QPR-10662 build portfolio with correct market

damienbarker · jenkins · commit 94f37af5bd06 · 2023-04-28T08:06:15.000Z
diff --git a/OREAnalytics/orea/app/analytic.hpp b/OREAnalytics/orea/app/analytic.hpp
@@ -115,6 +115,7 @@ class Analytic {
         return boost::dynamic_pointer_cast<MarketImpl>(market_);
     }
     const boost::shared_ptr<ore::data::Portfolio>& portfolio() const { return portfolio_; };
+    void setMarket(const boost::shared_ptr<ore::data::Market>& market) { market_ = market; };
     void setPortfolio(const boost::shared_ptr<ore::data::Portfolio>& portfolio) { portfolio_ = portfolio; };
     std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>> todaysMarketParams();
     const boost::shared_ptr<ore::data::Loader>& loader() const { return loader_; };
@@ -137,6 +138,8 @@ class Analytic {
     bool hasDependentAnalytic(const std::string& key) {  return dependentAnalytics_.find(key) != dependentAnalytics_.end(); }
     template <class T> boost::shared_ptr<T> dependentAnalytic(const std::string& key) const;
 
+    virtual std::set<QuantLib::Date> marketDates() const { return {inputs_->asof()}; }
+
 private:
     std::unique_ptr<Impl> impl_;
 
diff --git a/OREAnalytics/orea/app/analytics/pricinganalytic.cpp b/OREAnalytics/orea/app/analytics/pricinganalytic.cpp
@@ -87,7 +87,7 @@ void PricingAnalyticImpl::runAnalytic(
 
         std::string effectiveResultCurrency =
             inputs_->resultCurrency().empty() ? inputs_->baseCurrency() : inputs_->resultCurrency();
-        if (type == "NPV" || type == "NPV_LAGGED") {
+        if (type == "NPV") {
             CONSOLEW("Pricing: NPV Report");
             ReportWriter(inputs_->reportNaString())
                 .writeNpv(*report, effectiveResultCurrency, analytic()->market(), "",
@@ -174,7 +174,7 @@ void PricingAnalyticImpl::runAnalytic(
             bool recalibrateModels = true;
             bool ccyConv = false;
             std::string configuration = inputs_->marketConfig("pricing");
-	    boost::shared_ptr<SensitivityAnalysis> sensiAnalysis;
+            boost::shared_ptr<SensitivityAnalysis> sensiAnalysis;
             if (inputs_->nThreads() == 1) {
                 LOG("Single-threaded sensi analysis");
                 std::vector<boost::shared_ptr<ore::data::EngineBuilder>> extraEngineBuilders;
diff --git a/OREAnalytics/orea/app/analytics/pricinganalytic.hpp b/OREAnalytics/orea/app/analytics/pricinganalytic.hpp
@@ -45,7 +45,7 @@ class PricingAnalytic : public Analytic {
 public:
     PricingAnalytic(const boost::shared_ptr<InputParameters>& inputs)
         : Analytic(std::make_unique<PricingAnalyticImpl>(inputs),
-            {"NPV", "NPV_LAGGED", "CASHFLOW", "CASHFLOWNPV", "SENSITIVITY", "STRESS"},
+            {"NPV", "CASHFLOW", "CASHFLOWNPV", "SENSITIVITY", "STRESS"},
                    inputs) {}
 };
  
diff --git a/OREAnalytics/orea/app/analyticsmanager.cpp b/OREAnalytics/orea/app/analyticsmanager.cpp
@@ -111,15 +111,14 @@ void AnalyticsManager::runAnalytics(const std::set<std::string>& analyticTypes,
         return;
 
     std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>> tmps;
+    std::set<Date> marketDates;
     for (const auto& a : analytics_) {
         std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>> atmps = a.second->todaysMarketParams();
         tmps.insert(end(tmps), begin(atmps), end(atmps));
+        auto mdates = a.second->marketDates();
+        marketDates.insert(mdates.begin(), mdates.end());
     }
 
-    QuantExt::Date mporDate = QuantExt::Date();
-    if (laggedMarket_)
-        mporDate = inputs_->mporCalendar().advance(inputs_->asof(), inputs_->mporDays(), QuantExt::Days);
-
     // Do we need market data
     bool requireMarketData = false;
     for (const auto& tmp : tmps) {
@@ -133,7 +132,7 @@ void AnalyticsManager::runAnalytics(const std::set<std::string>& analyticTypes,
         // load the market data
         if (tmps.size() > 0) {
             LOG("AnalyticsManager::runAnalytics: populate loader");
-            marketDataLoader_->populateLoader(tmps, laggedMarket_, mporDate, inputs_->includeMporExpired());
+            marketDataLoader_->populateLoader(tmps, marketDates);
         }
         
         boost::shared_ptr<InMemoryReport> mdReport = boost::make_shared<InMemoryReport>();
diff --git a/OREAnalytics/orea/app/analyticsmanager.hpp b/OREAnalytics/orea/app/analyticsmanager.hpp
@@ -56,9 +56,6 @@ class AnalyticsManager {
     Analytic::analytic_npvcubes const npvCubes();
     Analytic::analytic_mktcubes const mktCubes();
 
-    void setLaggedMarket() { laggedMarket_ = true; }
-    void unsetLaggedMarket() { laggedMarket_ = false; }
-
     // Write all reports to files, reportNames map can be used to replace standard report names
     // with custom names
     void toFile(const Analytic::analytic_reports& reports, const std::string& outputPath,
@@ -73,7 +70,6 @@ class AnalyticsManager {
     Analytic::analytic_reports marketDataReports_;
     std::set<std::string> validAnalytics_;
     std::set<std::string> requestedAnalytics_;
-    bool laggedMarket_ = false;
 };
 
 boost::shared_ptr<AnalyticsManager> parseAnalytics(const std::string& s,
diff --git a/OREAnalytics/orea/app/inputparameters.hpp b/OREAnalytics/orea/app/inputparameters.hpp
@@ -92,7 +92,6 @@ class InputParameters {
     void setMporDays(Size s) { mporDays_ = s; }
     void setMporCalendar(const std::string& s); 
     void setMporForward(bool b) { mporForward_ = b; }
-    void setIncludeMporExpired(bool b) { includeMporExpired_ = b; }
 
     // Setters for npv analytics
     void setOutputAdditionalResults(bool b) { outputAdditionalResults_ = b; }
@@ -293,7 +292,6 @@ class InputParameters {
             return mporCalendar_;
     }
     bool mporForward() { return mporForward_; }
-    bool includeMporExpired() const { return includeMporExpired_; };
 
     /***************************
      * Getters for npv analytics
@@ -501,7 +499,6 @@ class InputParameters {
     QuantLib::Size mporDays_ = 10;
     QuantLib::Calendar mporCalendar_;
     bool mporForward_ = true;
-    bool includeMporExpired_ = true;
 
     /**************
      * NPV analytic
diff --git a/OREAnalytics/orea/app/marketcalibrationreport.cpp b/OREAnalytics/orea/app/marketcalibrationreport.cpp
@@ -47,7 +47,11 @@ void MarketCalibrationReport::populateReport(const boost::shared_ptr<ore::data::
     if (market == nullptr)
         return;
     auto t = boost::dynamic_pointer_cast<TodaysMarket>(market);
-    QL_REQUIRE(t, "MarketCalibrationReport::populateReport(): expected TodaysMarket (internal error)");
+    if (!t) {
+        DLOG(t, "MarketCalibrationReport::populateReport() expected TodaysMarket");
+        return;
+    }
+
     auto calibrationInfo = t->calibrationInfo();
     if (calibrationFilters_.mdFilterCurves) {
         // First cut at adding curves
diff --git a/OREAnalytics/orea/app/marketdatacsvloader.cpp b/OREAnalytics/orea/app/marketdatacsvloader.cpp
@@ -38,13 +38,12 @@ void MarketDataCsvLoaderImpl::loadCorporateActionData(boost::shared_ptr<ore::dat
 void MarketDataCsvLoaderImpl::retrieveMarketData(
     const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
     const map<Date, set<string>>& quotes,
-    const Date& relabelDate) {        
+    const Date& requestDate) {        
     // load csvLoader quotes and add to loader if valid
     // doesn't currently handle Lagged or Mpor Date
     if (inputs_->entireMarket()) {
-        for (const auto& md : csvLoader_->loadQuotes(inputs_->asof())) {
+        for (const auto& md : csvLoader_->loadQuotes(inputs_->asof()))
             loader->add(inputs_->asof(), md->name(), md->quote()->value());
-        }
     } else {
         for (const auto& qd : quotes) {
             auto d = qd.first;
diff --git a/OREAnalytics/orea/app/marketdatacsvloader.hpp b/OREAnalytics/orea/app/marketdatacsvloader.hpp
@@ -40,16 +40,13 @@ class MarketDataCsvLoaderImpl : public MarketDataLoaderImpl {
                                  const std::map<std::string, std::string>& equities) override;
     
     void retrieveMarketData(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
-        const ore::analytics::QuoteMap& quotes,
-        const QuantLib::Date& relabelDate = QuantExt::Null<QuantLib::Date>()) override;        
+                            const ore::analytics::QuoteMap& quotes,
+                            const QuantLib::Date& requestDate = QuantLib::Date()) override;        
     
     void retrieveFixings(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
         ore::analytics::FixingMap fixings = {},
         std::map<std::pair<std::string, QuantLib::Date>, std::set<QuantLib::Date>> lastAvailableFixingLookupMap = {}) override;
 
-    void retrieveExpiredContracts(const boost::shared_ptr<ore::data::InMemoryLoader>& loader, const QuoteMap& quotes,
-                             const Date& npvLaggedDate) override {};
-
 private:
     boost::shared_ptr<InputParameters> inputs_;
     boost::shared_ptr<ore::data::CSVLoader> csvLoader_;
diff --git a/OREAnalytics/orea/app/marketdatainmemoryloader.hpp b/OREAnalytics/orea/app/marketdatainmemoryloader.hpp
@@ -42,15 +42,12 @@ class MarketDataInMemoryLoaderImpl : public MarketDataLoaderImpl {
     
     void retrieveMarketData(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
         const ore::analytics::QuoteMap& quotes,
-        const QuantLib::Date& relabelDate = QuantExt::Null<QuantLib::Date>()) override;        
+        const QuantLib::Date& marketDate) override;        
     
     void retrieveFixings(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
         ore::analytics::FixingMap fixings = {},
         std::map<std::pair<std::string, QuantLib::Date>, std::set<QuantLib::Date>> lastAvailableFixingLookupMap = {}) override;
 
-    void retrieveExpiredContracts(const boost::shared_ptr<ore::data::InMemoryLoader>& loader, const QuoteMap& quotes,
-                             const Date& npvLaggedDate) override {};
-
 private:
     boost::shared_ptr<InputParameters> inputs_;
     std::vector<std::string> marketData_;
diff --git a/OREAnalytics/orea/app/marketdataloader.cpp b/OREAnalytics/orea/app/marketdataloader.cpp
@@ -223,8 +223,8 @@ void MarketDataLoader::populateFixings(
 }
 
 void MarketDataLoader::populateLoader(
-    const std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>>& todaysMarketParameters, bool doNPVLagged,
-    const QuantLib::Date& npvLaggedDate, bool includeMporExpired) {
+    const std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>>& todaysMarketParameters,
+    const std::set<QuantLib::Date>& loaderDates) {
 
     // create a loader if doesn't already exist
     if (!loader_)
@@ -265,6 +265,7 @@ void MarketDataLoader::populateLoader(
 
     // Get set of quotes we need
     LOG("Generating market datum set");
+    set<string> quotes;
     for (const auto& tmp : todaysMarketParameters) {
         // Find all configurations in this todaysMarket
         std::set<std::string> configurations;
@@ -273,16 +274,21 @@ void MarketDataLoader::populateLoader(
 
         for (const auto& curveConfig : inputs_->curveConfigs()) {
             auto qs = curveConfig->quotes(tmp, configurations);
-            quotes_[inputs_->asof()].insert(qs.begin(), qs.end());
+            quotes.insert(qs.begin(), qs.end());
         }
     }
-    LOG("CurveConfigs require " << quotes_.size() << " quotes");
 
-    // Get the relevant market data loader for the pricing call
-    QuantLib::Date relabelMd = doNPVLagged ? inputs_->asof() : Date();
-    impl()->retrieveMarketData(loader_, quotes_, relabelMd);
-    if (doNPVLagged && includeMporExpired)
-        impl()->retrieveExpiredContracts(loader_, quotes_, npvLaggedDate);
+    for (const auto& d : loaderDates) {
+        QuoteMap quoteMap;
+        quoteMap[d] = quotes;
+
+        LOG("CurveConfigs require " << quotes.size() << " quotes");
+
+        // Get the relevant market data loader for the pricing call
+        impl()->retrieveMarketData(loader_, quoteMap, d);
+
+        quotes_[d] = quotes;
+    }
     LOG("Got market data");
 }
 
diff --git a/OREAnalytics/orea/app/marketdataloader.hpp b/OREAnalytics/orea/app/marketdataloader.hpp
@@ -53,15 +53,12 @@ class MarketDataLoaderImpl {
 
     //! retrieve market data
     virtual void retrieveMarketData(const boost::shared_ptr<ore::data::InMemoryLoader>& loader, 
-        const QuoteMap& quotes, const QuantLib::Date& relabelDate = QuantExt::Null<QuantLib::Date>()) = 0;
+        const QuoteMap& quotes,
+                                    const QuantLib::Date& requestDate = QuantLib::Date()) = 0;
 
     //! retrieve fixings
     virtual void retrieveFixings(const boost::shared_ptr<ore::data::InMemoryLoader>& loader, FixingMap fixings = {}, 
         std::map<std::pair<std::string, QuantLib::Date>, std::set<QuantLib::Date>> lastAvailableFixingLookupMap = {}) = 0;
-
-    //! if running a lagged market we may need to load addition contracts
-    virtual void retrieveExpiredContracts(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
-                                          const QuoteMap& quotes, const Date& npvLaggedDate) = 0;
 };
 
 class MarketDataLoader {
@@ -76,7 +73,7 @@ class MarketDataLoader {
         marketdata and fixing services
     */
     void populateLoader(const std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>>& todaysMarketParameters,
-        bool doNPVLagged = false, const QuantLib::Date& npvLaggedDate = QuantLib::Date(), bool includeMporExpired = true);
+        const std::set<QuantLib::Date>& loaderDates);
 
     virtual void populateFixings(const std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>>& todaysMarketParameters);
 
diff --git a/OREAnalytics/orea/scenario/scenariogenerator.hpp b/OREAnalytics/orea/scenario/scenariogenerator.hpp
@@ -89,5 +89,20 @@ class ScenarioPathGenerator : public ScenarioGenerator {
     TimeGrid timeGrid_;
     std::vector<boost::shared_ptr<Scenario>> path_;
 };
+
+// A simple scenario generator that contains a single scenario
+class StaticScenarioGenerator : public ScenarioGenerator {
+public:
+    StaticScenarioGenerator() {}
+
+    void reset() override {}
+    boost::shared_ptr<ore::analytics::Scenario> next(const Date&) override { return s_; }
+
+    void setScenario(const boost::shared_ptr<ore::analytics::Scenario>& s) { s_ = s; }
+
+private:
+    boost::shared_ptr<ore::analytics::Scenario> s_;
+};
+
 } // namespace analytics
 } // namespace ore
