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Merge branch 'ghpr_20230907' into 'master'
GitHub PRs 20230907 Closes QPR-11732 See merge request qs/ore!55
2 parents f68745c + 800e1b8 commit a1d1f44

22 files changed

Lines changed: 52 additions & 98 deletions

‎Docs/UserGuide/allowablevalues.tex‎

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Original file line numberDiff line numberDiff line change
@@ -251,16 +251,19 @@ \subsection{Allowable Values}
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\emph{A364, Actual/364, Act/364, ACT/364}& Actual 364 \\ \hline
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\emph{Actual/365 (No Leap), Act/365 (NL), NL/365, Actual/365 (JGB)} & Actual 365 Fixed (No Leap Year)\\ \hline
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\emph{Act/365 (Canadian Bond)} & Actual 365 Fixed (Canadian Bond)\\ \hline
254-
\emph{T360, 30/360, 30/360 (Bond Basis), ACT/nACT, 30/360 US, 30U/360, 30US/360} & Thirty 360 (US) \\ \hline
254+
\emph{T360, 30/360, ACT/nACT, 30/360 US, 30/360 (US), 30U/360, 30US/360} & Thirty 360 (US) \\ \hline
255+
\emph{30/360 (Bond Basis)} & Thirty 360 (Bond Basis) \\ \hline
255256
\emph{30E/360 (Eurobond Basis), 30E/360, 30/360 AIBD (Euro), 30E/360.ICMA, 30E/360 ICMA} & Thirty 360 (European) \\ \hline
256257
\emph{30E/360E, 30E/360 ISDA, 30E/360.ISDA, 30/360 German, 30/360 (German)} & Thirty 360 (German) \\ \hline
257258
\emph{30/360 Italian, 30/360 (Italian)} & Thirty 360 (Italian) \\ \hline
258-
\emph{ActActISDA, ACT/ACT.ISDA, Actual/Actual (ISDA), ActualActual (ISDA), ACT/ACT, ACT} & Actual Actual (ISDA) \\ \hline
259+
\emph{ActActISDA, ACT/ACT.ISDA, Actual/Actual (ISDA), ActualActual (ISDA), ACT/ACT, Act/Act, ACT} & Actual Actual (ISDA) \\ \hline
259260
\emph{ActActISMA, Actual/Actual (ISMA), ActualActual (ISMA), ACT/ACT.ISMA} & Actual Actual (ISMA) \\ \hline
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\emph{ActActICMA, Actual/Actual (ICMA), ActualActual (ICMA), ACT/ACT.ICMA} & Actual Actual (ICMA) \\ \hline
261-
\emph{ActActAFB, ACT/ACT.AFB, Actual/Actual (AFB)} & Actual Actual (AFB) \\ \hline
262+
\emph{ActActAFB, ACT/ACT.AFB, Actual/Actual (AFB), ACT29} & Actual Actual (AFB) \\ \hline
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\emph{BUS/252, Business/252} & Brazilian Bus/252 \\ \hline
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\emph{1/1} & 1/1 \\ \hline
265+
\emph{Simple} & Simple Day Counter \\ \hline
266+
\emph{Year} & Year Counter \\ \hline
264267
\end{tabular}
265268
\caption{Allowable Values for DayCount Convention}
266269
\label{tab:daycount}

‎Docs/UserGuide/curve_configurations/commodity_volatilities.tex‎

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@@ -303,9 +303,12 @@ \subsubsection{Commodity Volatilities}
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\item \lstinline!PutDeltas!:
304304
A comma separated list of one or more put deltas to use in the volatility surface. Note that the put deltas should be given without a sign e.g.\ \lstinline!<PutDeltas>0.10,0.20,0.30,0.40</PutDeltas>! would be an example.
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306-
\item \lstinline!PutDeltas!:
306+
\item \lstinline!CallDeltas!:
307307
A comma separated list of one or more call deltas to use in the volatility surface.
308308

309+
\item \lstinline!Expiries!:
310+
A comma separated list of one or more expiries (e.g. 1W, 1M) to load. Supports using the single wildcard value \lstinline!*!.
311+
309312
\item \lstinline!TimeInterpolation!:
310313
Only \lstinline!Linear! is currently supported here.
311314

‎Docs/UserGuide/curve_configurations/yieldcurves.tex‎

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Original file line numberDiff line numberDiff line change
@@ -13,7 +13,7 @@ \subsubsection{Yield Curves}
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<Segments> </Segments>
1414
<InterpolationVariable> </InterpolationVariable>
1515
<InterpolationMethod> </InterpolationMethod>
16-
<ZeroDayCounter> </ZeroDayCounter>
16+
<YieldCurveDayCounter> </YieldCurveDayCounter>
1717
<Tolerance> </Tolerance>
1818
<Extrapolation> </Extrapolation>
1919
<BootstrapConfig>
@@ -40,7 +40,7 @@ \subsubsection{Yield Curves}
4040
\emph{Discount}.
4141
\item InterpolationMethod [Optional]: The interpolation method to use. The allowable values are given in Table
4242
\ref{tab:allow_interp_methods}. If the element is omitted or left blank, then it defaults to \emph{LogLinear}.
43-
\item ZeroDayCounter [Optional]: The day count basis used internally by the yield curve to calculate the time between
43+
\item YieldCurveDayCounter [Optional]: The day count basis used internally by the yield curve to calculate the time between
4444
dates. In particular, if the curve is queried for a zero rate without specifying the day count basis, the zero rate that
4545
is returned has this basis. If the element is omitted or left blank, then it defaults to \emph{A365}.
4646

‎Docs/UserGuide/tradedata/commodityapo.tex‎

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Original file line numberDiff line numberDiff line change
@@ -27,7 +27,7 @@ \subsubsection{Commodity Average Price Option}
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Allowable values: See \lstinline!Name! for commodity trades in Table \ref{tab:commodity_data}.
2929

30-
\item \lstinline!Currency!: The currency of the payoff which must be consistent with either currency of the market data set up for the commodity or the other currency specified in !lstinline!FXIndex! (see below).
30+
\item \lstinline!Currency!: The currency of the payoff which must be consistent with either currency of the market data set up for the commodity or the other currency specified in \lstinline!FXIndex! (see below).
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3232
Allowable values: See \lstinline!Currency! in Table \ref{tab:allow_stand_data}.
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‎QuantExt/qle/instruments/brlcdiswap.cpp‎

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@@ -18,7 +18,6 @@
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1919
#include <qle/instruments/brlcdiswap.hpp>
2020

21-
#include <boost/assign/list_of.hpp>
2221
#include <ql/cashflows/overnightindexedcoupon.hpp>
2322
#include <ql/cashflows/simplecashflow.hpp>
2423
#include <ql/time/daycounters/business252.hpp>
@@ -27,18 +26,15 @@
2726
#include <qle/cashflows/couponpricer.hpp>
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2928
using namespace QuantLib;
30-
using boost::assign::list_of;
3129
using std::pow;
3230
using std::vector;
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3432
namespace QuantExt {
3533

36-
// Reason for use of convert_to_container:
37-
// https://stackoverflow.com/a/17805923/1771882
3834
BRLCdiSwap::BRLCdiSwap(Type type, Real nominal, const Date& startDate, const Date& endDate, Rate fixedRate,
3935
const boost::shared_ptr<BRLCdi>& overnightIndex, Spread spread, bool telescopicValueDates)
4036
: OvernightIndexedSwap(type, nominal,
41-
Schedule(list_of(startDate)(endDate).convert_to_container<vector<Date> >(), NullCalendar(),
37+
Schedule({startDate, endDate}, NullCalendar(),
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QuantLib::Unadjusted, QuantLib::Unadjusted, 100 * Years),
4339
fixedRate, overnightIndex->dayCounter(), overnightIndex, spread, 0, ModifiedFollowing,
4440
overnightIndex->fixingCalendar(), telescopicValueDates),
@@ -68,9 +64,9 @@ Real BRLCdiSwap::fixedLegBPS() const {
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6965
calculate();
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71-
static Spread basisPoint = 1.0e-4;
67+
const Spread basisPoint = 1.0e-4;
7268
if (!close(endDiscounts_[0], 0.0) && endDiscounts_[0] != Null<DiscountFactor>()) {
73-
DiscountFactor df = endDiscounts_[0];
69+
DiscountFactor df = payer_[0] * endDiscounts_[0];
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Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
7571
legBPS_[0] = df * nominal() * (pow(1.0 + fixedRate() + basisPoint, dcf) - pow(1.0 + fixedRate(), dcf));
7672
return legBPS_[0];
@@ -84,7 +80,7 @@ Real BRLCdiSwap::fairRate() const {
8480
calculate();
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8682
if (!close(endDiscounts_[0], 0.0) && endDiscounts_[0] != Null<DiscountFactor>()) {
87-
DiscountFactor df = endDiscounts_[0];
83+
DiscountFactor df = -payer_[0] * endDiscounts_[0];
8884
Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
8985
return pow(overnightLegNPV() / (nominal() * df) + 1.0, 1.0 / dcf) - 1.0;
9086
}

‎QuantExt/qle/models/linkablecalibratedmodel.cpp‎

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@@ -19,25 +19,22 @@
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#include <ql/math/optimization/problem.hpp>
2020
#include <ql/math/optimization/projectedconstraint.hpp>
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#include <ql/math/optimization/projection.hpp>
22+
#include <ql/utilities/null_deleter.hpp>
2223
#include <qle/models/linkablecalibratedmodel.hpp>
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2425
using boost::shared_ptr;
2526
using std::vector;
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2728
namespace QuantExt {
2829

29-
namespace {
30-
void no_deletion(void*) {}
31-
} // namespace
32-
3330
LinkableCalibratedModel::LinkableCalibratedModel()
3431
: constraint_(new PrivateConstraint(arguments_)), endCriteria_(EndCriteria::None) {}
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3633
class LinkableCalibratedModel::CalibrationFunction : public CostFunction {
3734
public:
3835
CalibrationFunction(LinkableCalibratedModel* model, const vector<shared_ptr<CalibrationHelper> >& h,
3936
const vector<Real>& weights, const Projection& projection)
40-
: model_(model, no_deletion), instruments_(h), weights_(weights), projection_(projection) {}
37+
: model_(model, null_deleter()), instruments_(h), weights_(weights), projection_(projection) {}
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4239
virtual ~CalibrationFunction() {}
4340

‎QuantExt/qle/pricingengines/discountingfxforwardengine.cpp‎

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@@ -147,7 +147,7 @@ void DiscountingFxForwardEngine::calculate() const {
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148148
results_.value = (tmpPayCurrency1 ? -1.0 : 1.0) * discFar / discNear * (tmpNominal1 / fx1 - tmpNominal2 / fx2);
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150-
results_.npv = Money(arguments_.payCcy, results_.value);
150+
results_.npv = Money(settleCcy, results_.value);
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152152
results_.fairForwardRate = ExchangeRate(ccy2_, ccy1_, fxfwd);
153153
results_.additionalResults["fairForwardRate"] = fxfwd;

‎QuantExt/qle/termstructures/averageoisratehelper.cpp‎

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Original file line numberDiff line numberDiff line change
@@ -16,15 +16,12 @@
1616
FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
1717
*/
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19+
#include <ql/utilities/null_deleter.hpp>
1920
#include <qle/instruments/makeaverageois.hpp>
2021
#include <qle/termstructures/averageoisratehelper.hpp>
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2223
namespace QuantExt {
2324

24-
namespace {
25-
void no_deletion(YieldTermStructure*) {}
26-
} // namespace
27-
2825
AverageOISRateHelper::AverageOISRateHelper(const Handle<Quote>& fixedRate, const Period& spotLagTenor,
2926
const Period& swapTenor,
3027
// Fixed leg
@@ -95,7 +92,7 @@ Real AverageOISRateHelper::impliedQuote() const {
9592
void AverageOISRateHelper::setTermStructure(YieldTermStructure* t) {
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9794
bool observer = false;
98-
boost::shared_ptr<YieldTermStructure> temp(t, no_deletion);
95+
boost::shared_ptr<YieldTermStructure> temp(t, null_deleter());
9996
termStructureHandle_.linkTo(temp, observer);
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10198
if (discountHandle_.empty())

‎QuantExt/qle/termstructures/basistwoswaphelper.cpp‎

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Original file line numberDiff line numberDiff line change
@@ -19,14 +19,11 @@
1919
#include <ql/cashflows/floatingratecoupon.hpp>
2020
#include <ql/cashflows/iborcoupon.hpp>
2121
#include <ql/instruments/makevanillaswap.hpp>
22+
#include <ql/utilities/null_deleter.hpp>
2223
#include <qle/termstructures/basistwoswaphelper.hpp>
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2425
namespace QuantExt {
2526

26-
namespace {
27-
void no_deletion(YieldTermStructure*) {}
28-
} // namespace
29-
3027
BasisTwoSwapHelper::BasisTwoSwapHelper(const Handle<Quote>& spread, const Period& swapTenor, const Calendar& calendar,
3128
// Long tenor swap
3229
Frequency longFixedFrequency, BusinessDayConvention longFixedConvention,
@@ -120,7 +117,7 @@ void BasisTwoSwapHelper::setTermStructure(YieldTermStructure* t) {
120117

121118
bool observer = false;
122119

123-
boost::shared_ptr<YieldTermStructure> temp(t, no_deletion);
120+
boost::shared_ptr<YieldTermStructure> temp(t, null_deleter());
124121
termStructureHandle_.linkTo(temp, observer);
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126123
if (discountHandle_.empty())

‎QuantExt/qle/termstructures/brlcdiratehelper.cpp‎

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Original file line numberDiff line numberDiff line change
@@ -17,15 +17,12 @@
1717
*/
1818

1919
#include <ql/pricingengines/swap/discountingswapengine.hpp>
20+
#include <ql/utilities/null_deleter.hpp>
2021
#include <qle/instruments/brlcdiswap.hpp>
2122
#include <qle/termstructures/brlcdiratehelper.hpp>
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2324
using namespace QuantLib;
2425

25-
namespace {
26-
void no_deletion(YieldTermStructure*) {}
27-
} // namespace
28-
2926
namespace QuantExt {
3027

3128
BRLCdiRateHelper::BRLCdiRateHelper(const Period& swapTenor, const Handle<Quote>& fixedRate,
@@ -80,7 +77,7 @@ void BRLCdiRateHelper::initializeDates() {
8077
void BRLCdiRateHelper::setTermStructure(YieldTermStructure* t) {
8178

8279
bool observer = false;
83-
boost::shared_ptr<YieldTermStructure> temp(t, no_deletion);
80+
boost::shared_ptr<YieldTermStructure> temp(t, null_deleter());
8481
termStructureHandle_.linkTo(temp, observer);
8582

8683
if (discountHandle_.empty())
@@ -138,7 +135,7 @@ DatedBRLCdiRateHelper::DatedBRLCdiRateHelper(const Date& startDate, const Date&
138135
void DatedBRLCdiRateHelper::setTermStructure(YieldTermStructure* t) {
139136

140137
bool observer = false;
141-
boost::shared_ptr<YieldTermStructure> temp(t, no_deletion);
138+
boost::shared_ptr<YieldTermStructure> temp(t, null_deleter());
142139
termStructureHandle_.linkTo(temp, observer);
143140

144141
if (discountHandle_.empty())

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