QPR-11243: add commoditycalibrationinfo infrastructure

Author: Eric Mandolesi

OREAnalytics/orea/app/reportwriter.cpp

@@ -1252,6 +1252,13 @@ void addInflationCurveCalibrationInfo(ore::data::Report& report, const std::stri
     }
 }
 
+void addCommodityCurveCalibrationInfo(ore::data::Report& report, const std::string& id,
+                                      boost::shared_ptr<CommodityCurveCalibrationInfo> const& info) {
+    if(info == nullptr)
+        return ;
+    addRowMktCalReport(report, "commodityCurve", id, "commodityDummyInfo", "", "", "", info->commDummyInfo);
+}
+
 void addFxEqVolCalibrationInfo(ore::data::Report& report, const std::string& type, const std::string& id,
                                boost::shared_ptr<FxEqVolCalibrationInfo> info) {
     if (info == nullptr)
@@ -1404,6 +1411,12 @@ void ReportWriter::writeTodaysMarketCalibrationReport(
         addInflationCurveCalibrationInfo(report, r.first, r.second);
     }
 
+    // commodity curve results
+
+    for (auto const& r :calibrationInfo->commodityCurveCalibrationInfo) {
+        addCommodityCurveCalibrationInfo(report, r.first, r.second);
+    }
+
     // fx vol results
     for (auto const& r : calibrationInfo->fxVolCalibrationInfo) {
         addFxEqVolCalibrationInfo(report, "fxVol", r.first, r.second);

OREData/ored/marketdata/commoditycurve.cpp

@@ -112,7 +112,8 @@ CommodityCurve::CommodityCurve(const Date& asof, const CommodityCurveSpec& spec,
                                const CurveConfigurations& curveConfigs,
                                const FXTriangulation& fxSpots,
                                const map<string, boost::shared_ptr<YieldCurve>>& yieldCurves,
-                               const map<string, boost::shared_ptr<CommodityCurve>>& commodityCurves)
+                               const map<string, boost::shared_ptr<CommodityCurve>>& commodityCurves,
+                               bool const buildCalibrationInfo)
     : spec_(spec), commoditySpot_(Null<Real>()), onValue_(Null<Real>()), tnValue_(Null<Real>()), regexQuotes_(false) {
 
     try {
@@ -169,6 +170,10 @@ CommodityCurve::CommodityCurve(const Date& asof, const CommodityCurveSpec& spec,
         Handle<PriceTermStructure> pts(commodityPriceCurve_);
         commodityIndex_ = parseCommodityIndex(spec_.curveConfigID(), false, pts);
 
+        if(buildCalibrationInfo){
+            calibrationInfo_->commDummyInfo = -1.0;
+        }
+
     } catch (std::exception& e) {
         QL_FAIL("commodity curve building failed: " << e.what());
     } catch (...) {

OREData/ored/marketdata/commoditycurve.hpp

@@ -30,6 +30,7 @@
 #include <ored/marketdata/fxtriangulation.hpp>
 #include <ored/marketdata/loader.hpp>
 #include <ored/marketdata/yieldcurve.hpp>
+#include <ored/marketdata/todaysmarketcalibrationinfo.hpp>
 #include <ql/math/interpolations/backwardflatinterpolation.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/math/interpolations/loginterpolation.hpp>
@@ -51,20 +52,23 @@ class CommodityCurve {
                    const CurveConfigurations& curveConfigs,
                    const FXTriangulation& fxSpots = FXTriangulation(),
                    const std::map<std::string, boost::shared_ptr<YieldCurve>>& yieldCurves = {},
-                   const std::map<std::string, boost::shared_ptr<CommodityCurve>>& commodityCurves = {});
+                   const std::map<std::string, boost::shared_ptr<CommodityCurve>>& commodityCurves = {},
+                   bool const buildCalibrationInfo = false);
     //@}
 
     //! \name Inspectors
     //@{
     const CommodityCurveSpec& spec() const { return spec_; }
     boost::shared_ptr<QuantExt::PriceTermStructure> commodityPriceCurve() const { return commodityPriceCurve_; }
     boost::shared_ptr<QuantExt::CommodityIndex> commodityIndex() const { return commodityIndex_; }
+    boost::shared_ptr<CommodityCurveCalibrationInfo> calibrationInfo() const { return calibrationInfo_; }
     //@}
 
 private:
     CommodityCurveSpec spec_;
     boost::shared_ptr<QuantExt::PriceTermStructure> commodityPriceCurve_;
     boost::shared_ptr<QuantExt::CommodityIndex> commodityIndex_;
+    boost::shared_ptr<CommodityCurveCalibrationInfo> calibrationInfo_;
 
     //! Store the commodity spot value with \c Null<Real>() indicating that none has been provided.
     QuantLib::Real commoditySpot_;

OREData/ored/marketdata/todaysmarket.cpp

@@ -716,10 +716,10 @@ void TodaysMarket::buildNode(const std::string& configuration, Node& node) const
             QL_REQUIRE(commodityCurveSpec, "Failed to convert spec, " << *spec << ", to CommodityCurveSpec");
             auto itr = requiredCommodityCurves_.find(commodityCurveSpec->name());
             if (itr == requiredCommodityCurves_.end()) {
-                DLOG("Building CommodityCurve for asof " << asof_);
+                DLOG("Building CommodityCurve " << commodityCurveSpec->name() << " for asof " << asof_);
                 boost::shared_ptr<CommodityCurve> commodityCurve =
                     boost::make_shared<CommodityCurve>(asof_, *commodityCurveSpec, *loader_, *curveConfigs_, *fx_,
-                                                       requiredYieldCurves_, requiredCommodityCurves_);
+                                                       requiredYieldCurves_, requiredCommodityCurves_, buildCalibrationInfo_);
                 itr = requiredCommodityCurves_.insert(make_pair(commodityCurveSpec->name(), commodityCurve)).first;
             }
 

OREData/ored/marketdata/todaysmarketcalibrationinfo.hpp

@@ -91,6 +91,13 @@ struct YoYInflationCurveCalibrationInfo : public InflationCurveCalibrationInfo {
     std::vector<double> yoyRates;
 };
 
+// commodity curves
+
+struct CommodityCurveCalibrationInfo {
+    virtual ~CommodityCurveCalibrationInfo() {}
+    double commDummyInfo{0.0};
+};
+
 // fx, eq vols
 
 struct FxEqVolCalibrationInfo {
@@ -161,6 +168,8 @@ struct TodaysMarketCalibrationInfo {
     std::map<std::string, boost::shared_ptr<YieldCurveCalibrationInfo>> dividendCurveCalibrationInfo;
     // inflation curves
     std::map<std::string, boost::shared_ptr<InflationCurveCalibrationInfo>> inflationCurveCalibrationInfo;
+    // commodity curves
+    std::map<std::string, boost::shared_ptr<CommodityCurveCalibrationInfo>> commodityCurveCalibrationInfo;
     // fx vols
     std::map<std::string, boost::shared_ptr<FxEqVolCalibrationInfo>> fxVolCalibrationInfo;
     // eq vols