git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "7c25545a1b"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "e30d0bd607"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docs/UserGuide/tradecomponents/optiondata.tex

@@ -29,6 +29,14 @@ \subsubsection{Option Data}
     <ExerciseDate>2019-04-20</ExerciseDate>
     <ExerciseDate>2020-04-20</ExerciseDate>
   </ExerciseDates>
+  <!-- Alternative format for exercise dates using Schedule format -->
+  <ExerciseSchedule>
+    <Rules>
+      <StartDate>2019-04-20</StartDate>
+      <EndDate>2024-04-20</EndDate>
+      <Tenor>3M</Tenor>
+    </Rules>
+  </ExerciseSchedule>
   <Premiums>
     <Premium>
       <Amount>100000</Amount>
@@ -195,11 +203,16 @@ \subsubsection{Option Data}
   Allowable values: See Table \ref{tab:convention} Roll Convention.
 
 \item ExerciseDates: This node contains child elements of type
-  \lstinline!ExerciseDate!.  Options of style \emph{European} or
+  \lstinline!ExerciseDate!. Options of style \emph{European} or
   \emph{American} require a single exercise date expressed by one
   single \lstinline!ExerciseDate! child element.  \emph{Bermudan}
   style options must have two or more \lstinline!ExerciseDate! child
-  elements.
+  elements. One can alternatively use \lstinline!ExerciseSchedule! to
+  specify the option exercise dates.
+
+\item ExerciseSchedule [Optional]: This node can be provided instead of \lstinline!ExerciseDates! and
+should be specified in the same format as a Schedule (see Section \ref{ss:schedule_data}), e.g.\ for
+a list of Bermudan exercise dates.
 
 \item Premiums [Optional]: Option premium amounts paid by the option buyer to the option seller.
 

OREData/ored/portfolio/optiondata.cpp

@@ -54,7 +54,17 @@ void OptionData::fromXML(XMLNode* node) {
     exerciseFeeSettlementCalendar_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementCalendar", false);
     exerciseFeeSettlementConvention_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementConvention", false);
     exercisePrices_ = XMLUtils::getChildrenValuesAsDoubles(node, "ExercisePrices", "ExercisePrice", false);
-    exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate", false);
+    
+    XMLNode* exDatesNode = XMLUtils::getChildNode(node, "ExerciseDates");
+    XMLNode* exScheduleNode = XMLUtils::getChildNode(node, "ExerciseSchedule");
+    QL_REQUIRE(!(exDatesNode && exScheduleNode),
+               "Cannot specify both ExerciseDates and ExerciseSchedule. Only one must be used.");
+    if (exDatesNode) {
+        exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate");
+    }
+    if (exScheduleNode) {
+        exerciseDatesSchedule_.fromXML(exScheduleNode);
+    }
 
     automaticExercise_ = boost::none;
     if (XMLNode* n = XMLUtils::getChildNode(node, "AutomaticExercise"))
@@ -104,7 +114,14 @@ XMLNode* OptionData::toXML(XMLDocument& doc) {
     if (exerciseFeeSettlementConvention_ != "")
         XMLUtils::addChild(doc, node, "ExerciseFeeSettlementConvention", exerciseFeeSettlementConvention_);
     XMLUtils::addChildren(doc, node, "ExercisePrices", "ExercisePrice", exercisePrices_);
-    XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
+
+    if (exerciseDatesSchedule_.hasData()) {
+        XMLNode* scheduleDataNode = exerciseDatesSchedule_.toXML(doc);
+        XMLUtils::setNodeName(doc, scheduleDataNode, "ExerciseSchedule");
+        XMLUtils::appendNode(node, scheduleDataNode);
+    } else {
+        XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
+    }
 
     if (automaticExercise_)
         XMLUtils::addChild(doc, node, "AutomaticExercise", *automaticExercise_);
@@ -146,8 +163,14 @@ ExerciseBuilder::ExerciseBuilder(const OptionData& optionData, const std::vector
     // build vector of sorted exercise dates
 
     std::vector<QuantLib::Date> sortedExerciseDates;
-    for (auto const& d : optionData.exerciseDates())
-        sortedExerciseDates.push_back(parseDate(d));
+    if (optionData.exerciseDatesSchedule().hasData()) {
+        Schedule schedule = makeSchedule(optionData.exerciseDatesSchedule());
+        sortedExerciseDates = schedule.dates();
+    } else {
+        // For backward compatibility
+        for (auto const& d : optionData.exerciseDates())
+            sortedExerciseDates.push_back(parseDate(d));
+    }
     std::sort(sortedExerciseDates.begin(), sortedExerciseDates.end());
 
     // build vector of alive exercise dates and corresponding native dates

OREData/ored/portfolio/optiondata.hpp

@@ -74,6 +74,7 @@ class OptionData : public XMLSerializable {
     const string& style() const { return style_; }
     const bool& payoffAtExpiry() const { return payoffAtExpiry_; }
     const vector<string>& exerciseDates() const { return exerciseDates_; }
+    const ScheduleData& exerciseDatesSchedule() const { return exerciseDatesSchedule_; }
     const string& noticePeriod() const { return noticePeriod_; }
     const string& noticeCalendar() const { return noticeCalendar_; }
     const string& noticeConvention() const { return noticeConvention_; }
@@ -95,6 +96,7 @@ class OptionData : public XMLSerializable {
     //! \name Setters
     //@{
     void setExerciseDates(const std::vector<std::string>& exerciseDates) { exerciseDates_ = exerciseDates; }
+    void setExerciseDates(const ScheduleData& exerciseDatesSchedule) { exerciseDatesSchedule_ = exerciseDatesSchedule; }
     void setAutomaticExercise(bool automaticExercise) { automaticExercise_ = automaticExercise; }
     void setPaymentData(const OptionPaymentData& paymentData) { paymentData_ = paymentData; }
     void setCallPut(const string& callPut) { callPut_ = callPut; }
@@ -121,6 +123,7 @@ class OptionData : public XMLSerializable {
     string payoffType2_;  // Geometric, Arithmetic
     string style_;        // European, Bermudan, American
     bool payoffAtExpiry_; // Y or N
+    ScheduleData exerciseDatesSchedule_;
     vector<string> exerciseDates_;
     string noticePeriod_;
     string noticeCalendar_;

xsd/instruments.xsd

@@ -317,13 +317,7 @@
       <xs:element type="xs:string" name="ExerciseFeeSettlementPeriod" minOccurs="0"/>
       <xs:element type="xs:string" name="ExerciseFeeSettlementCalendar" minOccurs="0"/>
       <xs:element type="xs:string" name="ExerciseFeeSettlementConvention" minOccurs="0"/>
-      <xs:element name="ExerciseDates" minOccurs="0">
-        <xs:complexType>
-          <xs:sequence>
-            <xs:element type="date" name="ExerciseDate" minOccurs="0" maxOccurs="unbounded"/>
-          </xs:sequence>
-        </xs:complexType>
-      </xs:element>
+      <xs:element ref="exerciseDatesGroup" minOccurs="0" />
       <xs:element type="bool" name="AutomaticExercise" minOccurs="0"/>
       <xs:element type="optionExerciseData" name="ExerciseData" minOccurs="0"/>
       <xs:element type="optionPaymentData" name="PaymentData" minOccurs="0"/>
@@ -416,6 +410,16 @@
     </xs:all>
   </xs:complexType>
 
+  <xs:element name="exerciseDatesGroup" abstract="true" />
+  <xs:element name="ExerciseDates" substitutionGroup="exerciseDatesGroup">
+    <xs:complexType>
+      <xs:sequence>
+        <xs:element type="date" name="ExerciseDate" minOccurs="0" maxOccurs="unbounded"/>
+      </xs:sequence>
+    </xs:complexType>
+  </xs:element>
+  <xs:element name="ExerciseSchedule" type="scheduleData" substitutionGroup="exerciseDatesGroup" />
+
   <xs:element name="legDataType" abstract="true"/>
   <xs:element name="CashflowData" substitutionGroup="legDataType">
     <xs:complexType>