update user guide and doxygen

Author: rolandlichters

Docs/UserGuide/parameterisation/curveconfig.tex

@@ -25,8 +25,8 @@ \subsection{Curves: {\tt curveconfig.xml}}\label{sec:curveconfig}
 for the construction of a market.
 
 \input{curve_configurations/yieldcurves}
-\include{curve_configurations/default_curves_from_cds}
-\include{curve_configurations/default_curves_other}
+\input{curve_configurations/default_curves_from_cds}
+\input{curve_configurations/default_curves_other}
 
 \subsubsection{Swaption Volatility Structures}
 
@@ -96,7 +96,7 @@ \subsubsection{Swaption Volatility Structures}
   \verb+SWAPTION/RATE\_LNVOL/EUR/5Y/10Y/ATM+.
 \end{itemize}
 
-\include{curve_configurations/capfloorvolatility}
+\input{curve_configurations/capfloorvolatility}
 
 \subsubsection{FX Volatility Structures}
 
@@ -315,6 +315,7 @@ \subsubsection{Equity Curve Structures}
 \item DayCounter [Optional]: The term structure's day counter used in date to time conversions. Defaults to {\tt A365F}.
 \item DividendInterpolation [Optional]: This node contains an \lstinline!InterpolationVariable! and \lstinline!InterpolationMethod! sub-node, which define the variable on which the interpolation is performed and the interpolation method for the dividend curve, respectively. The allowable values are found in Table \ref{tab:allow_interp_variables} and Table \ref{tab:allow_interp_methods}, respectively. This should not be provided if \lstinline!Type! is {\tt NoDividends}.
 \item Extrapolation [Optional]: Boolean flag indicating whether extrapolation is allowed. Defaults to {\tt True}.
+\end{itemize}
 
 The equity curves here consists of a spot equity price, as well as a set of either forward prices or else dividend 
 yields. If the index is a dividend futures index then curve type should be entered as ForwardDividendPrice. In this case the curve will be built from forward prices as normal, but excluded from the SIMM calculations as required by the SIMM methodology.
@@ -993,9 +994,9 @@ \subsubsection{Correlations}
 \label{lst:correlation_configuration}
 \end{longlisting}
 
-\include{curve_configurations/commodity_curves}
+\input{curve_configurations/commodity_curves}
 
-\include{curve_configurations/commodity_volatilities}
+\input{curve_configurations/commodity_volatilities}
 
 \subsubsection{Bootstrap Configuration}
 \label{sec:bootstrap_config}
@@ -1089,4 +1090,4 @@ \subsubsection{One Dimensional Solver Configuration}
 \item \lstinline!UpperBound! [Optional]:
 This node should hold a real number. It provides an upper bound for the search domain. If omitted, no upper bound is applied to the search domain. Obviously, if both \lstinline!LowerBound! and \lstinline!UpperBound! are provided, the value in \lstinline!LowerBound! should be less than the value in \lstinline!UpperBound!.
 
-\end{itemize}
+\end{itemize}

Docs/UserGuide/userguide.tex

@@ -730,12 +730,13 @@ \subsubsection*{Unix}
   {\tt export BOOST\_LIB=path/to/boost/lib}\\
   {\tt export BOOST\_INC=path/to/boost/include}
 \medskip
-\Item Change to the ORE project directory that contains the {\tt QuantLib}, {\tt QuantExt}, etc, folders; create subdirectory {\tt build} and change to subdirectory {\tt build}
+\item Change to the ORE project directory that contains the {\tt QuantLib}, {\tt QuantExt}, etc, folders; create subdirectory {\tt build} and change to subdirectory {\tt build}
 \item Configure CMake by invoking \\
 \medskip
 {\tt cmake -DBOOST\_ROOT=\${BOOST\_INC} -DBOOST\_LIBRARYDIR=\${BOOST\_LIB} -DQL\_ENABLE\_SESSIONS=ON ..} \\
 \medskip
 where the {\tt QL\_ENABLE\_SESSIONS} variable is set to ON in order to enable some multi-threading applications in ORE.
+
 Alternatively, set environment variables {\tt BOOST\_ROOT} and {\tt BOOST\_LIBRARYDIR} directly and run \\
 \medskip
 {\tt cmake ..} \\
@@ -968,8 +969,8 @@ \subsubsection*{Build ORE}
 \hspace{1cm} -A x64 $\backslash$\\
 \hspace{1cm} -DMSVC\_LINK\_DYNAMIC\_RUNTIME=OFF $\backslash$ \\
 \hspace{1cm} -DBOOST\_ROOT=\$BOOST\_INC $\backslash$\\
-\hspace{1cm} -DBOOST\_LIBRARYDIR=\$BOOST\_LIB $\backslash$
-\hspace{2cm} -DQL\_ENABLE\_SESSIONS=ON} 
+\hspace{1cm} -DBOOST\_LIBRARYDIR=\$BOOST\_LIB $\backslash$ \\
+\hspace{1cm} -DQL\_ENABLE\_SESSIONS=ON} 
 
 \medskip
 This will create \%ORE\%{\bs}build{\bs}ORE.sln
@@ -1034,12 +1035,30 @@ \subsection{How to build ORE Python Wheels on Linux and macOS}
 \subsubsection*{Prerequisites}
 
 \begin{itemize}
-\item python: Ensure that python3, pip, build, and virtualenv are installed and up to date, e.g. on ubuntu:\\
+\item python: Ensure that python3, pip, build, and virtualenv are installed and up to date. \\
+
+\medskip
+For example, on ubuntu:\\
 {\tt sudo apt install python3-pip} \\
 {\tt sudo apt install python3.10-venv} \\
-{\tt pip3 install -{}-upgrade build}
-\item python3-dev: You need to install the python header files and libs. On some platforms these come already installed with python.  On ubuntu they do not and the command to install them is: \\
-{\tt sudo apt install python3-dev }
+{\tt pip3 install -{}-upgrade build} \\
+
+\medskip
+On macOS it is recommended to install jupyterlab (which contains python and pip) with \\
+{\tt brew install jupyterlab} \\
+followed by\\
+{\tt pip install -{}-upgrade build} \\
+{\tt pip install virtualenv} 
+
+\item python3-dev: You need to install the python header files and libs. On some platforms these come already installed with python.  
+
+\medskip
+On ubuntu they do not and the command to install them is: \\
+{\tt sudo apt install python3-dev }\\
+
+\medskip
+On macOS they come with the recommended installation of jupyterlab
+
 \item boost and swig: You need to either install the binaries, or install the source code and build yourself.
 \item ore and oreswig: You need to install the source code. Instructions for building with cmake are provided below.
 \end{itemize}
@@ -1049,8 +1068,8 @@ \subsubsection*{Environment variables}
 Set the following environment variables to the paths where the ore and ore swig repos, as well as boost live on your machine, e.g:
 
 \medskip
-{\tt export ORE=$HOME/dev/ore} \\
-{\tt export ORESWIG=$HOME/dev/oreswig}\\
+{\tt export ORE=\$HOME/dev/ore} \\
+{\tt export ORESWIG=\$HOME/dev/oreswig}\\
 {\tt export BOOST\_INC=/opt/homebrew/include} \\
 {\tt export BOOST\_LIB=/opt/homebrew/lib} 
 

OREAnalytics/orea/engine/historicalpnlgenerator.hpp

@@ -58,6 +58,7 @@ class HistoricalPnlGenerator : public ore::data::ProgressReporter {
         \param hisScenGen        historical scenario generator
         \param cube              an NPV cube that will be populated by each call to generateCube
         \param modelBuilders     model builders to update during a val engine run
+        \param dryRun            for testing - limit the number of scenarios to one and fill the cube with random data
     */
     HistoricalPnlGenerator(const std::string& baseCurrency, const boost::shared_ptr<ore::data::Portfolio>& portfolio,
                            const boost::shared_ptr<ScenarioSimMarket>& simMarket,

OREAnalytics/orea/scenario/scenarioshiftcalculator.hpp

@@ -16,7 +16,7 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
-/*! \file orepmr/orea/scenario/scenarioshiftcalculator.hpp
+/*! \file orea/scenario/scenarioshiftcalculator.hpp
     \brief Class for calculating the shift multiple between two scenarios for a given key
 */
 
@@ -45,6 +45,7 @@ class ScenarioShiftCalculator {
                                  returned by the shift method
         \param simMarketConfig   simulation market configuration for the scenarios that will
                                  be fed to the shift method
+        \param simMarket         simulation market that will be used if provided
     */
     ScenarioShiftCalculator(const boost::shared_ptr<ore::analytics::SensitivityScenarioData>& sensitivityConfig,
                             const boost::shared_ptr<ore::analytics::ScenarioSimMarketParameters>& simMarketConfig,