Fix MC

Author: sebastien.bouvard

Docker/Dockerfile-ORE-Dependencies

@@ -23,8 +23,23 @@ RUN apt-get update \
     swig \
     lld \
     python3-dev \
+    python3-pip \
+    python3-venv \
+    curl \
     -o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/* \
   && mv /usr/bin/ld /usr/bin/ld.backup \
-  && ln -s /usr/bin/lld /usr/bin/ld
+  && ln -s /usr/bin/lld /usr/bin/ld
+
+RUN \
+curl -sSL https://get.docker.com -o install-docker.sh && \
+sh install-docker.sh --version 28
+
+RUN python3 -m venv /venv
+ENV PATH="/venv/bin:$PATH"
+
+RUN \
+pip3 install cibuildwheel==3.2.1 && \
+rm -rf ~/.cache/pip
+

Docker/Dockerfile-Wheels-Boost

@@ -0,0 +1,11 @@
+
+ARG WHEEL_IMG
+FROM ${WHEEL_IMG}
+
+RUN \
+curl -O -L https://archives.boost.io/release/1.83.0/source/boost_1_83_0.tar.gz && \
+tar xfz boost_1_83_0.tar.gz && \
+cd boost_1_83_0 && \
+./bootstrap.sh --with-libraries=date_time,filesystem,iostreams,log,regex,serialization,system,thread,timer && \
+./b2 install
+

Docker/Dockerfile-Wheels-CIBW

@@ -0,0 +1,18 @@
+
+FROM ${DOCKER_REPO}ore-build-dependencies:${ORE_BUILD_VERSION}
+
+ARG WHEEL_ARCH
+ARG WHEEL_IMAGE
+
+ENV PATH="/venv/bin:$PATH"
+
+ENV CIBW_BUILD="cp310-manylinux_${WHEEL_ARCH} cp312-manylinux_${WHEEL_ARCH}"
+ENV CIBW_MANYLINUX_X86_64_IMAGE=${WHEEL_IMAGE}
+ENV CIBW_MANYLINUX_AARCH64_IMAGE=${WHEEL_IMAGE}
+ENV CIBW_BEFORE_BUILD="chmod +x ORE-SWIG/Wheels-gitlab/before_all_linux.sh && ORE-SWIG/Wheels-gitlab/before_all_linux.sh"
+
+WORKDIR /builds/qs/oreplus/ore
+RUN cibuildwheel --output-dir wheelhouse ORE-SWIG
+
+COPY wheelhouse /wheelhouse
+

Docker/Dockerfile-Wheels-ORE

@@ -0,0 +1,35 @@
+
+ARG WHEEL_IMG
+FROM ${WHEEL_IMG}
+
+ARG CMAKE_BUILD_TYPE=Release
+ARG NUM_CORES=16
+
+COPY CMakeLists.txt /ore/CMakeLists.txt
+COPY QuantLib /ore/QuantLib
+COPY QuantExt /ore/QuantExt
+COPY OREData /ore/OREData
+COPY OREAnalytics /ore/OREAnalytics
+COPY ThirdPartyLibs /ore/ThirdPartyLibs
+COPY cmake /ore/cmake
+
+RUN \
+dnf -y install clang && \
+dnf -y install ccache && \
+dnf -y install ninja-build
+
+ENV PATH="/usr/lib/ccache:$PATH"
+ENV CCACHE_DIR="/ccache"
+ENV CCACHE_MAXSIZE="10G"
+
+WORKDIR /ore
+RUN \
+mkdir build && \
+cd build && \
+cmake .. -GNinja -DCMAKE_BUILD_TYPE=${CMAKE_BUILD_TYPE} -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -DCMAKE_C_COMPILER=/usr/bin/clang -DCMAKE_CXX_COMPILER=/usr/bin/clang++ -DCMAKE_CXX_FLAGS="-D BOOST_ENABLE_ASSERT_HANDLER $([ "$(uname -m)" = "x86_64" ] && echo "-mavx2")" -DCMAKE_POSITION_INDEPENDENT_CODE=ON -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_TEST_SUITE=OFF -DQL_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DQL_ENABLE_SESSIONS=ON -DORE_BUILD_APP=OFF -DORE_BUILD_DOC=OFF -DORE_BUILD_EXAMPLES=OFF -DORE_BUILD_SWIG=OFF -DORE_BUILD_TESTS=OFF -DORE_ENABLE_OPENCL=OFF -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_PYTHON_INTEGRATION=OFF
+
+WORKDIR /ore/build
+RUN --mount=type=cache,target=/ccache/ ccache -z && \
+cmake --build . -- -j ${NUM_CORES} install && \
+ccache -s
+

Docs/UserGuide/allowablevalues.tex

@@ -258,6 +258,7 @@ \subsection{Allowable Values}
     \emph{Actual/365 (No Leap), Act/365 (NL), NL/365, Actual/365 (JGB)} & Actual 365 Fixed (No Leap Year)\\ \hline
     \emph{Act/365 (Canadian Bond)} & Actual 365 Fixed (Canadian Bond)\\ \hline
     \emph{T360, 30/360, ACT/nACT, 30/360 US, 30/360 (US), 30U/360, 30US/360} & Thirty 360 (US) \\ \hline
+    \emph{30/360 NASD} & Thirty 360 (NASD) \\ \hline
     \emph{30/360 (Bond Basis)} & Thirty 360 (Bond Basis) \\ \hline
     \emph{30E/360 (Eurobond Basis), 30E/360, 30/360 AIBD (Euro), 30E/360.ICMA, 30E/360 ICMA} & Thirty 360 (European) \\ \hline
     \emph{30E/360E, 30E/360 ISDA, 30E/360.ISDA, 30/360 German, 30/360 (German)} & Thirty 360 (German) \\ \hline

Docs/UserGuide/parameterisation/conventions.tex

@@ -641,6 +641,8 @@ \subsubsection{Inflation Swap Conventions}
   <AdjustInflationObservationDates>false</AdjustInflationObservationDates>
   <InflationCalendar>TARGET</InflationCalendar>
   <InflationConvention>MF</InflationConvention>
+  <StartDelay>2</StartDelay>
+  <StartDelayConvention>Following</StartDelayConvention>
 </InflationSwap>
 \end{minted}
 \caption{Inflation swap conventions}
@@ -659,6 +661,8 @@ \subsubsection{Inflation Swap Conventions}
 \item \lstinline!AdjustInflationObservationDates!: Flag indicating whether index observation dates should be adjusted or not.
 \item \lstinline!InflationCalendar!: The calendar for the inflation leg of the swap.
 \item \lstinline!InflationConvention!: The rolling convention for the inflation leg of the swap.
+\item \lstinline!StartDelay!: [Optional] The inflation swap starts n business days after today, defaults to zero if omitted.
+\item \lstinline!StartDelayConvention!: [Optional] BusinessDayConvention to adjust the start day, defaults to Following if omitted.
 
 \item \lstinline!PublicationRoll!:
 This is an optional node taking the values \lstinline!None!, \lstinline!OnPublicationDate! or \lstinline!AfterPublicationDate!. If omitted, the value \lstinline!None! is used. Currently, our only known use case for a value other than \lstinline!None! is for Australian zero coupon inflation indexed swaps (ZCIIS). Here, the index is published quarterly on the last Wednesday of the month following the end of the reference quarter. The start date and maturity date of the market quoted ZCIIS roll to the next quarterly date after the publication date of the index. For example, the AU CPI value for Q3 2020, i.e.\ 1 Jul 2020 to 30 Sep 2020 was released on 28 Oct 2020. On 27 Oct 2020, before the index publication date, the market 5Y ZCIIS would start on 15 Sep 2020 and end on 15 Sep 2025 and reference the Q2 inflation index value. On 29 Oct 2020, after the index publication date, the market 5Y ZCIIS would start on 15 Dec 2020 and end on 15 Dec 2025 and reference the Q3 inflation index value. On the release date, i.e. 28 Oct 2020, the market ZCIIS that is set up is determined by whether the \lstinline!PublicationRoll! value is \lstinline!OnPublicationDate! or \lstinline!AfterPublicationDate!. If it is set to \lstinline!OnPublicationDate!, the swap rolls on this date and hence the market 5Y ZCIIS would start on 15 Dec 2020 and end on 15 Dec 2025 and reference the Q3 inflation index value. If it is set to \lstinline!AfterPublicationDate!, the swap does not roll on the publication date and instead rolls on the next day, and hence the market 5Y ZCIIS would start on 15 Sep 2020 and end on 15 Sep 2025 and reference the Q2 inflation index value. The publication schedule for the index must be provided in the \lstinline!PublicationSchedule! node if \lstinline!PublicationRoll! is not \lstinline!None!. An example of the AU CPI conventions set up is given in Listing \ref{lst:aucpi_inflation_conventions}.

ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_app.i

@@ -208,7 +208,8 @@ public:
     // Setters for stress testing
     void setStressThreshold(Real r);
     void setStressSimMarketParams(const std::string& xml); 
-    void setStressScenarioData(const std::string& xml); 
+    void setStressScenarioData(const std::string& xml);
+    void setStressScenarioData(const ext::shared_ptr<StressTestScenarioData>& stressScenarioData);
     void setStressPricingEngine(const std::string& xml); 
     void setStressPricingEngine(const ext::shared_ptr<EngineData>& engineData);
     // Setters for VaR

ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_scenario.i

@@ -82,8 +82,8 @@ class StressTestScenarioData : public XMLSerializable {
   public:
     struct CurveShiftData {
         ShiftType shiftType;
-        vector<Real> shifts;
-        vector<Period> shiftTenors;
+        std::vector<Real> shifts;
+        std::vector<Period> shiftTenors;
     };
 
     struct SpotShiftData {
@@ -93,8 +93,8 @@ class StressTestScenarioData : public XMLSerializable {
 
     struct VolShiftData {
         ShiftType shiftType;
-        vector<Period> shiftExpiries;
-        vector<Real> shifts; 
+        std::vector<Period> shiftExpiries;
+        std::vector<Real> shifts; 
     };
 
     struct FXVolShiftData {
@@ -104,35 +104,35 @@ class StressTestScenarioData : public XMLSerializable {
             Weighted
         };
         ShiftType shiftType;
-        vector<Period> shiftExpiries;
-        vector<Real> shifts;
-        vector<Period> weightTenors;
-        vector<Real> weights;
+        std::vector<Period> shiftExpiries;
+        std::vector<Real> shifts;
+        std::vector<Period> weightTenors;
+        std::vector<Real> weights;
         AtmShiftMode mode = AtmShiftMode::Explicit;
     };
 
     struct CapFloorVolShiftData {
         ShiftType shiftType;
-        vector<Period> shiftExpiries;
-        vector<double> shiftStrikes;
-        std::map<Period, vector<Real>> shifts;
+        std::vector<Period> shiftExpiries;
+        std::vector<double> shiftStrikes;
+        std::map<Period, std::vector<Real>> shifts;
     };
     struct SwaptionVolShiftData {
         ShiftType shiftType;
         Real parallelShiftSize;
-        vector<Period> shiftExpiries;
-        vector<Period> shiftTerms;
-        map<pair<Period, Period>, Real> shifts;
+        std::vector<Period> shiftExpiries;
+        std::vector<Period> shiftTerms;
+        std::map<std::pair<Period, Period>, Real> shifts;
     };
     struct CommodityVolShiftData {
         ShiftType shiftType;
-        vector<Period> shiftExpiries;
-        vector<Real> shiftMoneyness;
-        vector<Real> shifts; 
+        std::vector<Period> shiftExpiries;
+        std::vector<Real> shiftMoneyness;
+        std::vector<Real> shifts; 
     };
     struct StressTestData {
         ~StressTestData() {}
-        string label;
+        std::string label;
         bool irCurveParShifts;
         bool irCapFloorParShifts;
         bool creditCurveParShifts;

ORE-SWIG/Wheels-gitlab/before_all_linux.sh

@@ -0,0 +1,8 @@
+#!/bin/bash
+
+pip3 install docker setuptools
+cd ORE-SWIG
+cp Wheels-gitlab/oreanalytics-config .
+chmod +x oreanalytics-config
+python3 setup.py wrap
+

ORE-SWIG/Wheels-gitlab/oreanalytics-config

@@ -0,0 +1,48 @@
+#!/bin/sh
+
+# The dockerfile Dockerfile-Wheels-CIBW launches cibuildwheel like so:
+#   WORKDIR /builds/qs/oreplus/ore
+#   cibuildwheel --output-dir wheelhouse ORE-SWIG
+# This tells cibuildwheel to start in directory "ore" and run in directory "ORE-SWIG".
+# Then cibuildwheel runs docker, and copies its current directory ("ore")
+# into the container, into directory "/project":
+ORE="/project"
+
+# On your system, the boost_thread lib may have a nonstandard name, e.g. boost_thread-mt.
+# If that is the case then set the BOOST_THREAD variable before calling this script, e.g:
+# export BOOST_THREAD=boost_thread-mt
+BOOST_THREAD="${BOOST_THREAD:=boost_thread}"
+
+usage="\
+Usage: oreanalytics-config [--libs] [--cflags]"
+
+if test $# -eq 0; then
+      echo "${usage}" 1>&2
+      exit 1
+fi
+
+while test $# -gt 0; do
+  case "$1" in
+  -*=*) optarg=`echo "$1" | sed 's/[-_a-zA-Z0-9]*=//'` ;;
+  *) optarg= ;;
+  esac
+
+  case $1 in
+    --cflags)
+      #echo -I${ORE}/build/QuantLib -I${ORE}/OREAnalytics -I${ORE}/OREData -I${ORE}/QuantExt -I${ORE}/QuantLib -I${BOOST_INC} -std=c++1z -DNDEBUG -Wno-free-nonheap-object -Wno-maybe-uninitialized -Wno-misleading-indentation
+      # We must not specify any include directories, because we have already installed boost and ORE to system directories:
+      echo -w
+      ;;
+    --libs)
+      #echo -L${ORE}/build/OREAnalytics/orea -lOREAnalytics -L${ORE}/build/OREData/ored -lOREData -L${ORE}/build/QuantExt/qle -lQuantExt -L${ORE}/build/QuantLib/ql -lQuantLib -L${BOOST_LIB} -l${BOOST_THREAD} -lboost_system -lboost_serialization -lboost_date_time -lboost_regex -lboost_filesystem -std=c++1z
+      # We must not specify any library directories, because we have already installed boost and ORE to system directories:
+      echo -lOREAnalytics -lOREData -lQuantExt -lQuantLib -l${BOOST_THREAD} -lboost_system -lboost_serialization -lboost_date_time -lboost_regex -lboost_filesystem
+      ;;
+    *)
+      echo "${usage}" 1>&2
+      exit 1
+      ;;
+  esac
+  shift
+done
+