QPR-10041 bwd compatible add results report

Author: pcaspers

OREData/ored/scripting/models/blackscholes.cpp

@@ -156,7 +156,7 @@ void BlackScholes::generatePaths() const {
                            drift, sqrtCov);
     }
 
-    setAdditionalResults();
+    setAdditionalResults(false);
 } // generatePathsBs()
 
 void BlackScholes::populatePathValues(const Size nSamples, std::map<Date, std::vector<RandomVariable>>& paths,

OREData/ored/scripting/models/blackscholeslocalvolbase.cpp

@@ -113,24 +113,26 @@ void BlackScholesLocalVolBase::performCalculationsFd(const bool localVol) const
 
     // 6 set additional results
 
-    setAdditionalResults();
+    setAdditionalResults(localVol);
 }
 
-void BlackScholesLocalVolBase::setAdditionalResults() const {
+void BlackScholesLocalVolBase::setAdditionalResults(const bool localVol) const {
+
+    std::string label = localVol ? "LocalVol" : "BlackScholes";
 
     Matrix correlation = getCorrelation();
 
     for (Size i = 0; i < indices_.size(); ++i) {
         for (Size j = 0; j < i; ++j) {
-            additionalResults_["BlackScholes.Correlation_" + indices_[i].name() + "_" + indices_[j].name()] =
+            additionalResults_[label + ".Correlation_" + indices_[i].name() + "_" + indices_[j].name()] =
                 correlation(i, j);
         }
     }
 
     std::vector<Real> calibrationStrikes = getCalibrationStrikes();
 
     for (Size i = 0; i < calibrationStrikes.size(); ++i) {
-        additionalResults_["BlackScholesLocalVolBase.CalibrationStrike_" + indices_[i].name()] =
+        additionalResults_[label + ".CalibrationStrike_" + indices_[i].name()] =
             (calibrationStrikes[i] == Null<Real>() ? "ATMF" : std::to_string(calibrationStrikes[i]));
     }
 
@@ -143,11 +145,10 @@ void BlackScholesLocalVolBase::setAdditionalResults() const {
                 Real volatility = model_->generalizedBlackScholesProcesses()[i]->blackVolatility()->blackVol(
                     t, (calibrationStrikes.empty() || calibrationStrikes[i] == Null<Real>()) ? forward
                                                                                              : calibrationStrikes[i]);
-                additionalResults_["BlackScholesLocalVolBase.Volatility_" + indices_[i].name() + "_" +
-                                   ore::data::to_string(d)] = volatility;
+                additionalResults_[label + ".Volatility_" + indices_[i].name() + "_" + ore::data::to_string(d)] =
+                    volatility;
             }
-            additionalResults_["BlackScholesLocalVolBase.Forward_" + indices_[i].name() + "_" +
-                               ore::data::to_string(d)] = forward;
+            additionalResults_[label + ".Forward_" + indices_[i].name() + "_" + ore::data::to_string(d)] = forward;
             ++timeStep;
         }
     }

OREData/ored/scripting/models/blackscholeslocalvolbase.hpp

@@ -41,7 +41,7 @@ class BlackScholesLocalVolBase : public AssetModel {
     Real compoundingFactor(const Size indexNo, const Date& d1, const Date& d2) const override;
 
     void performCalculationsFd(const bool localVol) const;
-    void setAdditionalResults() const;
+    void setAdditionalResults(const bool localVol) const;
 };
 
 } // namespace data

OREData/ored/scripting/models/localvol.cpp

@@ -107,7 +107,7 @@ void LocalVol::generatePaths() const {
                              correlation, sqrtCorr, deterministicDrift, eqComIdx, t, dt, sqrtdt);
     }
 
-    setAdditionalResults();
+    setAdditionalResults(true);
 } // generatePathsLv()
 
 void LocalVol::populatePathValuesLv(const Size nSamples, std::map<Date, std::vector<RandomVariable>>& paths,