git subrepo pull (merge) ore

jenkins · jenkins · commit a4a8acdc3fc5 · 2024-04-30T14:53:50.000Z
subrepo: subdir: "ore" merged: "e488b2e2ff" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "f8ab7f6d12" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
diff --git a/Docs/UserGuide/allowablevalues.tex b/Docs/UserGuide/allowablevalues.tex
@@ -76,7 +76,7 @@ \subsection{Allowable Values}
 TWD,TZS,UAH,UGX,USD,USN,UYI,UYU,UYW,UZS,
 VES,VND,VUV,WST,XAF,XAU,XCD,XOF,
 XPF,XSU,XUA,YER,ZAR,ZMW,ZWL}
-\\ \hline Minor Currencies &  \makecell[l]{\emph{GBp, GBX} (for pennies of GBP) \\ \emph{ILa, ILX} (for agorot of ILS)  \\ \emph{ZAc, ZAC, ZAX} (for cents of ZAR) \\ 
+\\ \hline Minor Currencies &  \makecell[l]{\emph{GBp, GBX} (for pennies of GBP) \\ \emph{ILa, ILX, ILs, ILA} (for agorot of ILS)  \\ \emph{ZAc, ZAC, ZAX} (for cents of ZAR) \\ 
     Note: Minor Currency codes are only supported for equity products. } \\ \hline
 %Pre-Eurozone Currencies   &  \emph{ATS, BEF, DEM, ESP, FIM, FRF, GRD, IEP, ITL, LUF, NLG, PTE} \\ \hline
 Precious Metals treated as Currencies   &   \emph{XAG, XAU, XPD, XPT}  \\ \hline
diff --git a/OREAnalytics/orea/app/reportwriter.cpp b/OREAnalytics/orea/app/reportwriter.cpp
@@ -38,6 +38,7 @@
 #include <qle/cashflows/equitycoupon.hpp>
 #include <qle/currencies/currencycomparator.hpp>
 #include <qle/instruments/cashflowresults.hpp>
+#include <qle/cashflows/durationadjustedcmscoupon.hpp>
 
 #include <ql/cashflows/averagebmacoupon.hpp>
 #include <ql/cashflows/indexedcashflow.hpp>
@@ -401,7 +402,11 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
                                         swaptionTenor = cms->swapIndex()->tenor();
                                         qlIndexName = cms->swapIndex()->iborIndex()->name();
                                         usesSwaptionVol = true;
-                                    } else if (auto ibor = QuantLib::ext::dynamic_pointer_cast<IborCoupon>(tmp->underlying())) {
+                                    }else if(auto cms = boost::dynamic_pointer_cast<DurationAdjustedCmsCoupon>(tmp->underlying())) {
+                                        swaptionTenor = cms->swapIndex()->tenor();
+                                        qlIndexName = cms->swapIndex()->iborIndex()->name();
+                                        usesSwaptionVol = true;
+                                    }else if (auto ibor = QuantLib::ext::dynamic_pointer_cast<IborCoupon>(tmp->underlying())) {
                                         qlIndexName = ibor->index()->name();
                                         usesCapVol = true;
                                     }
diff --git a/OREData/ored/portfolio/scriptedtrade.cpp b/OREData/ored/portfolio/scriptedtrade.cpp
@@ -121,14 +121,14 @@ void ScriptedTrade::setIsdaTaxonomyFields() {
         additionalData_["isdaSubProduct"] = string("Other");
         additionalData_["isdaTransaction"] = string("");
     } else if (scheduleProductClass_ == "Commodity") {
-        WLOG("ISDA taxonomy for trade " << id() << " and product class " << scheduleProductClass_
+        DLOG("ISDA taxonomy for trade " << id() << " and product class " << scheduleProductClass_
                                         << " follows the Equity template");
         additionalData_["isdaAssetClass"] = string("Commodity");
         additionalData_["isdaBaseProduct"] = string("Other");
         additionalData_["isdaSubProduct"] = string("");
         additionalData_["isdaTransaction"] = string("");
     } else {
-        ALOG("ISDA taxonomy not set for trade " << id() << " and product class " << scheduleProductClass_);
+        DLOG("ISDA taxonomy not set for trade " << id() << " and product class " << scheduleProductClass_);
     }
 }
 
@@ -143,7 +143,7 @@ QuantLib::Real ScriptedTrade::notional() const {
     } catch (const std::exception& e) {
         if (st->lastCalculationWasValid()) {
             // calculation was valid, just the result is not provided
-            ALOG("error when retrieving notional: " << e.what() << ", return null");
+            DLOG("notional was not retrieved: " << e.what() << ", return null");
         } else {
             // calculation threw an error, propagate this
             QL_FAIL(e.what());
@@ -164,14 +164,14 @@ std::string ScriptedTrade::notionalCurrency() const {
     } catch (const std::exception& e) {
         if (st->lastCalculationWasValid()) {
             // calculation was valid, just the result is not provided
-            ALOG("error when retrieving notional ccy: " << e.what() << ", return empty string");
+            DLOG("notional ccy was not retrieved: " << e.what() << ", return empty string");
         } else {
             // calculation threw an error, propagate this
             QL_FAIL(e.what());
         }
     }
     // if not provided, return an empty string
-    return "";
+    return std::string();
 }
 
 void ScriptedTrade::clear() {
diff --git a/OREData/ored/portfolio/swap.cpp b/OREData/ored/portfolio/swap.cpp
@@ -328,7 +328,8 @@ std::string isdaSubProductSwap(const std::string& tradeId, const vector<LegData>
         std::string type = legData[i].legType();
         if (type == "Fixed" ||
             type == "ZeroCouponFixed" ||
-            type == "Cashflow")
+            type == "Cashflow"||
+            type == "CommodityFixed")
             nFixed++;
         else if (type == "Floating" ||
                  type == "CPI" ||
@@ -338,7 +339,11 @@ std::string isdaSubProductSwap(const std::string& tradeId, const vector<LegData>
                  type == "CMSSpread" ||
                  type == "DigitalCMSSpread" ||
                  type == "CMB" ||
-                 type == "Equity")
+                 type == "Equity"||
+                 type == "DurationAdjustedCMS"||
+                 type == "FormulaBased"||
+                 type =="CommodityFloating"||
+                 type =="EquityMargin")
             nFloating++;
         else {
             ALOG("leg type " << type << " not mapped for trade " << tradeId);
diff --git a/OREData/ored/utilities/calendarparser.cpp b/OREData/ored/utilities/calendarparser.cpp
@@ -320,6 +320,8 @@ void CalendarParser::reset() {
         {"GBX", UnitedKingdom()},
         {"ILa", QuantLib::Israel()},
         {"ILX", QuantLib::Israel()},
+        {"ILs", QuantLib::Israel()},
+        {"ILA", QuantLib::Israel()},
         {"ZAc", SouthAfrica()},
         {"ZAC", SouthAfrica()},
         {"ZAX", SouthAfrica()},
diff --git a/OREData/ored/utilities/currencyparser.cpp b/OREData/ored/utilities/currencyparser.cpp
@@ -229,7 +229,8 @@ void CurrencyParser::reset() {
                    {"ZAR", ZARCurrency()}, {"ZMW", ZMWCurrency()}};
 
     minorCurrencies_ = {{"GBp", GBPCurrency()}, {"GBX", GBPCurrency()}, {"ILa", ILSCurrency()}, {"ILX", ILSCurrency()},
-                        {"KWf", KWDCurrency()}, {"ZAc", ZARCurrency()}, {"ZAC", ZARCurrency()}, {"ZAX", ZARCurrency()}};
+                        {"ILs", ILSCurrency()}, {"KWf", KWDCurrency()}, {"ILA", ILSCurrency()}, {"ZAc", ZARCurrency()},
+                        {"ZAC", ZARCurrency()}, {"ZAX", ZARCurrency()}};
 
     preciousMetals_ = {{"XAG", XAGCurrency()}, {"XAU", XAUCurrency()}, {"XPT", XPTCurrency()}, {"XPD", XPDCurrency()}};
 
diff --git a/Tools/PythonTools/comparison_config.json b/Tools/PythonTools/comparison_config.json
@@ -1817,6 +1817,24 @@
             "rel_tol": null
           }
         ]
+      },
+      "saccr.json": {
+        "settings": [
+          {
+            "names": [
+              "addOn",
+              "cC",
+              "eAD",
+              "multiplier",
+              "npv",
+              "pfe",
+              "rC",
+              "rW"
+            ],
+            "abs_tol": 0.1,
+            "rel_tol": 1e-12
+          }
+        ]
       }
     }
   }
diff --git a/xsd/ore_types.xsd b/xsd/ore_types.xsd
@@ -270,7 +270,9 @@
 				<xs:enumeration value="GBp" />
 				<xs:enumeration value="GBX" />
 				<xs:enumeration value="ILa" />
+                <xs:enumeration value="ILA" />
 				<xs:enumeration value="ILX" />
+                <xs:enumeration value="ILs" />
 				<xs:enumeration value="KWf" />
 				<xs:enumeration value="ZAc" />
 				<xs:enumeration value="ZAC" />
@@ -321,7 +323,7 @@
 
   <xs:simpleType name="calendar">
     <xs:restriction base="xs:string">
-      <xs:pattern value="(JoinHolidays\(|JoinBusinessDays\()?((,)?(, )?(^)?(TGT|TARGET|CN-IB|US-FED|US-GOV|US-NERC|US-NYSE|US-SET||Australia|Australia settlement|Botswana|Brazil|Canada|Denmark|Hungary|Japan|Norway|Switzerland|Sweden|Belgium|Finland|Luxembourg|Spain|Austria|Romania|Poland|New Zealand|FRA|CATO|CHZU|JPTO|GBLO|SEST|TRIS|USNY|EUTA|BEBR|AE|AT|AR|AU|BW|BR|CA|CL|CN|CO|CZ|DK|FI|FR|DE|HK|HU|IE|IS|IN|ID|IL|IT|JE|JP|MX|MY|NL|NO|NZ|PE|PH|PL|RO|RU|SG|ZA|KR|SE|CH|TW|TH|TR|UA|GB|US|BE|LU|ES|ARE|ARG|AUS|BWA|BRA|CAN|CHL|CHN|COL|CZE|DNK|FIN|DEU|HKG|HUN|ISL|IND|IDN|ISR|ITA|JOD|JPN|KES|LKR|MEX|MUR|MYS|NLD|NOR|NZL|PER|PHL|POL|ROU|RSD|RUS|SAU|SGP|UGX|ZAF|ZMW|KOR|SWE|CHE|TWN|THA|TUR|UKR|GBR|USA|BEL|LUX|ESP|AUT|ARS|AUD|BGN|BWP|BRL|CAD|CLP|CNH|CNY|COP|CZK|DKK|FRF|GHS|HKD|HRK|HUF|INR|IDR|ILS|IRL|ISK|ITL|JPY|MXN|MYR|NOK|NZD|PEN|PHP|PLN|RON|RUB|SAR|SGD|ZAR|KRW|SEK|CHF|EUR|TWD|THB|TRY|UAH|GBP|USD|BEF|LUF|ATS|AED|BHD|CLF|EGP|KWD|KZT|MAD|MXV|NGN|OMR|PKR|QAR|UYU|TND|AOA|GEL|ETB|XOF|VND|GBp|GBX|ILa|ILX|ZAc|ZAC|ZAX|XASX|BVMF|XTSE|XSHG|XFRA|XDUB|XETR|ECAG|EUWA|XJKT|XIDX|XTAE|XMIL|MISX|XKRX|XSWX|XLON|XLME|XNYS|DEN|TSX|Australia exchange|BOVESPA|Euwax|CME Group|Eurex|Xetra|Frankfurt stock exchange|French settlement|German settlement|Paris stock exchange|Telbor|National Stock Exchange of India|London stock exchange|LNB|London metals exchange|Iceland stock exchange|New York stock exchange|Italian settlement|Santiago Stock Exchange|Ukrainian stock exchange|NGL|NYB|SA|SS|SYB|TKB|TRB|UK|UK settlement|Jakarta stock exchange|US settlement|Belgian settlement|US with Libor impact|US government bond market|North American Energy Reliability Council|Federal Reserve Bankwire System|WMR|ZUB|ICE_FuturesUS|ICE_FuturesUS_1|ICE_FuturesUS_2|ICE_FuturesEU|ICE_FuturesEU_1|ICE_EndexEnergy|ICE_EndexEquities|ICE_SwapTradeUS|ICE Futures U.S.|ICE Futures U.S. 1|ICE Futures U.S. 2|ICE Futures Europe|ICE Futures Europe 1|ICE Endex Energy|ICE Endex Equities|ICE Swap Trade U.S.|ICE Swap Trade U.K.|ICE Futures Singapore|ICE_SwapTradeUK|ICE_FuturesSingapore|CME|Thailand stock exchange|Turkey|Milan stock exchange|Taiwan stock exchange|South-Korean settlement|South-Korea exchange|South Africa|Bratislava stock exchange|Moscow exchange|Mexican stock exchange|Russian settlement|Spanish settlement|Luxembourgish settlement|Dutch settlement|Austrian settlement|Tadawul|Tel Aviv stock exchange|Bucharest stock exchange|Singapore exchange|Hong Kong stock exchange|Vienna stock exchange|Prague stock exchange|China inter bank market|Shanghai stock exchange|Colombia Stock Exchange|Buenos Aires stock exchange|Philippine stock exchange|Lima stock exchange|SIX Swiss Exchange|Malaysia Stock Exchange|Thomson Reuters QM/Reuters Spot|Israel Telbor Implementation|WeekendsOnly|weekends only|UNMAPPED|Null|NullCalendar|[A-Z]{4}|CUSTOM_.*))*(\))?"/>
+      <xs:pattern value="(JoinHolidays\(|JoinBusinessDays\()?((,)?(, )?(^)?(TGT|TARGET|CN-IB|US-FED|US-GOV|US-NERC|US-NYSE|US-SET||Australia|Australia settlement|Botswana|Brazil|Canada|Denmark|Hungary|Japan|Norway|Switzerland|Sweden|Belgium|Finland|Luxembourg|Spain|Austria|Romania|Poland|New Zealand|FRA|CATO|CHZU|JPTO|GBLO|SEST|TRIS|USNY|EUTA|BEBR|AE|AT|AR|AU|BW|BR|CA|CL|CN|CO|CZ|DK|FI|FR|DE|HK|HU|IE|IS|IN|ID|IL|IT|JE|JP|MX|MY|NL|NO|NZ|PE|PH|PL|RO|RU|SG|ZA|KR|SE|CH|TW|TH|TR|UA|GB|US|BE|LU|ES|ARE|ARG|AUS|BWA|BRA|CAN|CHL|CHN|COL|CZE|DNK|FIN|DEU|HKG|HUN|ISL|IND|IDN|ISR|ITA|JOD|JPN|KES|LKR|MEX|MUR|MYS|NLD|NOR|NZL|PER|PHL|POL|ROU|RSD|RUS|SAU|SGP|UGX|ZAF|ZMW|KOR|SWE|CHE|TWN|THA|TUR|UKR|GBR|USA|BEL|LUX|ESP|AUT|ARS|AUD|BGN|BWP|BRL|CAD|CLP|CNH|CNY|COP|CZK|DKK|FRF|GHS|HKD|HRK|HUF|INR|IDR|ILS|IRL|ISK|ITL|JPY|MXN|MYR|NOK|NZD|PEN|PHP|PLN|RON|RUB|SAR|SGD|ZAR|KRW|SEK|CHF|EUR|TWD|THB|TRY|UAH|GBP|USD|BEF|LUF|ATS|AED|BHD|CLF|EGP|KWD|KZT|MAD|MXV|NGN|OMR|PKR|QAR|UYU|TND|AOA|GEL|ETB|XOF|VND|GBp|GBX|ILa|ILA|ILs|ILX|ZAc|ZAC|ZAX|XASX|BVMF|XTSE|XSHG|XFRA|XDUB|XETR|ECAG|EUWA|XJKT|XIDX|XTAE|XMIL|MISX|XKRX|XSWX|XLON|XLME|XNYS|DEN|TSX|Australia exchange|BOVESPA|Euwax|CME Group|Eurex|Xetra|Frankfurt stock exchange|French settlement|German settlement|Paris stock exchange|Telbor|National Stock Exchange of India|London stock exchange|LNB|London metals exchange|Iceland stock exchange|New York stock exchange|Italian settlement|Santiago Stock Exchange|Ukrainian stock exchange|NGL|NYB|SA|SS|SYB|TKB|TRB|UK|UK settlement|Jakarta stock exchange|US settlement|Belgian settlement|US with Libor impact|US government bond market|North American Energy Reliability Council|Federal Reserve Bankwire System|WMR|ZUB|ICE_FuturesUS|ICE_FuturesUS_1|ICE_FuturesUS_2|ICE_FuturesEU|ICE_FuturesEU_1|ICE_EndexEnergy|ICE_EndexEquities|ICE_SwapTradeUS|ICE Futures U.S.|ICE Futures U.S. 1|ICE Futures U.S. 2|ICE Futures Europe|ICE Futures Europe 1|ICE Endex Energy|ICE Endex Equities|ICE Swap Trade U.S.|ICE Swap Trade U.K.|ICE Futures Singapore|ICE_SwapTradeUK|ICE_FuturesSingapore|CME|Thailand stock exchange|Turkey|Milan stock exchange|Taiwan stock exchange|South-Korean settlement|South-Korea exchange|South Africa|Bratislava stock exchange|Moscow exchange|Mexican stock exchange|Russian settlement|Spanish settlement|Luxembourgish settlement|Dutch settlement|Austrian settlement|Tadawul|Tel Aviv stock exchange|Bucharest stock exchange|Singapore exchange|Hong Kong stock exchange|Vienna stock exchange|Prague stock exchange|China inter bank market|Shanghai stock exchange|Colombia Stock Exchange|Buenos Aires stock exchange|Philippine stock exchange|Lima stock exchange|SIX Swiss Exchange|Malaysia Stock Exchange|Thomson Reuters QM/Reuters Spot|Israel Telbor Implementation|WeekendsOnly|weekends only|UNMAPPED|Null|NullCalendar|[A-Z]{4}|CUSTOM_.*))*(\))?"/>
     </xs:restriction>
   </xs:simpleType>
   <xs:simpleType name="dayCounter">

Original file line number	Diff line number	Diff line change
`@@ -1817,6 +1817,24 @@`
`1817`	`1817`	`"rel_tol": null`
`1818`	`1818`	`}`
`1819`	`1819`	`]`
	`1820`	`+ },`
	`1821`	`+ "saccr.json": {`
	`1822`	`+ "settings": [`
	`1823`	`+ {`
	`1824`	`+ "names": [`
	`1825`	`+ "addOn",`
	`1826`	`+ "cC",`
	`1827`	`+ "eAD",`
	`1828`	`+ "multiplier",`
	`1829`	`+ "npv",`
	`1830`	`+ "pfe",`
	`1831`	`+ "rC",`
	`1832`	`+ "rW"`
	`1833`	`+ ],`
	`1834`	`+ "abs_tol": 0.1,`
	`1835`	`+ "rel_tol": 1e-12`
	`1836`	`+ }`
	`1837`	`+ ]`
`1820`	`1838`	`}`
`1821`	`1839`	`}`
`1822`	`1840`	`}`