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damienbarkerjenkins
damienbarker
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QPR-12242 merge with master
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Lines changed: 444 additions & 172 deletions

‎Docs/UserGuide/parameterisation/curveconfig.tex‎

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@@ -109,7 +109,7 @@ \subsubsection{Swaption Volatility Structures}
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Antonov2015FreeBoundaryNormal, KienitzLawsonSwaynePde, FlochKennedy. If not given, defaults to Linear.
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\item ParametricSmileConfiguration: Optional. Applies to SABR only. If not given, default values are used. Allows to
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specify initial values for calibrated parameters, to exclude single parameters from calibration and to set calibration
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parameters.
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parameters. See Example 60 for how to configure single value and termstructures of sabr parameters for swaption and cap curve configs.
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\item Extrapolation: Specifies the extrapolation behaviour in all dimensions. \\ Allowable values: {\tt Linear, Flat,
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None}
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\item OutputVolatilityType: Optional, defaults to input volatility type and applies to SABR variants only. For

‎Examples/Example_60/ExpectedOutput/npv.csv‎

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@@ -1,3 +1,3 @@
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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
Cap_USD_SOFR,Swap,2025-03-21,1.003324,0.000931,USD,0.000931,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP
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Cap_USD_SOFR,Swap,2025-03-21,1.003324,290.635657,USD,290.635657,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP
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Swaption_USD_SOFR,Swaption,2046-01-12,21.817022,250911.447904,USD,250911.447904,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP

‎Examples/Example_60/Input/curveconfig.xml‎

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@@ -55,6 +55,29 @@
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<!-- alternatively, the parameters can be specified for each optionlet, e.g.: -->
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<!-- <Parameters> -->
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<!-- <Parameter> -->
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<!-- <Name>alpha</Name> -->
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<!-- <InitialValue>0.0050,0.0060,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>beta</Name> -->
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<!-- <InitialValue>0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.1</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>nu</Name> -->
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<!-- <InitialValue>0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.20,0.30</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>rho</Name> -->
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<!-- <InitialValue>0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.9,0.0,0.0</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- </Parameters> -->
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
@@ -116,6 +139,109 @@
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<!-- alternatively the parameters can be specified per option tenor (row) and swap tenor (col), e.g.: -->
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<!-- <Parameters> -->
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<!-- <Parameter> -->
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<!-- <Name>alpha</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0070, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>beta</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.8,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>nu</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.20,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>rho</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
230+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
231+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
232+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
233+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
234+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
235+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
236+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
237+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
238+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,-0.99 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- </Parameters> -->
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>

‎OREAnalytics/orea/CMakeLists.txt‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -21,13 +21,13 @@ app/analytics/analyticfactory.cpp
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app/analytics/imscheduleanalytic.cpp
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app/analytics/parconversionanalytic.cpp
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app/analytics/pnlexplainanalytic.cpp
24+
app/analytics/pnlanalytic.cpp
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app/analytics/pricinganalytic.cpp
2526
app/analytics/scenarioanalytic.cpp
2627
app/analytics/scenariostatisticsanalytic.cpp
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app/analytics/simmanalytic.cpp
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app/analytics/varanalytic.cpp
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app/analytics/xvaanalytic.cpp
30-
app/analytics/pnlanalytic.cpp
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app/analyticsmanager.cpp
3232
app/cleanupsingletons.cpp
3333
app/initbuilders.cpp
@@ -172,13 +172,13 @@ app/analytics/analyticfactory.hpp
172172
app/analytics/imscheduleanalytic.hpp
173173
app/analytics/parconversionanalytic.hpp
174174
app/analytics/pnlexplainanalytic.hpp
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app/analytics/pnlanalytic.hpp
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app/analytics/pricinganalytic.hpp
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app/analytics/scenarioanalytic.hpp
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app/analytics/scenariostatisticsanalytic.hpp
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app/analytics/simmanalytic.hpp
179180
app/analytics/varanalytic.hpp
180181
app/analytics/xvaanalytic.hpp
181-
app/analytics/pnlanalytic.hpp
182182
app/analyticsmanager.hpp
183183
app/cleanupsingletons.hpp
184184
app/initbuilders.hpp

‎OREData/ored/configuration/parametricsmileconfiguration.cpp‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -27,7 +27,7 @@ namespace data {
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void ParametricSmileConfiguration::Parameter::fromXML(XMLNode* node) {
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XMLUtils::checkNode(node, "Parameter");
2929
name = XMLUtils::getChildValue(node, "Name", true);
30-
initialValue = parseReal(XMLUtils::getChildValue(node, "InitialValue", true));
30+
initialValue = parseListOfValues<Real>(XMLUtils::getChildValue(node, "InitialValue", true), parseReal);
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isFixed = parseBool(XMLUtils::getChildValue(node, "IsFixed", true));
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}
3333

‎OREData/ored/configuration/parametricsmileconfiguration.hpp‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -40,7 +40,7 @@ class ParametricSmileConfiguration : public XMLSerializable {
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ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
4141

4242
std::string name;
43-
double initialValue = 0.0;
43+
std::vector<double> initialValue = {0.0};
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bool isFixed = false;
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};
4646

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