Merge branch 'QPR-13094' into 'master'

QPR-13094 disable conventional spreads

Closes QPR-13094

See merge request qs/oreplus!2737

Author: pcaspers

Docs/UserGuide/marketdata.tex

@@ -667,7 +667,8 @@ \subsection{CDS Spread}
   \label{tab:cdsspread_quote}
 \end{table}
 
-There are two possible quote types to allow for the presence of two CDS spread types in the market data. In particular, there is typically a conventional CDS spread and a par CDS spread quoted in the market. The quote type distinction here would allow the conventional spreads to be stored with quote type set to \lstinline!CONV_CREDIT_SPREAD! and the par spreads to be stored with quote type set to \lstinline!CREDIT_SPREAD!. As noted in the table above, the CDS documentation clause and CDS running spread is optional. The following list shows valid CDS spread quote examples.
+Currently, only par CDS spreads (quote type \lstinline!CREDIT_SPREAD!) are supported. Conventional CDS spreads (quote type \lstinline!CONV_CREDIT_SPREAD!) are not supported at this time. 
+As noted in the table above, the CDS documentation clause and CDS running spread is optional. The following list shows valid CDS spread quote examples.
 \begin{itemize}
 \item \lstinline!CDS/CREDIT_SPREAD/JPM/SNRFOR/USD/5Y!
 \item \lstinline!CDS/CREDIT_SPREAD/JPM/SNRFOR/USD/5Y/100!

OREData/ored/marketdata/defaultcurve.cpp

@@ -109,6 +109,8 @@ set<QuoteData> getRegexQuotes(const Wildcard& wc, const string& configId, Defaul
             auto q = QuantLib::ext::dynamic_pointer_cast<CdsQuote>(md);
             QL_REQUIRE(q, "Internal error: could not downcast MarketDatum '" << md->name() << "' to CdsQuote");
             if (wc.matches(q->name())) {
+                QL_REQUIRE(mdqt != MDQT::CONV_CREDIT_SPREAD, 
+                   "Conventional credit spread are currently not supported for default curves");
                 addQuote(result, configId, q->name(), q->term(), q->quote()->value(), q->seniority(), q->ccy(),
                          q->docClause(), q->runningSpread());
             }
@@ -173,6 +175,8 @@ set<QuoteData> getExplicitQuotes(const vector<pair<string, bool>>& quotes, const
             if (type == DCCT::SpreadCDS || type == DCCT::Price) {
                 auto q = QuantLib::ext::dynamic_pointer_cast<CdsQuote>(md);
                 QL_REQUIRE(q, "Quote " << p.first << " for config " << configId << " should be a CdsQuote");
+                QL_REQUIRE(q->quoteType() != MarketDatum::QuoteType::CONV_CREDIT_SPREAD,
+                           "Conventional credit spread are currently not supported for default curves");
                 addQuote(result, configId, q->name(), q->term(), q->quote()->value(), q->seniority(), q->ccy(),
                          q->docClause(), q->runningSpread());
             } else {

OREData/test/cds.cpp

@@ -339,7 +339,6 @@ BOOST_AUTO_TEST_CASE(testSimultaneousUsageCdsQuoteTypes) {
     vector<string> curveNames = {
         "RED:8B69AP|SNRFOR|USD|CR-UPFRONT",
         "RED:8B69AP|SNRFOR|USD|CR-PAR_SPREAD",
-        "RED:8B69AP|SNRFOR|USD|CR-CONV_SPREAD",
     };
 
     for (const string& curveName : curveNames) {

OREData/test/input/cds/upfront/todaysmarket_all_cds_quote_types.xml

@@ -6,6 +6,5 @@
   <DefaultCurves id="default">
     <DefaultCurve name="RED:8B69AP|SNRFOR|USD|CR-UPFRONT">Default/USD/RED:8B69AP|SNRFOR|USD|CR-UPFRONT</DefaultCurve>
     <DefaultCurve name="RED:8B69AP|SNRFOR|USD|CR-PAR_SPREAD">Default/USD/RED:8B69AP|SNRFOR|USD|CR-PAR_SPREAD</DefaultCurve>
-    <DefaultCurve name="RED:8B69AP|SNRFOR|USD|CR-CONV_SPREAD">Default/USD/RED:8B69AP|SNRFOR|USD|CR-CONV_SPREAD</DefaultCurve>
   </DefaultCurves>
 </TodaysMarket>