git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "920aa547a9"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "c3289af6f4"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

.github/workflows/build_windows.yaml

@@ -0,0 +1,46 @@
+name: C/C++ CI Windows
+
+on:
+  push:
+    branches: [master]
+  pull_request:
+    branches: [master]
+    types: [ready_for_review, opened, synchronize, reopened]
+    paths:
+      - .github/workflows/linux_build.yaml
+      - ./App/**
+      - ./OREAnalytics/**
+      - '!./OREAnalytics/doc/**'
+      - ./OREData/**
+      - '!./OREData/doc/**'
+      - ./ORETest/**
+      - ./QuantExt/**
+      - '!./QuantExt/doc/**'
+      - CMakeLists.txt
+  workflow_dispatch:
+
+jobs:
+  build:
+    name: building
+    runs-on: windows-2022
+    steps:
+    - uses: actions/checkout@v3
+    - name: get QuantLib
+      run: |
+        git submodule update --init
+    - name: Set up Boost
+      run: |
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-64.exe"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$env:TEMP\boost.exe")
+        Start-Process -Wait -FilePath "$env:TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
+        choco install -y ninja
+    - name: cmake configure and build
+      env:
+        BOOST_ROOT: C:\local\boost
+      shell: cmd
+      run: |
+        mkdir build
+        cd build
+        call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" amd64 -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 --build . -j 2 --verbose

.github/workflows/linux_build.yaml

@@ -1,10 +1,10 @@
-name: C/C++ CI
+name: C/C++ CI Ubuntu
 
 on:
   push:
-    branches: master
+    branches: [master]
   pull_request:
-    branches: master
+    branches: [master]
     types: [ready_for_review, opened, synchronize, reopened]
     paths:
       - .github/workflows/linux_build.yaml

.gitmodules

@@ -1,5 +1,5 @@
 [submodule "QuantLib"]
 	path = QuantLib
-	url = https://github.com/OpenSourceRisk/QuantLib.git
+	url = git@gitlab.acadiasoft.net:qs/quantlib.git
 	branch = master
 	ignore = dirty

CMakePresets.json

@@ -158,6 +158,26 @@
         "QL_BUILD_TEST_SUITE": false,
         "QL_BUILD_BENCHMARK": false,
         "QL_ENABLE_SESSIONS": true,
+        "ORE_BUILD_DOC": false,
+        "BUILD_SHARED_LIBS": false
+      },
+      "condition": {
+        "type": "equals",
+        "lhs": "${hostSystemName}",
+        "rhs": "Linux"
+      }
+    },
+    {
+      "name": "linux-clang-base",
+      "hidden": true,
+      "binaryDir": "${sourceDir}/build/${presetName}",
+      "cacheVariables": {
+        "CMAKE_CXX_COMPILER": "clang++",
+        "BOOST_ROOT": "$env{BOOST}",
+        "QL_BUILD_EXAMPLES": false,
+        "QL_BUILD_TEST_SUITE": false,
+        "QL_BUILD_BENCHMARK": false,
+        "QL_ENABLE_SESSIONS": true,
         "ORE_BUILD_DOC": false
       },
       "condition": {
@@ -192,6 +212,11 @@
       "hidden": true,
       "generator": "Ninja"
     },
+    {
+      "name": "_make",
+      "hidden": true,
+      "generator": "Unix Makefiles"
+    },
     {
       "name": "linux-gcc-ninja-debug",
       "inherits": [
@@ -215,6 +240,54 @@
         "_ninja",
         "_relwithdebinfo"
       ]
+    },
+    {
+      "name": "linux-clang-debug",
+      "inherits": [
+        "linux-clang-base",
+        "_make",
+        "_debug"
+      ]
+    },
+    {
+      "name": "linux-clang-release",
+      "inherits": [
+        "linux-clang-base",
+        "_make",
+        "_release"
+      ]
+    },
+    {
+      "name": "linux-clang-relwithdebinfo",
+      "inherits": [
+        "linux-clang-base",
+        "_make",
+        "_relwithdebinfo"
+      ]
+    },
+    {
+      "name": "linux-clang-ninja-debug",
+      "inherits": [
+        "linux-clang-base",
+        "_ninja",
+        "_debug"
+      ]
+    },
+    {
+      "name": "linux-clang-ninja-release",
+      "inherits": [
+        "linux-clang-base",
+        "_ninja",
+        "_release"
+      ]
+    },
+    {
+      "name": "linux-clang-ninja-relwithdebinfo",
+      "inherits": [
+        "linux-clang-base",
+        "_ninja",
+        "_relwithdebinfo"
+      ]
     }
   ],
   "buildPresets": [

Docs/UserGuide/curve_configurations/yieldcurves.tex

@@ -128,6 +128,11 @@ \subsubsection*{Direct Segment}
 or discount factor. The \lstinline!Conventions! node contains the ID of a node in the {\tt conventions.xml} file
 described in section \ref{sec:conventions}. The \lstinline!Conventions! node associates conventions with the quotes.
 
+For \emph{Discount} type segments, the quotes can be given using a wildcard. Any valid and matching quotes will then be loaded from the provided market data. An example wildcard is:
+\begin{itemize}
+  \item {DISCOUNT/RATE/EUR/EUR3M/*}
+\end{itemize}
+
 \begin{listing}[H]
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}

Docs/UserGuide/marketdata.tex

@@ -144,7 +144,7 @@ \subsection{Discount Factor}\label{ss:discount_rate}
 Examples with a Term and with a DiscountDate:
 \begin{itemize}
 \item {DISCOUNT/RATE/EUR/EUR3M/3Y}
-\item {DISCOUNT/RATE/EUR/EUR3M/A365F/12-05-2018}
+\item {DISCOUNT/RATE/EUR/EUR3M/12-05-2018}
 \end{itemize}
 
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

OREAnalytics/test/CMakeLists.txt

@@ -37,4 +37,5 @@ add_test(NAME orea-test-suite WORKING_DIRECTORY ${CMAKE_CURRENT_LIST_DIR} COMMAN
 install(TARGETS orea-test-suite
         RUNTIME DESTINATION bin
         PERMISSIONS OWNER_READ OWNER_WRITE OWNER_EXECUTE GROUP_READ GROUP_EXECUTE WORLD_READ WORLD_EXECUTE
+        OPTIONAL
         )

OREData/ored/marketdata/yieldcurve.cpp

@@ -1062,39 +1062,70 @@ void YieldCurve::buildDiscountCurve() {
     boost::shared_ptr<Conventions> conventions = InstrumentConventions::instance().conventions();
     boost::shared_ptr<Convention> convention;
 
-    for (Size i = 0; i < discountQuoteIDs.size(); ++i) {
-        boost::shared_ptr<MarketDatum> marketQuote = loader_.get(discountQuoteIDs[i], asofDate_);
-        if (marketQuote) {
-            QL_REQUIRE(marketQuote->instrumentType() == MarketDatum::InstrumentType::DISCOUNT,
-                       "Market quote not of type Discount.");
-            boost::shared_ptr<DiscountQuote> discountQuote = boost::dynamic_pointer_cast<DiscountQuote>(marketQuote);
+    vector<string> quotes;
+    quotes.reserve(discountQuoteIDs.size()); // Reserve space for efficiency
 
-            if(discountQuote->date() != Date()){
+    std::transform(discountQuoteIDs.begin(), discountQuoteIDs.end(), std::back_inserter(quotes),
+                   [](const std::pair<string, bool>& pair) {
+                       return pair.first; // Extract only the quote part
+                   });
 
-                data[discountQuote->date()] = discountQuote->quote()->value();
+    auto wildcard = getUniqueWildcard(quotes);
 
-            } else if (discountQuote->tenor() != Period()){
+    std::set<boost::shared_ptr<MarketDatum>> marketData;
+    if (wildcard) {
+        marketData = loader_.get(*wildcard, asofDate_);
+    } else {
+        std::ostringstream ss;
+        ss << MarketDatum::InstrumentType::DISCOUNT << "/" << MarketDatum::QuoteType::RATE << "/" << currency_ << "/*";
+        Wildcard w(ss.str());
+        marketData = loader_.get(w, asofDate_);
+    }
+
+    for (const auto& marketQuote : marketData) {
+        QL_REQUIRE(marketQuote->instrumentType() == MarketDatum::InstrumentType::DISCOUNT,
+                    "Market quote not of type Discount.");
+        boost::shared_ptr<DiscountQuote> discountQuote = boost::dynamic_pointer_cast<DiscountQuote>(marketQuote);
+
+        // filtering
+        if (!wildcard) {
+            vector<string>::const_iterator it = find(quotes.begin(), quotes.end(), discountQuote->name());
+            if (it == quotes.end())
+                continue;
+        }
 
-                if(!convention)
-                    convention = conventions->get(discountCurveSegment->conventionsID());
-                boost::shared_ptr<ZeroRateConvention> zeroConvention = boost::dynamic_pointer_cast<ZeroRateConvention>(convention);
-                QL_REQUIRE(zeroConvention, "could not cast to ZeroRateConvention");
+        if (discountQuote->date() != Date()) {
 
-                Calendar cal = zeroConvention->tenorCalendar();
-                BusinessDayConvention rollConvention = zeroConvention->rollConvention();
-                Date date = cal.adjust(cal.adjust(asofDate_, rollConvention) + discountQuote->tenor(), rollConvention);
-                DLOG("YieldCurve::buildDiscountCurve - tenor " << discountQuote->tenor() << " to date " << io::iso_date(date));
-                data[date] = discountQuote->quote()->value();
+            data[discountQuote->date()] = discountQuote->quote()->value();
 
-            } else {
-                QL_FAIL("YieldCurve::buildDiscountCurve - neither date nor tenor recognised");
-            }
+        } else if (discountQuote->tenor() != Period()) {
 
+            if (!convention)
+                convention = conventions->get(discountCurveSegment->conventionsID());
+            boost::shared_ptr<ZeroRateConvention> zeroConvention =
+                boost::dynamic_pointer_cast<ZeroRateConvention>(convention);
+            QL_REQUIRE(zeroConvention, "could not cast to ZeroRateConvention");
+
+            Calendar cal = zeroConvention->tenorCalendar();
+            BusinessDayConvention rollConvention = zeroConvention->rollConvention();
+            Date date = cal.adjust(cal.adjust(asofDate_, rollConvention) + discountQuote->tenor(), rollConvention);
+            DLOG("YieldCurve::buildDiscountCurve - tenor " << discountQuote->tenor() << " to date "
+                                                            << io::iso_date(date));
+            data[date] = discountQuote->quote()->value();
+
+        } else {
+            QL_FAIL("YieldCurve::buildDiscountCurve - neither date nor tenor recognised");
         }
     }
 
+    // Some logging and checks
     QL_REQUIRE(data.size() > 0, "No market data found for curve spec " << curveSpec_.name() << " with as of date "
                                                                        << io::iso_date(asofDate_));
+    if (!wildcard) {
+        QL_REQUIRE(data.size() == quotes.size(), "Found " << data.size() << " quotes, but "
+                                                          << quotes.size()
+                                                          << " quotes given in config " << curveConfig_->curveID());
+    }
 
     if (data.begin()->first > asofDate_) {
         DLOG("Insert discount curve point at time zero for " << curveSpec_.name());

OREData/test/CMakeLists.txt

@@ -86,4 +86,5 @@ add_test(NAME ored-test-suite WORKING_DIRECTORY ${CMAKE_CURRENT_LIST_DIR} COMMAN
 install(TARGETS ored-test-suite
         RUNTIME DESTINATION bin
         PERMISSIONS OWNER_READ OWNER_WRITE OWNER_EXECUTE GROUP_READ GROUP_EXECUTE WORLD_READ WORLD_EXECUTE
+        OPTIONAL
         )

OREData/test/yieldcurve.cpp

@@ -246,6 +246,75 @@ BOOST_AUTO_TEST_CASE(testBootstrapAndFixings) {
     BOOST_CHECK_NO_THROW(YieldCurve jpyYieldCurve(asof, spec, curveConfigs, loader));
 }
 
+BOOST_AUTO_TEST_CASE(testBuildDiscountCurveDirectSegment) {
+
+    Date asof(13, October, 2023);
+    Settings::instance().evaluationDate() = asof;
+
+    YieldCurveSpec spec("EUR", "EUR-CURVE");
+
+    CurveConfigurations curveConfigs;
+
+    vector<string> quotes;
+    quotes.emplace_back("DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-14");
+    quotes.emplace_back("DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-15");
+
+    vector<boost::shared_ptr<YieldCurveSegment>> segments{boost::make_shared<DirectYieldCurveSegment>(
+        "Discount", "", quotes)};
+
+    boost::shared_ptr<YieldCurveConfig> yCConfig =
+        boost::make_shared<YieldCurveConfig>("EUR-CURVE", "ORE YieldCurve built from EUR-CURVE", "EUR", "", segments);
+    curveConfigs.add(CurveSpec::CurveType::Yield, "EUR-CURVE", yCConfig);
+
+    vector<string> data{"2023-10-12 DISCOUNT/RATE/SEK/STINA-CURVE/2023-10-13 0.77",
+                        "2023-10-12 DISCOUNT/RATE/EUR/EUR-ANOTHER-CURVE/2023-10-13 0.95",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-ANOTHER-CURVE/2023-10-14 0.95",
+                        "2023-10-12 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-12 0.88",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-13 1.0",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-14 0.99",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-15 0.98",
+                        "2023-10-13 COMMODITY_FWD/PRICE/GOLD/USD/2023-10-31 1158.8",
+                        "2023-10-13 COMMODITY_FWD/PRICE/GOLD/USD/2023-11-01 1160.9",
+                        "2023-10-13 COMMODITY_FWD/PRICE/GOLD/USD/2023-11-02 1163.4"};
+    MarketDataLoader loader(data);
+
+    BOOST_CHECK_NO_THROW(YieldCurve yieldCurve(asof, spec, curveConfigs, loader));
+}
+
+BOOST_AUTO_TEST_CASE(testBuildDiscountCurveDirectSegmentWildcard) {
+
+    Date asof(13, October, 2023);
+    Settings::instance().evaluationDate() = asof;
+
+    YieldCurveSpec spec("EUR", "EUR-CURVE");
+
+    CurveConfigurations curveConfigs;
+
+    vector<string> quotes;
+    quotes.emplace_back("DISCOUNT/RATE/EUR/EUR-CURVE/*");
+
+    vector<boost::shared_ptr<YieldCurveSegment>> segments{
+        boost::make_shared<DirectYieldCurveSegment>("Discount", "", quotes)};
+
+    boost::shared_ptr<YieldCurveConfig> yCConfig = boost::make_shared<YieldCurveConfig>(
+        "EUR-CURVE", "ORE YieldCurve built from EUR-CURVE", "EUR", "", segments);
+    curveConfigs.add(CurveSpec::CurveType::Yield, "EUR-CURVE", yCConfig);
+
+    vector<string> data{"2023-10-12 DISCOUNT/RATE/SEK/STINA-CURVE/2023-10-13 0.77",
+                        "2023-10-12 DISCOUNT/RATE/EUR/EUR-ANOTHER-CURVE/2023-10-13 0.95",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-ANOTHER-CURVE/2023-10-14 0.95",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-13 1.0",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-14 0.99",
+                        "2023-10-13 DISCOUNT/RATE/EUR/EUR-CURVE/2023-10-15 0.98",
+                        "2023-10-13 EQUITY_FWD/PRICE/SP5/USD/1Y 1500.00",
+                        "2023-10-13 EQUITY_FWD/PRICE/SP5/USD/20231014 1500.00",
+                        "2023-10-13 EQUITY_DIVIDEND/RATE/SP5/USD/20231015 0.00",
+                        "2023-10-13 EQUITY_DIVIDEND/RATE/SP5/USD/2Y 0.00"};
+    MarketDataLoader loader(data);
+
+    BOOST_CHECK_NO_THROW(YieldCurve yieldCurve(asof, spec, curveConfigs, loader));
+}
+
 // Test ARS-IN-USD failures using the old QuantLib::IterativeBootstrap parameters
 BOOST_DATA_TEST_CASE(testBootstrapARSinUSDFailures, bdata::make(curveConfigFiles), curveConfigFile) {