git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "c3f5db2f47"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "9bb1303269"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docker/.env

@@ -5,8 +5,6 @@ DEBIAN_TAG=11.7
 
 QL_TAG=1.31.1_d2327d5a7135
 ORE_TAG=latest
-BOOST_TAG=1.78.0
-BOOST_DIR=1_78_0
 
 # debug or release
 

Docs/UserGuide/userguide.tex

@@ -6000,6 +6000,7 @@ \subsection{Sensitivity Analysis: {\tt sensitivity.xml}}\label{sec:sensitivity}
 \item {\tt ShiftType:} Both absolute or relative shifts can be used to compute a sensitivity, specified by the key words
   {\tt Absolute} resp. {\tt Relative}.
 \item {\tt ShiftSize:} The size of the shift to apply.
+\item {\tt ShiftScheme:} The finite difference scheme to use ({\tt Forward}, {\tt Backward}, {\tt Central}), if not given, this parameter defaults to {\tt Forward}
 \item {\tt ShiftTenors:} For curves, the tenor buckets to apply shifts to, given as a comma separated list of periods.
 \item {\tt ShiftExpiries:} For volatility surfaces, the option expiry buckets to apply shifts to, given as a comma
   separated list of periods.
@@ -6012,6 +6013,53 @@ \subsection{Sensitivity Analysis: {\tt sensitivity.xml}}\label{sec:sensitivity}
 \item {\tt CurveType:} In the context of Yield Curves used to identify an equity ``risk free'' rate forecasting curve; set to {\tt EquityForecast} in this case
 \end{itemize}
 
+The ShiftType, ShiftSize, ShiftScheme nodes take an optional attribute key that allows to configure different values for
+different sensitivity templates. The sensitivity templates are defined in the pricing engine configuration. This is best
+explained by an example: In Example 15 the product type BermudanSwaption has a sensitivity template \verb+IR_FD+
+attached, see \ref{lst:sensi_template}. This can be used to specify different shifts for trades that were built against
+this engine configuration, see \ref{lst:sensi_config_template}: For Bermudan swaptions a larger shift size of 10bp and a
+central difference scheme is used to compute discount curve sensitivities in EUR. Since no separate shift type is
+specified, the default shift type {\tt Absolute} is used. Note regarding the reports:
+
+\begin{itemize}
+\item the sensi scenario report contains scenario NPVs related to the possibly product specific configured shift sizes
+\item the sensi report contains renormalized sensitivities, i.e. sensitivities are always expressed w.r.t. the default shift sizes
+\item the sensi config report only contains the default configuration
+\end{itemize}
+
+\begin{longlisting}
+\begin{minted}[fontsize=\scriptsize]{xml}
+  <Product type="BermudanSwaption">
+    <Model>LGM</Model>
+    <ModelParameters>
+      ...
+    </ModelParameters>
+    <Engine>Grid</Engine>
+    <EngineParameters>
+      ...
+      <Parameter name="SensitivityTemplate">IR_FD</Parameter>
+    </EngineParameters>
+  </Product>
+\end{minted}
+\caption{Sensitivity template definition}
+\label{lst:sensi_template}
+\end{longlisting}
+
+\begin{longlisting}
+\begin{minted}[fontsize=\scriptsize]{xml}
+    <DiscountCurve ccy="EUR">
+      <ShiftType>Absolute</ShiftType>
+      <ShiftSize>0.0001</ShiftSize>
+      <ShiftScheme>Forward</ShiftScheme>
+      <ShiftSize key="IR_FD">0.001</ShiftSize>
+      <ShiftScheme key="IR_FD">Central</ShiftScheme>
+      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
+    </DiscountCurve>
+\end{minted}
+\caption{Sensitivity template definition}
+\label{lst:lst:sensi_config_template}
+\end{longlisting}
+
 The cross gamma filter section contains a list of pairs of sensitivity keys. For each possible pair of sensitivity keys
 matching the given strings, a cross gamma sensitivity is computed. The given pair of keys can be (and usually are)
 shorter than the actual sensitivity keys. In this case only the prefix of the actual key is matched. For example, the

Examples/Example_15/ExpectedOutput/flows.csv

@@ -1,11 +1,11 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3140651.967156,EUR,-3140651.967156,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
+BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3115851.065563,EUR,-3115851.065563,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
 BOND,Bond,2021-02-03,4.994783,12902649.282760,EUR,12902649.282760,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
 Bond_Floating,Bond,2021-02-03,4.994783,10765048.489931,EUR,10765048.489931,EUR,10000000.00,EUR,10000000.00,,CPTY_C
 CAP_EUR,CapFloor,2026-02-09,10.011221,-6881.951398,EUR,-6881.951398,EUR,1000000.00,EUR,1000000.00,CPTY_A,CPTY_A
 CAP_USD,CapFloor,2026-02-09,10.011221,-14245.033135,USD,-12580.206366,EUR,1000000.00,USD,883129.32,CPTY_A,CPTY_A
 CC_SWAP_EUR_USD,Swap,2026-02-05,10.000262,-23643219.533172,USD,-20880020.288282,EUR,100000000.00,USD,88312931.57,CPTY_A,CPTY_A
-CC_SWAP_EUR_USD_RESET,Swap,2026-02-05,10.000262,-22174553.893030,USD,-19582998.606448,EUR,100000000.00,USD,88312931.57,CPTY_A,CPTY_A
+CC_SWAP_EUR_USD_RESET,Swap,2026-02-05,10.000262,-22174553.893030,USD,-19582998.606449,EUR,100000000.00,USD,88312931.57,CPTY_A,CPTY_A
 CDS,CreditDefaultSwap,2026-03-20,10.118070,805.422071,USD,711.291842,EUR,10000000.00,USD,8831293.16,CPTY_B,CPTY_B
 CPI_Swap,Swap,2021-07-19,5.449577,829612.548929,GBP,1021768.347989,EUR,10000000.00,GBP,12316211.34,CPTY_A,CPTY_A
 EQ_CALL_LUFT,EquityOption,2018-03-01,2.066015,1872.588407,EUR,1872.588407,EUR,9486.00,EUR,9486.00,CPTY_A,CPTY_A