Merge branch 'master' into bugfix/tradebuilderoverwrite

Author: Borgomi42

.github/workflows/build_windows.yaml

@@ -3,6 +3,8 @@ name: C/C++ CI Windows
 on:
   push:
     branches: [master]
+    tags:
+       - 'v*'
   release:
    types: [published]
   pull_request:
@@ -35,10 +37,20 @@ jobs:
             platform: x64
             boost-lib: 64
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: get QuantLib
       run: |
         git submodule update --init
+    - name: Set up zlib
+      run: |
+        $Url = "https://www.zlib.net/zlib131.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$env:TEMP\zlib.zip")
+        Expand-Archive -Path "$env:TEMP\zlib.zip" -DestinationPath C:\local
+        cd C:\local\zlib-1.3.1
+        mkdir build
+        cd build
+        cmake ..
+        cmake --build . --config Release
     - name: Set up Boost
       run: |
         $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-${{ matrix.boost-lib }}.exe"
@@ -52,12 +64,13 @@ jobs:
       run: |
         mkdir build
         cd build
+        SET ZLIB_ROOT=C:\local\zlib-1.3.1
         call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" ${{ matrix.arch }} -vcvars_ver=14.3 || exit 1
-        cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
+        cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_USE_ZLIB=ON -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DZLIB_LIBRARY=C:\local\zlib-1.3.1\build\Release\zlib.lib -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
         cmake --build . -j 2 --verbose
     - name: Save executables as artifacts
-      #if: startsWith(github.ref, 'refs/tags/v')
-      uses: actions/upload-artifact@v3
+      if: startsWith(github.ref, 'refs/tags/v')
+      uses: actions/upload-artifact@v4
       with:
         name: ore-windows-${{ matrix.arch }}
         path: D:\a\Engine\Engine\build\App\ore.exe

.github/workflows/linux_build.yaml

@@ -3,6 +3,8 @@ name: C/C++ CI Ubuntu
 on:
   push:
     branches: [master]
+    tags:
+       - 'v*'
   release:
    types: [published]
   pull_request:
@@ -26,7 +28,7 @@ jobs:
     name: building
     runs-on: ubuntu-22.04
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: get QuantLib
       run: |
         git submodule update --init
@@ -40,7 +42,7 @@ jobs:
       run: cd build/; pwd; cmake --build . -j $(nproc)
     - name: Save executables as artifacts
       if: startsWith(github.ref, 'refs/tags/v')
-      uses: actions/upload-artifact@v3
+      uses: actions/upload-artifact@v4
       with:
         name: ore-exe-linux
         path: /home/runner/work/Engine/Engine/build/App/ore

.github/workflows/macos_ARM64_build.yaml

@@ -3,6 +3,8 @@ name: C/C++ MacOS
 on:
   push:
     branches: [master]
+    tags:
+       - 'v*'
   release:
    types: [published]
   pull_request:
@@ -25,7 +27,7 @@ jobs:
   build:
     runs-on: macos-11
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: get QuantLib
       run: |
         git submodule update --init
@@ -45,7 +47,7 @@ jobs:
         cmake --install .
     - name: Save executables as artifacts
       if: startsWith(github.ref, 'refs/tags/v')
-      uses: actions/upload-artifact@v3
+      uses: actions/upload-artifact@v4
       with:
         name: ore-macos-arm64
         path: /Users/runner/work/Engine/Engine/build/App/ore

.gitignore

@@ -321,3 +321,4 @@ Examples/**/pricingstats.csv
 *fdb_latexmk
 *.fls
 
+.gitmodules

Docker/.env

@@ -3,7 +3,7 @@ DEBIAN_TAG=11.7
 # it's recommended to include CMAKE_BUILD_TYPE and BOOST_VARIANT in QL_TAG, ORE_TAG, BOOST_TAG
 # to distinguish a release build from a debug build
 
-QL_TAG=1.31.1_d2327d5a7135
+QL_TAG=1.31.1_0fd143ce3
 ORE_TAG=latest
 
 # debug or release

Docs/ScriptedTrade/docs/language.tex

@@ -466,7 +466,8 @@
 \item here $P_{ccy}$ is the discount factor in currency ccy, $FX$ is the FX spot from ccy to base and $N$ is the model
   numeraire
 \item $d\leq p$ must hold
-\item if $p$ lies on or before the evaluation date, the result is zero; $X$ is not evaluated in this case
+\item if $p$ lies on or before the evaluation date, the result is zero; $X$ is not evaluated in this case. 
+Note that $X$ is evaluated in the LOGPAY function if past cashflows are included, see \ref{function_logpay}.
 \item avoids reading non-relevant past fixings from the index history
 \item if $d$ lies before (but $p$ after) the evaluation date, it is set to the evaluation date, i.e. the result is
   computed as of the evaluation date
@@ -514,6 +515,9 @@
 under leg number $2$ and flow Type ``Interest''. The same holds for Payoff3, but if any amounts were booked using the
 slot parameter $3$ previously they will be overwritten with the current amount.
 
+Note: If IncludePastCashflows in the pricing engine config is set to true then even if $p$ lies on or before the
+evaluation date, a cashflow entry will be generated.
+
 % ====================================================
 \stsubsection{Function {\tt NPV, NPVMEM}}\label{function_npv}
 % ====================================================

Docs/ScriptedTrade/docs/models.tex

@@ -49,6 +49,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="TimeStepsPerYear">24</Parameter>
       <Parameter name="Interactive">false</Parameter>
       <Parameter name="BootstrapTolerance">0.1</Parameter>
+      <Parameter name="IncludePastCashflows">true</Parameter>
       <!-- product specific parameters -->
       <Parameter name="RegressionOrder_SingleAssetOption(EQ)">6</Parameter>
       <Parameter name="RegressionOrder_SingleAssetOption(FX)">6</Parameter>
@@ -136,6 +137,8 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
   only. The moneyness is defined as a ``standardised moneyness'' $\ln(K/F) / \sigma\sqrt{t}$ with $K$ strike, $F$ ATMF
   forward, $\sigma$ ATMF market vol, $t$ option time to expiry
 \item BootstrapTolerance: tolerance for calibration bootstrap, only applies to model = GaussianCam
+\item IncludePastCashflows: if true, LOGPAY() will generate cashflow information for pay dates on or before the
+  reference date. Optional, defaults to false.
 \item Interactive: If true an interactive session is started on script execution for debugging purposes; should be false
   except for debugging purposes
 \item UseAD: If true and RunType in the global pricing engine parameters is SensitivityDelta, a first order pnl

Docs/UserGuide/curve_configurations/yieldcurves.tex

@@ -457,7 +457,7 @@ \subsubsection*{Fitted Bond Segment}
           </Quotes>
           <!-- mapping of Ibor curves used in the bonds from which the curve is built -->
           <IborIndexCurves>
-            <IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR-EURIBOR-6M</IborIndexCurve>
+            <IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR6M</IborIndexCurve>
           </IborIndexCurves>
           <!-- flat extrapolation before first and after last bond maturity -->
           <ExtrapolateFlat>true</ExtrapolateFlat>

Docs/UserGuide/marketdata.tex

@@ -1443,6 +1443,31 @@ \subsection{Bond Yield Spreads}
 	\item BOND/YIELD\_SPREAD/SECURITY\_1
 \end{itemize}
 
+%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
+\subsection{Bond Prices}
+%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
+
+\begin{table}[H]
+\centering
+  \begin{tabular}{|p{3cm}|p{3.5cm}|p{7cm}|}
+  \hline
+  {\bf Property} & {\bf Allowable values} & {\bf Description} \\ \hline
+    Instrument Type & \emph{BOND} & \\ \hline
+    Quote Type & \emph{PRICE} & \\ \hline
+    Name & String & Identifying name of the bond \\ \hline
+  \end{tabular}
+  \caption{Bond Prices}
+  \label{tab:bondprice_quote}
+\end{table}
+
+This quote provides the clean price for a specified bond in units.
+
+\medskip
+Examples:
+\begin{itemize}
+	\item BOND/PRICE/SECURITY\_1
+\end{itemize}
+
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
 \subsection{Base Correlations}
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -