrades(bool b);
     void setObservationModel(const std::string& s);
     void setImplyTodaysFixings(bool b);
+    void setFixingCutOffDate(Date d);
     void setUseAtParCouponsCurves(bool b);
     void setUseAtParCouponsTrades(bool b);
     void setMarketConfig(const std::string& config, const std::string& context); 
@@ -141,6 +143,9 @@ public:
     void setConventions(const std::string& xml);
     void setConventionsFromFile(const std::string& fileName);
     void setConventions(const ext::shared_ptr<Conventions>& convs);
+    void setMporConventions(const std::string& xml);
+    void setMporConventionsFromFile(const std::string& fileName);
+    void setIborFallbackConfig(const std::string& xml);
     void setIborFallbackConfig(const std::string& xml);
     void setIborFallbackConfigFromFile(const std::string& fileName);
     void setCurveConfigs(const std::string& xml, std::string id = std::string());

ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_app.i

@@ -74,6 +74,7 @@ using ore::data::parseBusinessDayConvention;
 using ore::data::parseDate;
 using ore::data::fxDominance;
 using ore::data::isGenericIborIndex;
+using ore::data::calculateMporDate;
 %}
 bool isGenericIborIndex(const std::string& indexName);
 ext::shared_ptr<IborIndex> parseIborIndex(const std::string& s,
@@ -103,6 +104,7 @@ QuantLib::Settlement::Type parseSettlementType(const std::string& s);
 QuantLib::Exercise::Type parseExerciseType(const std::string& s);
 QuantLib::Option::Type parseOptionType(const std::string& s);
 QuantLib::Date parseDate(const std::string& s);
+QuantLib::Date calculateMporDate(const QuantLib::Size& mporDays, QuantLib::Date asOf = QuantLib::Date(), std::string mporCalendar = "US");
 
 %template(StringCalMap) std::map<std::string, Calendar>;
 

ORE-SWIG/OREData-SWIG/SWIG/ored_parsers.i

@@ -135,7 +135,7 @@ void PnlExplainAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::da
             t0SimMarket->scenarioGenerator() = sgen;
 
             // use difference scenarios for par sensi pnl explain
-            zeroScenarios->setGenerateDifferenceScenarios(t0SimMarket->useSpreadedTermStructures());
+            zeroScenarios->setGenerateDifferenceScenarios(true);
 
             QL_REQUIRE(parSensiAnalysis, "Par Sensi Analysis required");
             auto parScenarios = QuantLib::ext::make_shared<ZeroToParScenarioGenerator>(zeroScenarios, t0SimMarket,

OREAnalytics/orea/app/analytics/pnlexplainanalytic.cpp

@@ -280,12 +280,22 @@ void AnalyticsManager::toFile(const ore::analytics::Analytic::analytic_reports&
 
             // attach a suffix only if it does not have one already
             string suffix = "";
-            if (!endsWith(fileName,".csv") && !endsWith(fileName, ".txt"))
-                suffix = ".csv";
             std::string fullFileName = outputPath + "/" + fileName + suffix;
-
-            report->toFile(fullFileName, sep, commentCharacter, quoteChar, nullString,
-                           lowerHeaderReportNames.find(reportName) != lowerHeaderReportNames.end());
+            if (!endsWith(fileName,".csv") && !endsWith(fileName, ".txt") && !endsWith(fileName, ".gz")){
+                suffix = ".csv";
+                fullFileName = outputPath + "/" + fileName + suffix;
+                report->toFile(fullFileName, sep, commentCharacter, quoteChar, nullString,
+                            lowerHeaderReportNames.find(reportName) != lowerHeaderReportNames.end());
+            }else if(endsWith(fileName,".gz")){
+                fullFileName = outputPath + "/" + fileName;
+                report->toZip(fullFileName, sep, commentCharacter, quoteChar, nullString,
+                            lowerHeaderReportNames.find(reportName) != lowerHeaderReportNames.end());  
+            }else{
+                fullFileName = outputPath + "/" + fileName + suffix;
+                report->toFile(fullFileName, sep, commentCharacter, quoteChar, nullString,
+                            lowerHeaderReportNames.find(reportName) != lowerHeaderReportNames.end());
+            }
+          
             LOG("report " << reportName << " written to " << fullFileName); 
         }
     }

OREAnalytics/orea/app/analyticsmanager.cpp

@@ -67,7 +67,26 @@ vector<string> getFileNames(const string& fileString, const std::filesystem::pat
 InputParameters::InputParameters() {
     iborFallbackConfig_ = QuantLib::ext::make_shared<IborFallbackConfig>(IborFallbackConfig::defaultConfig());
     simmBucketMapper_ = QuantLib::ext::make_shared<SimmBucketMapperBase>();
-    loadParameters();
+}
+
+void InputParameters::loadParameters() {
+
+    // load Override parameters
+    QuantLib::ext::shared_ptr<CurveConfigurations> ccOverride;
+    loadParameterXML<CurveConfigurations>(ccOverride, "setup", "curveConfigOverride");
+    if (ccOverride)
+        curveConfigs_.setOverride(ccOverride);
+
+    QuantLib::ext::shared_ptr<Conventions> conventionsOverride;
+    loadParameterXML<Conventions>(conventionsOverride, "setup", "conventionsOverride");
+    if (conventions_ && conventionsOverride)
+        conventions_->setConventionsOverride(conventionsOverride);
+
+    QuantLib::ext::shared_ptr<BasicReferenceDataManager> rdmOverride;
+    loadParameterXML<BasicReferenceDataManager>(rdmOverride, "setup", "referenceDataOverride");
+    if (refDataManager_ && rdmOverride)
+        refDataManager_->setRDMOverride(rdmOverride);
+
 }
 
 bool checkString(const std::string& obj) { return true; }
@@ -150,6 +169,18 @@ void InputParameters::setConventionsFromFile(const std::string& fileName) {
     InstrumentConventions::instance().setConventions(conventions_);
 }
 
+void InputParameters::setMporConventions(const std::string& xml) {
+    mporConventions_ = QuantLib::ext::make_shared<Conventions>();
+    mporConventions_->fromXMLString(xml);
+    InstrumentConventions::instance().setConventions(mporConventions_, mporDate());
+}
+
+void InputParameters::setMporConventionsFromFile(const std::string& fileName) {
+    mporConventions_ = QuantLib::ext::make_shared<Conventions>();
+    mporConventions_->fromFile(fileName);
+    InstrumentConventions::instance().setConventions(mporConventions_, mporDate());
+}
+
 void InputParameters::setCurveConfigs(const std::string& xml, std::string id) {
     auto curveConfig = QuantLib::ext::make_shared<CurveConfigurations>();
     curveConfig->fromXMLString(xml);

OREAnalytics/orea/app/inputparameters.cpp

@@ -89,6 +89,8 @@ class InputParameters {
         QuantLib::ext::shared_ptr<T>& obj, const std::string& analytic,
         const std::string& param, const bool mandatory = false) {
         string str = loadParameterXMLString(analytic, param, mandatory);
+        if (str.empty() && !mandatory)
+            return false;
         obj = QuantLib::ext::make_shared<T>();
         obj->fromXMLString(str);
         return true;
@@ -132,6 +134,7 @@ class InputParameters {
     void setBuildFailedTrades(bool b) { buildFailedTrades_ = b; }
     void setObservationModel(const std::string& s) { observationModel_ = s; }
     void setImplyTodaysFixings(bool b) { implyTodaysFixings_ = b; }
+    void setFixingCutOffDate(Date d) { fixingCutOffDate_ = d; }
     void setUseAtParCouponsCurves(bool b) { useAtParCouponsCurves_ = b; }
     void setUseAtParCouponsTrades(bool b) { useAtParCouponsTrades_ = b; }
     void setEnrichIndexFixings(bool b) { enrichIndexFixings_ = b; }
@@ -151,6 +154,8 @@ class InputParameters {
     void setConventions(const std::string& xml);
     void setConventions(const QuantLib::ext::shared_ptr<Conventions>& convs);
     void setConventionsFromFile(const std::string& fileName);
+    void setMporConventions(const std::string& xml);
+    void setMporConventionsFromFile(const std::string& fileName);
     void setIborFallbackConfig(const std::string& xml);
     void setIborFallbackConfigFromFile(const std::string& fileName);
     void setBaselTrafficLightConfig(const std::string& xml);
@@ -611,6 +616,7 @@ class InputParameters {
     bool buildFailedTrades() const { return buildFailedTrades_; }
     const std::string& observationModel() const { return observationModel_; }
     bool implyTodaysFixings() const { return implyTodaysFixings_; }
+    Date fixingCutOffDate() const { return fixingCutOffDate_; }
     bool useAtParCouponsCurves() const { return useAtParCouponsCurves_; }
     bool useAtParCouponsTrades() const { return useAtParCouponsTrades_; }
     bool enrichIndexFixings() const { return enrichIndexFixings_; }
@@ -620,6 +626,7 @@ class InputParameters {
     const std::string& marketConfig(const std::string& context);
     const QuantLib::ext::shared_ptr<ore::data::BasicReferenceDataManager>& refDataManager() const { return refDataManager_; }
     const QuantLib::ext::shared_ptr<ore::data::Conventions>& conventions() const { return conventions_; }
+    const QuantLib::ext::shared_ptr<ore::data::Conventions>& mporConventions() const { return mporConventions_; }
     const QuantLib::ext::shared_ptr<ore::data::IborFallbackConfig>& iborFallbackConfig() const { return iborFallbackConfig_; }
     const QuantLib::ext::shared_ptr<ore::data::BaselTrafficLightData>& baselTrafficLightConfig() const { return baselTrafficLightConfig_; }
 
@@ -1072,7 +1079,7 @@ class InputParameters {
      *************************************/
     const std::set<std::string>& analytics() const { return analytics_; }
 
-    virtual void loadParameters(){}
+    virtual void loadParameters();
     virtual void writeOutParameters(){}
 
 protected:
@@ -1104,6 +1111,7 @@ class InputParameters {
     bool buildFailedTrades_ = true;
     std::string observationModel_ = "None";
     bool implyTodaysFixings_ = false;
+    Date fixingCutOffDate_;
     bool useAtParCouponsCurves_ = true;
     bool useAtParCouponsTrades_ = true;
     bool enrichIndexFixings_ = false;
@@ -1117,7 +1125,7 @@ class InputParameters {
     std::map<std::string, std::string> marketConfigs_;
     QuantLib::ext::shared_ptr<ore::data::BasicReferenceDataManager> refDataManager_;
     QuantLib::ext::shared_ptr<ore::data::BaselTrafficLightData> baselTrafficLightConfig_;
-    QuantLib::ext::shared_ptr<ore::data::Conventions> conventions_;
+    QuantLib::ext::shared_ptr<ore::data::Conventions> conventions_, mporConventions_;
     QuantLib::ext::shared_ptr<ore::data::IborFallbackConfig> iborFallbackConfig_;
     CurveConfigurationsManager curveConfigs_;
     QuantLib::ext::shared_ptr<ore::data::CalendarAdjustmentConfig> calendarAdjustment_;