Merge remote-tracking branch 'origin/master' into feature/QPR-13646

Author: pcaspers

Docs/UserGuide/pricing/pricingengines.tex

@@ -1823,6 +1823,10 @@ \subsection{Product Type: IndexCreditDefaultSwap}
 \item Curve: Index, Underlying
 \item SensitivityDecomposition: Underlying, NotionalWeighted, LossWeighted, DeltaWeighted
 \item SensitivityTemplate [optional]: the sensitivity template to use 
+\item CalibrateUnderlyingCurves [optional]: Only applies when Curve is set to Underlying. 
+If true, it apply a spread to the the individual constituent curves to match the index CDS spread. 
+This ensures that pricing the index CDS using underlying curves produces the same NPV as pricing with the index curve directly. Defaults to false.
+(See Calibration of default curves for index tranches for details.)
 \end{itemize}
 
 \begin{longlisting}
@@ -1835,6 +1839,7 @@ \subsection{Product Type: IndexCreditDefaultSwap}
         <Parameter name="Curve">Index</Parameter>
         <Parameter name="SensitivityDecomposition">DeltaWeighted</Parameter>
         <Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
+        <Parameter name="CalibrateUnderlyingCurves">false</Parameter>
     </EngineParameters>
 </Product>
 \end{minted}
@@ -1867,6 +1872,10 @@ \subsection{Product Type: IndexCreditDefaultSwapOption}
 \item FepCurve: Index, Underlying
 \item SensitivityDecomposition: Underlying, NotionalWeighted, LossWeighted, DeltaWeighted
 \item SensitivityTemplate [optional]: the sensitivity template to use 
+\item CalibrateUnderlyingCurves [optional]: Only applies when Curve or FepCurve is set to Underlying. 
+If true, it apply a spread to the the individual constituent curves to match the index CDS spread. 
+This ensures that pricing the index CDS using underlying curves produces the same NPV as pricing with the index curve directly. Defaults to false.
+(See Calibration of default curves for index tranches for details.)
 \end{itemize}
 
 \begin{longlisting}
@@ -1898,6 +1907,10 @@ \subsection{Product Type: IndexCreditDefaultSwapOption}
 \item FepCurve: Index, Underlying
 \item SensitivityDecomposition: Underlying, NotionalWeighted, LossWeighted, DeltaWeighted
 \item SensitivityTemplate [optional]: the sensitivity template to use 
+\item CalibrateUnderlyingCurves [optional]: Only applies when Curve or FepCurve is set to Underlying. 
+If true, it apply a spread to the the individual constituent curves to match the index CDS spread. 
+This ensures that pricing the index CDS using underlying curves produces the same NPV as pricing with the index curve directly. Defaults to false.
+(See Calibration of default curves for index tranches for details.)
 \end{itemize}
 
 \begin{longlisting}

Docs/UserGuide/tradedata/extendedfxforwardswap.tex

@@ -2,6 +2,8 @@ \subsubsection{Extended Fx Forward Swap}
 
 Extended Fx Forward Swap are represented as scripted trades, refer to appendix A for an introduction. Listing \ref{lst:extendedfxforwardswap} shows the structure of an example.
 
+An Extended Fx Forward Swap is like an FxAccumulator with regular and conditional observation and settlement dates. After the regular observation dates a European barrier is applied on the Extension Decision Date. If the barrier is  hit the trade terminates, otherwise the trade continues with cashflows generated on the conditional observation dates.
+
 \begin{listing}[H]
 \begin{minted}[fontsize=\footnotesize]{xml}
 <Trade id="ExtendedForward">
@@ -63,6 +65,13 @@ \subsubsection{Extended Fx Forward Swap}
                         <Date>2020-03-31</Date>
                         <Date>2020-04-30</Date>
                         <Date>2020-05-29</Date>
+\end{minted}
+\caption{Extended Fx Forward Swap Representation}
+\label{lst:extendedfxforwardswap}
+\end{listing}
+
+\begin{listing}[H]
+\begin{minted}[fontsize=\footnotesize]{xml}                        
                         <Date>2020-06-30</Date>
                         <Date>2020-07-31</Date>
                         <Date>2020-08-31</Date>
@@ -115,8 +124,8 @@ \subsubsection{Extended Fx Forward Swap}
     </ScriptedTradeData>
 </Trade>
 \end{minted}
-\caption{Extended Fx Forward Swap Representation}
-\label{lst:extendedfxforwardswap}
+\caption{Extended Fx Forward Swap Representation, continued}
+\label{lst:extendedfxforwardswap2}
 \end{listing}
 
 The meanings and allowable values of the elements in the \verb+Extended Fx Forward Swap+  representation follow below.

Docs/UserGuide/tradedata/totalReturnSwap.tex

@@ -55,10 +55,13 @@ \subsubsection{Generic Total Return Swap / Contract for Difference (CFD)}
   \item CBO: See \ref{ss:CBOData}, the trade data is given in a CBOData sub node.
   \item CommodityPosition: See \ref{ss:commodity_position}, the trade data is given in a CommodityPositionData sub node.
   \item ConvertibleBond: See \ref{ss:convertible_bond}, the trade data is given in a ConvertibleBondData sub
-    node. When using reference data, a TRS on a convertible bond can also be captured as a TRS on a bond, i.e. there is
-    no need to distinguish between a TRS on a Bond and a TRS on a convertible Bond in this case, the pricer will figure
+    node. When using reference data, a TRS on a Convertible Bond can also be captured as a TRS on a Bond, i.e. there is
+    no need to distinguish between a TRS on a Bond and a TRS on a Convertible Bond in this case, the pricer will figure
     out which underlying to set up based on the type of reference data that is set up for the ISIN referenced in the
     security id field.
+  \item CallableBond: See \ref{ss:callable_bond}, the trade data is given in a CallableBond sub node. When using reference data, 
+  a TRS on a Callable Bond can also be captured as a TRS on a bond, i.e. there is no need to distinguish between a TRS on a Bond and a TRS on a Callable Bond.  
+  The pricer will figure out which underlying to set up based on the type of reference data that is set up for the ISIN referenced in the security id field.   
   \item EquityPosition: See \ref{ss:equity_position}, the trade data is given in a EquityPositionData sub
     node. Notice that the equities given in the basket must be available as quoted market data. To represent a TRS on an Equity Futures position, one or multiple EquityPosition underlyings are used, where the equity positions cover the underlying equity of the futures position.
 
@@ -324,6 +327,32 @@ \subsubsection{Generic Total Return Swap / Contract for Difference (CFD)}
 \label{lst:trsdata}
 \end{listing}
 
+
+\begin{listing}[H]
+%\hrule\medskip
+\begin{minted}[fontsize=\footnotesize]{xml}
+    <TotalReturnSwapData>
+      <UnderlyingData>
+        <Trade>
+          <TradeType>CallableBond</TradeType>
+          <CallableBondData>
+            <BondData>
+              <SecurityId>ISIN:XS0123456789</SecurityId>
+              <BondNotional>100000000</BondNotional>
+            </BondData>
+          </CallableBondData>
+        </Trade>
+      </UnderlyingData>
+      <!-- omitting ReturnData, FundingData, AdditionalCashflowData -->
+    </TotalReturnSwapData>
+  </Trade>
+\end{minted}
+\caption{Generic Total Return Swap with Callable Bond underlying}
+\label{lst:trsdata15}
+\end{listing}
+
+
+
 \begin{listing}[H]
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}

Docs/UserGuide/tradedata/var_and_vol_derivatives.tex

@@ -1,4 +1,4 @@
-\subsubsection{Exotic Variance and Volatility Derivatives}
+\subsubsection*{Exotic Variance and Volatility Derivatives}
 \label{SubSectionExoticVarianceSwap}
 
 These are vanilla variance/volatility swaps and options on an underlying with some additional payoff features,
@@ -54,7 +54,7 @@ \subsubsection{Exotic Variance and Volatility Derivatives}
 
 Trade input and the associated payoff script are described in the following for 12 supported variations.
 
-\subsubsection*{Variance Option}
+\subsubsection{Variance Option}
 
 The traditional trade representation is as follows, using an EQ underlying in this example:
 
@@ -191,7 +191,7 @@ \subsubsection*{Variance Option}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Variance Swap with KI/KO Barrier}
+\subsubsection{Variance Swap with KI/KO Barrier}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -360,7 +360,7 @@ \subsubsection*{Variance Swap with KI/KO Barrier}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier}
+\subsubsection{Dual European Binary Option with Volatility and Spot KO Barrier}
 
 The traditional trade representation is as follows, using an EQ underlying in this example:
 
@@ -474,7 +474,7 @@ \subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Corridor Variance Swap}
+\subsubsection{Corridor Variance Swap}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -649,7 +649,7 @@ \subsubsection*{Corridor Variance Swap}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Indexed Corridor Variance Swap}
+\subsubsection{Indexed Corridor Variance Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -820,7 +820,7 @@ \subsubsection*{Indexed Corridor Variance Swap}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Corridor Variance Swap with KI/KO Barrier}
+\subsubsection{Corridor Variance Swap with KI/KO Barrier}
 
 The traditional trade representation is as follows, using an EQ underlying in this example:
 
@@ -1008,7 +1008,7 @@ \subsubsection*{Corridor Variance Swap with KI/KO Barrier}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Conditional Variance Swap 01}
+\subsubsection{Conditional Variance Swap 01}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -1187,7 +1187,7 @@ \subsubsection*{Conditional Variance Swap 01}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Conditional Variance Swap 02}
+\subsubsection{Conditional Variance Swap 02}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -1372,7 +1372,7 @@ \subsubsection*{Conditional Variance Swap 02}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Pairwise Variance Swap}
+\subsubsection{Pairwise Variance Swap}
 
 The \lstinline!FxPairwiseVarianceSwap! and \lstinline!EquityPairwiseVarianceSwap! trade types
 have trade data containers (respectively):
@@ -1664,7 +1664,7 @@ \subsubsection*{Pairwise Variance Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Variance Dispersion Swap}
+\subsubsection{Variance Dispersion Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -1875,7 +1875,7 @@ \subsubsection*{Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Corridor Variance Dispersion Swap}
+\subsubsection{Corridor Variance Dispersion Swap}
 
 This instrument is a variance dispersion swap with a corridor feature, where variance is accrued only when the
 the price of the first underlying of each pair of underlyings (between the first and second basket) falls within
@@ -2106,7 +2106,7 @@ \subsubsection*{Corridor Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{KO Corridor Variance Dispersion Swap}
+\subsubsection{KO Corridor Variance Dispersion Swap}
 
 This instrument is a variance dispersion swap with a double-barrier knock-out and a corridor feature.
 
@@ -2387,7 +2387,7 @@ \subsubsection*{KO Corridor Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Pairwise Geometric Variance Dispersion Swap}
+\subsubsection{Pairwise Geometric Variance Dispersion Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -2569,7 +2569,7 @@ \subsubsection*{Pairwise Geometric Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Gamma Swap}
+\subsubsection{Gamma Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -2668,7 +2668,7 @@ \subsubsection*{Gamma Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Basket Variance Swap}
+\subsubsection{Basket Variance Swap}
 
 The \lstinline!FxBasketVarianceSwap! and \lstinline!EquityBasketVarianceSwap! \lstinline!CommodityBasketVarianceSwap! trade types
 have trade data containers (respectively):

OREAnalytics/orea/engine/marketriskreport.cpp

@@ -19,6 +19,7 @@
 #include <ored/marketdata/todaysmarket.hpp>
 #include <ored/portfolio/trade.hpp>
 #include <ored/utilities/to_string.hpp>
+#include <orea/app/structuredanalyticserror.hpp>
 #include <orea/cube/cubewriter.hpp>
 #include <orea/cube/inmemorycube.hpp>
 #include <orea/cube/npvcube.hpp>
@@ -316,6 +317,14 @@ void MarketRiskReport::calculate(const ext::shared_ptr<MarketRiskReport::Reports
 
             writePnl_ = tradeGroup->allLevel() && riskGroup->allLevel();
             tradeIdIdxPairs_ = tradeIdGroups_.at(tradeGroupKey(tradeGroup));
+            if (tradeIdIdxPairs_.size() == 0) {
+                StructuredAnalyticsErrorMessage(
+                    "Market Risk Backtest", "No trades for tradeGroup",
+                    "No trades to process for RiskGroup: " + riskGroup->to_string() + ", TradeGroup: "
+                        + tradeGroup->to_string())
+                    .log();
+                continue;
+            }
 
             // populate the tradeIds
             transform(tradeIdIdxPairs_.begin(), tradeIdIdxPairs_.end(), back_inserter(tradeIds_),

OREData/ored/marketdata/basecorrelationcurve.cpp

@@ -509,8 +509,7 @@ void BaseCorrelationCurve::buildFromUpfronts(const Date& asof, const BaseCorrela
                 dpts.push_back(creditCurve->curve());
             }
 
-            Handle<DefaultProbabilityTermStructure> indexCurve;
-            Handle<Quote> indexRecovery;
+            
             Handle<YieldTermStructure> discountCurve;
             // check if curveID has term suffix already (e.g. "RED:ABCDEFGH_5Y"), if so use that, otherwise use term from config
             auto p = ore::data::splitCurveIdWithTenor(config.curveID());
@@ -525,12 +524,9 @@ void BaseCorrelationCurve::buildFromUpfronts(const Date& asof, const BaseCorrela
             QL_REQUIRE(indexCreditCurve != nullptr,
                        "Can not imply base correlation, index credit curve " << indexNameWithTerm << " missing");
             discountCurve = indexCreditCurve->rateCurve();
-            indexCurve = indexCreditCurve->curve();
-            indexRecovery = indexCreditCurve->recovery();
-
+            
             if (config.calibrateConstituentsToIndexSpread()) {
-                auto curveCalibration = ext::make_shared<QuantExt::CreditIndexConstituentCurveCalibration>(
-                    config.startDate(), term, config.indexSpread(), indexRecovery, indexCurve, discountCurve);
+                auto curveCalibration = ext::make_shared<QuantExt::CreditIndexConstituentCurveCalibration>(indexCreditCurve);
 
                 auto calibrationResults = curveCalibration->calibratedCurves(
                     basketData.remainingNames, basketData.remainingWeights, dpts, recoveryRates);

OREData/ored/marketdata/defaultcurve.cpp

@@ -336,11 +336,12 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
     refData.tenor = Period(cdsConv->frequency());
     refData.calendar = cdsConv->calendar();
     refData.convention = cdsConv->paymentConvention();
-    refData.termConvention = cdsConv->paymentConvention();
+    refData.termConvention = Unadjusted;
     refData.rule = cdsConv->rule();
     refData.payConvention = cdsConv->paymentConvention();
     refData.dayCounter = cdsConv->dayCounter();
-    refData.lastPeriodDayCounter = cdsConv->lastPeriodDayCounter();
+    if (cdsConv->lastPeriodDayCounter() != DayCounter())
+        refData.lastPeriodDayCounter = cdsConv->lastPeriodDayCounter();
     refData.cashSettlementDays = cdsConv->upfrontSettlementDays();
 
     // If the configuration instructs us to imply a default from the market data, we do it here.

OREData/ored/portfolio/bondtotalreturnswap.cpp

@@ -83,14 +83,14 @@ void BondTRS::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFactor
 
     QuantLib::ext::shared_ptr<BondIndex> bondIndex;
 
-    auto bondType = getBondReferenceDatumType(bondData_.securityId(), engineFactoryOverride->referenceData());
-
     BondIndexBuilder bondIndexBuilder;
 
     Real bondNotional = bondData_.bondNotional();
 
     try {
 
+        auto bondType = getBondReferenceDatumType(bondData_.securityId(), engineFactoryOverride->referenceData());
+
         if (bondType.empty() || bondType == BondReferenceDatum::TYPE) {
 
             // vanilla bond underlying
@@ -123,6 +123,7 @@ void BondTRS::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFactor
         // try to fill some fields for trade matching purposes although the trade build itself failed already
         npvCurrency_ = fundingLegData_.currency();
         notionalCurrency_ = bondData_.currency();
+        notional_ = 1.0;
         for (auto const& d : bondData_.coupons()) {
             try {
                 auto s = makeSchedule(d.schedule());