QPR-11925 -- Update comparison config for IMSchedule detail report, and add some util methods for handling regs

Author: NathanielVolfango

OREAnalytics/orea/simm/simmcalculator.cpp

@@ -111,10 +111,8 @@ SimmCalculator::SimmCalculator(const SimmNetSensitivities& simmNetSensitivities,
     if (!quiet_) {
         LOG("SimmCalculator: Splitting up original CRIF records into their respective collect/post regulations");
     }
-    for (const CrifRecord& crifRecord : simmNetSensitivities_) {
-        addCrifRecord(crifRecord, SimmSide::Call, enforceIMRegulations);
-        addCrifRecord(crifRecord, SimmSide::Post, enforceIMRegulations);
-    }
+    for (const CrifRecord& crifRecord : simmNetSensitivities_)
+        addCrifRecord(crifRecord, enforceIMRegulations);
 
     // Some additional processing depending on the regulations applicable to each netting set
     for (auto& sv : regSensitivities_) {
@@ -1657,34 +1655,34 @@ void SimmCalculator::add(const NettingSetDetails& nettingSetDetails, const strin
         add(nettingSetDetails, regulation, pc, rc, mt, kv.first, kv.second, side, overwrite);
 }
 
-void SimmCalculator::addCrifRecord(const CrifRecord& crifRecord, const SimmSide& side,
-                                   const bool enforceIMRegulations) {
-
-    const NettingSetDetails& nettingSetDetails = crifRecord.nettingSetDetails;
-
-    bool collectRegsIsEmpty = false;
-    bool postRegsIsEmpty = false;
-    if (collectRegsIsEmpty_.find(crifRecord.nettingSetDetails) != collectRegsIsEmpty_.end())
-        collectRegsIsEmpty = collectRegsIsEmpty_.at(crifRecord.nettingSetDetails);
-    if (postRegsIsEmpty_.find(crifRecord.nettingSetDetails) != postRegsIsEmpty_.end())
-        postRegsIsEmpty = postRegsIsEmpty_.at(crifRecord.nettingSetDetails);
-
-    string regsString;
-    if (enforceIMRegulations)
-        regsString = side == SimmSide::Call ? crifRecord.collectRegulations : crifRecord.postRegulations;
-    set<string> regs = parseRegulationString(regsString);
-
-    auto newCrifRecord = crifRecord;
-    newCrifRecord.collectRegulations.clear();
-    newCrifRecord.postRegulations.clear();
-    for (const string& r : regs)
-        if (r == "Excluded" ||
-            (r == "Unspecified" && enforceIMRegulations && !(collectRegsIsEmpty && postRegsIsEmpty))) {
-            continue;
-        } else if (r != "Excluded") {
-            // Keep a record of trade IDs for each regulation
-            if (!newCrifRecord.isSimmParameter())
-                tradeIds_[side][nettingSetDetails][r].insert(newCrifRecord.tradeId);
+void SimmCalculator::addCrifRecord(const CrifRecord& crifRecord, const bool enforceIMRegulations) {
+
+    for (const auto& side : {SimmSide::Call, SimmSide::Post}) {
+        const NettingSetDetails& nettingSetDetails = crifRecord.nettingSetDetails;
+
+        bool collectRegsIsEmpty = false;
+        bool postRegsIsEmpty = false;
+        if (collectRegsIsEmpty_.find(crifRecord.nettingSetDetails) != collectRegsIsEmpty_.end())
+            collectRegsIsEmpty = collectRegsIsEmpty_.at(crifRecord.nettingSetDetails);
+        if (postRegsIsEmpty_.find(crifRecord.nettingSetDetails) != postRegsIsEmpty_.end())
+            postRegsIsEmpty = postRegsIsEmpty_.at(crifRecord.nettingSetDetails);
+
+        string regsString;
+        if (enforceIMRegulations)
+            regsString = side == SimmSide::Call ? crifRecord.collectRegulations : crifRecord.postRegulations;
+        set<string> regs = parseRegulationString(regsString);
+
+        auto newCrifRecord = crifRecord;
+        newCrifRecord.collectRegulations.clear();
+        newCrifRecord.postRegulations.clear();
+        for (const string& r : regs)
+            if (r == "Excluded" ||
+                (r == "Unspecified" && enforceIMRegulations && !(collectRegsIsEmpty && postRegsIsEmpty))) {
+                continue;
+            } else if (r != "Excluded") {
+                // Keep a record of trade IDs for each regulation
+                if (!newCrifRecord.isSimmParameter())
+                    tradeIds_[side][nettingSetDetails][r].insert(newCrifRecord.tradeId);
 
             // Add CRIF record to the appropriate regulations
             if (regSensitivities_[side][nettingSetDetails][r] == nullptr) {
@@ -1693,12 +1691,13 @@ void SimmCalculator::addCrifRecord(const CrifRecord& crifRecord, const SimmSide&
                 regSensitivities_[side][nettingSetDetails][r] = boost::make_shared<CrifLoader>(simmConfiguration_, CrifRecord::additionalHeaders, true, aggregateTrades);
             }
 
-            // We make sure to ignore amountCcy when aggregating the records, since we will only be using amountUsd,
-            // and we may have CRIF records that are equal everywhere except for the amountCcy, and this will fail
-            // in the case of Risk_XCcyBasis and Risk_Inflation.
-            const bool onDiffAmountCcy = true;
-            regSensitivities_[side][nettingSetDetails][r]->add(newCrifRecord, onDiffAmountCcy);
-        }
+                // We make sure to ignore amountCcy when aggregating the records, since we will only be using amountUsd,
+                // and we may have CRIF records that are equal everywhere except for the amountCcy, and this will fail
+                // in the case of Risk_XCcyBasis and Risk_Inflation.
+                const bool onDiffAmountCcy = true;
+                regSensitivities_[side][nettingSetDetails][r]->add(newCrifRecord, onDiffAmountCcy);
+            }
+    }
 }
 
 Real SimmCalculator::lambda(Real theta) const {

OREAnalytics/orea/simm/simmcalculator.hpp

@@ -211,7 +211,7 @@ class SimmCalculator {
              const bool overwrite = true);
 
     //! Add CRIF record to the CRIF records container that correspondsd to the given regulation/s and portfolio ID
-    void addCrifRecord(const CrifRecord& crifRecord, const SimmSide& side, const bool enforceIMRegulations);
+    void addCrifRecord(const CrifRecord& crifRecord, const bool enforceIMRegulations);
 
     //! Give the \f$\lambda\f$ used in the curvature margin calculation
     QuantLib::Real lambda(QuantLib::Real theta) const;

OREAnalytics/orea/simm/simmconfiguration.cpp

@@ -497,6 +497,15 @@ SimmConfiguration::Regulation parseRegulation(const string& regulation) {
     }
 }
 
+string combineRegulations(const string& regs1, const string& regs2) {
+    if (regs1.empty())
+        return regs2;
+    if (regs2.empty())
+        return regs1;
+
+    return regs1 + ',' + regs2;
+}
+
 set<string> parseRegulationString(const string& regsString, const set<string>& valueIfEmpty) {
     set<string> uniqueRegNames;
 

OREAnalytics/orea/simm/simmconfiguration.hpp

@@ -329,6 +329,8 @@ SimmConfiguration::IMModel parseIMModel(const std::string& pc);
 
 SimmConfiguration::Regulation parseRegulation(const std::string& regulation);
 
+std::string combineRegulations(const std::string&, const std::string&);
+
 //! Reads a string containing regulations applicable for a given CRIF record
 std::set<std::string> parseRegulationString(const std::string& regsString,
                                             const std::set<std::string>& valueIfEmpty = {"Unspecified"});

Tools/PythonTools/comparison_config.json

@@ -681,11 +681,15 @@
         "keys": [
           "TradeId",
           "Portfolio",
-          "ProductClass"
+          "ProductClass",
+          "CollectRegulations",
+          "PostRegulations"
         ],
         "column_settings": [
           {
             "names": [
+              "Maturity",
+              "Multiplier",
               "Notional",
               "PV",
               "Notional(Base)",
@@ -694,6 +698,17 @@
             ],
             "abs_tol": 0.1,
             "rel_tol": 1e-12
+          },
+          {
+            "names": [
+              "EndDate",
+              "Label",
+              "NotionalCurrency",
+              "PVCurrency",
+              "BaseCurrency"
+            ],
+            "abs_tol": null,
+            "rel_tol": null
           }
         ]
       },