QPR-13700 fix single threaded sensi analysis

Author: pcaspers

OREAnalytics/orea/app/analytics/crifanalytic.cpp

@@ -55,9 +55,9 @@ computeSensitivities(QuantLib::ext::shared_ptr<ore::analytics::SensitivityAnalys
         sensiAnalysis = QuantLib::ext::make_shared<SensitivityAnalysis>(
             portfolio, analytic->market(), Market::defaultConfiguration, inputs->pricingEngine(),
             analytic->configurations().simMarketParams, analytic->configurations().sensiScenarioData,
-            inputs->sensiRecalibrateModels(), inputs->sensiLaxFxConversion(),
-            analytic->configurations().curveConfig, analytic->configurations().todaysMarketParams, false,
-            inputs->refDataManager(), inputs->iborFallbackConfig(), true, inputs->dryRun());
+            inputs->sensiRecalibrateModels(), inputs->sensiLaxFxConversion(), analytic->configurations().curveConfig,
+            analytic->configurations().todaysMarketParams, false, inputs->refDataManager(),
+            inputs->iborFallbackConfig(), true, inputs->dryRun(), inputs->useAtParCouponsTrades());
     } else {
         sensiAnalysis = QuantLib::ext::make_shared<SensitivityAnalysis>(
             inputs->nThreads(), inputs->asof(), analytic->loader(), portfolio, Market::defaultConfiguration,

OREAnalytics/orea/app/analytics/pricinganalytic.cpp

@@ -148,7 +148,8 @@ void PricingAnalyticImpl::runAnalytic(
                     analytic()->configurations().simMarketParams, analytic()->configurations().sensiScenarioData,
                     inputs_->sensiRecalibrateModels(), inputs_->sensiLaxFxConversion(),
                     analytic()->configurations().curveConfig, analytic()->configurations().todaysMarketParams, ccyConv,
-                    inputs_->refDataManager(), inputs_->iborFallbackConfig(), true, inputs_->dryRun());
+                    inputs_->refDataManager(), inputs_->iborFallbackConfig(), true, inputs_->dryRun(),
+                    inputs_->useAtParCouponsTrades());
                 LOG("Single-threaded sensi analysis created");
             }
             else {

OREAnalytics/orea/engine/sensitivityanalysis.cpp

@@ -51,13 +51,15 @@ SensitivityAnalysis::SensitivityAnalysis(
     const bool laxFxConversion, const QuantLib::ext::shared_ptr<ore::data::CurveConfigurations>& curveConfigs,
     const QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams,
     const bool nonShiftedBaseCurrencyConversion, const QuantLib::ext::shared_ptr<ReferenceDataManager>& referenceData,
-    const QuantLib::ext::shared_ptr<IborFallbackConfig>& iborFallbackConfig, const bool continueOnError, bool dryRun)
+    const QuantLib::ext::shared_ptr<IborFallbackConfig>& iborFallbackConfig, const bool continueOnError, bool dryRun,
+    const bool useAtParCouponsTrades)
     : market_(market), marketConfiguration_(marketConfiguration), asof_(market ? market->asofDate() : Date()),
       simMarketData_(simMarketData), sensitivityData_(sensitivityData), recalibrateModels_(recalibrateModels),
       laxFxConversion_(laxFxConversion), curveConfigs_(curveConfigs), todaysMarketParams_(todaysMarketParams),
       overrideTenors_(false), nonShiftedBaseCurrencyConversion_(nonShiftedBaseCurrencyConversion),
       referenceData_(referenceData), iborFallbackConfig_(iborFallbackConfig), continueOnError_(continueOnError),
-      engineData_(engineData), portfolio_(portfolio), dryRun_(dryRun), useSingleThreadedEngine_(true) {}
+      engineData_(engineData), portfolio_(portfolio), dryRun_(dryRun), useSingleThreadedEngine_(true),
+      useAtParCouponsTrades_(useAtParCouponsTrades) {}
 
 SensitivityAnalysis::SensitivityAnalysis(
     const Size nThreads, const Date& asof, const QuantLib::ext::shared_ptr<ore::data::Loader>& loader,

OREAnalytics/orea/engine/sensitivityanalysis.hpp

@@ -78,7 +78,7 @@ class SensitivityAnalysis : public ore::data::ProgressReporter {
         const QuantLib::ext::shared_ptr<ReferenceDataManager>& referenceData = nullptr,
         const QuantLib::ext::shared_ptr<IborFallbackConfig>& iborFallbackConfig =
             QuantLib::ext::make_shared<IborFallbackConfig>(IborFallbackConfig::defaultConfig()),
-        const bool continueOnError = false, bool dryRun = false);
+        const bool continueOnError = false, const bool dryRun = false, const bool useAtParCouponsTrades = true);
 
     //! Constructor using multi-threaded engine
     SensitivityAnalysis(const Size nThreads, const Date& asof,
@@ -186,8 +186,8 @@ class SensitivityAnalysis : public ore::data::ProgressReporter {
     Size nThreads_;
     QuantLib::ext::shared_ptr<ore::data::Loader> loader_;
     std::string context_;
-    bool useAtParCouponsCurves_;
-    bool useAtParCouponsTrades_;
+    bool useAtParCouponsCurves_ = true;
+    bool useAtParCouponsTrades_ = true;
 
 protected:
     QuantLib::ext::shared_ptr<Scenario> offsetScenario_;