QPR-11462 -- Remove handling of multiple SIMM result/calc ccys to handle PnL conversion more easily, and since we do not use this in SIMM BT at the moment (and it is incomplete anyway, so is meaningless for the BT).

Author: NathanielVolfango

OREAnalytics/orea/engine/marketriskbacktest.cpp

@@ -370,7 +370,7 @@ void MarketRiskBacktest::reset(const QuantLib::ext::shared_ptr<MarketRiskGroup>&
 
 void MarketRiskBacktest::addPnlRow(const QuantLib::ext::shared_ptr<BacktestReports>& reports, Size scenarioIdx, 
     bool isCall, const RiskFactorKey& key_1, Real shift_1, Real delta, Real gamma, Real deltaPnl, Real gammaPnl, 
-    const RiskFactorKey& key_2, Real shift_2, const string& tradeId) {
+    const RiskFactorKey& key_2, Real shift_2, const string& tradeId, const string& currency, Real fxSpot) {
 
     // Do we have a report to write to?
     // Is this too slow to do on every call to addPnlRow? Need to find the report each time in any case.
@@ -401,9 +401,9 @@ void MarketRiskBacktest::addPnlRow(const QuantLib::ext::shared_ptr<BacktestRepor
         .add(gamma)
         .add(shift_1)
         .add(shift_2)
-        .add(deltaPnl)
-        .add(gammaPnl)
-        .add(calculationCurrency_);
+        .add(currency.empty() || currency == calculationCurrency_ ? deltaPnl : deltaPnl / fxSpot)
+        .add(currency.empty() || currency == calculationCurrency_ ? gammaPnl : gammaPnl / fxSpot)
+        .add(currency.empty() ? calculationCurrency_ : currency);
 }
 
 void BacktestPNLCalculator::writePNL(Size scenarioIdx, bool isCall, const RiskFactorKey& key_1, Real shift_1,

OREAnalytics/orea/engine/marketriskbacktest.hpp

@@ -142,10 +142,11 @@ class MarketRiskBacktest : public ore::analytics::MarketRiskReport {
 
     //! Add a row to the P&L contribution report
     virtual void addPnlRow(const QuantLib::ext::shared_ptr<BacktestReports>& reports, QuantLib::Size scenarioIdx,
-                           bool isCall, 
-        const ore::analytics::RiskFactorKey& key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, 
-        QuantLib::Real deltaPnl, QuantLib::Real gammaPnl, const ore::analytics::RiskFactorKey& key_2 = ore::analytics::RiskFactorKey(),
-        QuantLib::Real shift_2 = 0.0, const std::string& tradeId = "");
+                           bool isCall, const ore::analytics::RiskFactorKey& key_1, QuantLib::Real shift_1,
+                           QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, QuantLib::Real gammaPnl,
+                           const ore::analytics::RiskFactorKey& key_2 = ore::analytics::RiskFactorKey(),
+                           QuantLib::Real shift_2 = 0.0, const std::string& tradeId = "",
+                           const std::string& currency = "", QuantLib::Real fxSpot = 1.0);
 
 protected:
     std::unique_ptr<BacktestArgs> btArgs_;