git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "b902e9b04f"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "4f1bc0478a"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

Docs/UserGuide/tradecomponents/cmbleg.tex

@@ -22,7 +22,7 @@ \subsubsection{Constant Maturity Bond Leg Data}
           ...
         </ScheduleData>
         <CMBLegData>
-          <Index>CMB-US-TBILL-13W</Index>
+          <Index>CMB-US-TBILL-HD-13W</Index>
           <FixingDays>2</FixingDays>
           <Spreads>
             <Spread>0.0010</Spread>

Docs/UserGuide/tradedata/swaption.tex

@@ -6,7 +6,7 @@ \subsubsection{Swaption}
 component sub-node.  These trade components are outlined in section \ref{ss:option_data} and section
 \ref{ss:leg_data}.\\
 \vspace{5mm}
-Supported swaption exercise styles are \emph{European} and \emph{Bermudan}. Swaptions of both exercise styles can have an arbitrary number of legs, with
+Supported swaption exercise styles are \emph{European}, \emph{Bermudan}, \emph{American}. Swaptions of all exercise styles can have an arbitrary number of legs, with
 each leg represented by a \lstinline!LegData! sub-node.  Cross currency swaptions are not supported for either exercise style, i.e. the Currency element must
 have the same value for all \lstinline!LegData! sub-nodes of a swaption. There must be at least one full coupon period after the exercise date for European 
 Swaptions, and after the last exercise date for Bermudan Swaptions. See Table \ref{tab:swaption_requirements} for further details on requirements for

Docs/UserGuide/userguide.tex

@@ -5772,15 +5772,18 @@ \subsubsection{Market}\label{sec:sim_market}
 It should be noted that equity volatilities are taken to be a curve by default. To simulate an equity volatility surface with smile the xml node {\tt <Surface> } must be supplied.
 There are two methods in ORE for equity volatility simulation: 
 \begin{itemize}
-\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this case set {\tt <SimulateATMOnly>} to true.
-\item Simulating the full volatility surface. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and explicit moneyness levels for simulation should be provided.
+\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this
+  case set {\tt <SimulateATMOnly>} to true and no surface node is given.
+\item Simulating the full volatility surface. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and
+  explicit moneyness levels for simulation should be provided.
 \end{itemize}
 
 Swaption volatilities are taken to be a surface by default. To simulate a swaption volatility cube with smile the xml node {\tt <Cube> } must be supplied.
 There are two methods in ORE for swaption volatility cube simulation: 
 \begin{itemize}
 \item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this case set {\tt <SimulateATMOnly>} to true.
-\item Simulating the full volatility cube. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and explicit strike spreads for simulation should be provided.
+\item Simulating the full volatility cube. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and
+  explicit strike spreads for simulation should be provided.
 \end{itemize}
 
 FX volatilities are taken to be a curve by default. To simulate an FX volatility cube with smile the xml node {\tt <Surface> } must be supplied. The surface node contains the moneyness levels to be simulated.
@@ -5862,8 +5865,8 @@ \subsubsection{Market}\label{sec:sim_market}
     </Currencies>
     <Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
     <Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
+    <SimulateATMOnly>false</SimulateATMOnly>
     <Cube>
-     <SimulateATMOnly>false</SimulateATMOnly>
      <StrikeSpreads>-0.02,-0.01,0.0,0.01,0.02</StrikeSpreads>
     </Cube>
     <!-- Sets a new daycounter for just the EUR swaptionVolatility surface -->
@@ -5896,9 +5899,9 @@ \subsubsection{Market}\label{sec:sim_market}
         <Name>Lufthansa</Name>
       </Names>
       <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
+      <SimulateATMOnly>false</SimulateATMOnly>
       <Surface>
-        <SimulateATMOnly>false</SimulateATMOnly><!-- false -->
-        <Moneyness>0.1,0.5,1.0,1.5,2.0,3.0</Moneyness><!-- omitted if SimulateATMOnly true -->
+        <Moneyness>0.1,0.5,1.0,1.5,2.0,3.0</Moneyness>
       </Surface>
       <TimeExtrapolation>Flat</TimeExtrapolation>
       <StrikeExtrapolation>Flat</StrikeExtrapolation>

Examples/Example_15/ExpectedOutput/npv.csv

@@ -1,5 +1,5 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3115851.065563,EUR,-3115851.065563,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
+BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3115844.394193,EUR,-3115844.394193,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
 BOND,Bond,2021-02-03,4.994783,12902649.282760,EUR,12902649.282760,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
 Bond_Floating,Bond,2021-02-03,4.994783,10765048.489931,EUR,10765048.489931,EUR,10000000.00,EUR,10000000.00,,CPTY_C
 CAP_EUR,CapFloor,2026-02-09,10.011221,-6881.951398,EUR,-6881.951398,EUR,1000000.00,EUR,1000000.00,CPTY_A,CPTY_A