merge master

Author: sebastien.bouvard

Docs/UserGuide/parameterisation/sensitivity.tex

@@ -341,7 +341,9 @@ \subsubsection*{Par Sensitivity Analysis}
 ParConversion Fields:
 
 \begin{itemize}
-\item \textbf{Instruments} a comma separated list of par instrument types, see below for the possible values.
+\item \textbf{Instruments} a comma separated list of par instrument types, see below for the possible values. The
+  3-letter instrument code can be extended by an arbitrary suffix to reference different conventions. For example, you
+  can use FRA1, FRA2 in the instrument list to build FRA instruments with different convention ids FRA1, FRA2.
 \item \textbf{DiscountCurve} \textit{optional}: discount curve used for pricing the par instrument.
 \item \textbf{RateComputationPeriod} \textit{optional}: required for OIS CapFloors, sepcify the period of the optionlet.
 \end{itemize}

Docs/UserGuide/pricing/ir_capfloor.tex

@@ -150,9 +150,10 @@ \subsubsection{Pricing of an backward looking RFR caplet}
 
 and which allows to price an RFR caplet as if it was a standard Ibor caplet with caplet volatility
 $\sigma_\text{eff}(t_1)$ and fixing time $t_1$. We do not use $\sigma_\text{eff}$ to represent caplet volatilities in
-bootstrapped or proxied caplet volatility surfaces for RFR underlyings. We also do not report $\sigma_\text{eff}$ as the
-pricing vol in the cashflow report. Instead we use $\sigma(t_0)$ in all cases (where we set $\sigma(t_0) := \sigma(0)$
-for $t_0 < 0$).
+bootstrapped or proxied caplet volatility surfaces for RFR underlyings. Instead we use $\sigma(t_0)$, where we set
+$\sigma(t_0) := \sigma(0)$ for $t_0 < 0$. However we report $\sigma_\text{eff}$ as ``EffectiveCapVolatility'',
+``EffectiveFloorVolatility'' in the cashflow report, in addition to ``CapVolatility'', ``FloorVolatility'' referring to
+$\sigma(t_0)$.
 
 \subsubsection{Pricing of a SIFMA caplet}
 

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/setup.py

@@ -5,15 +5,19 @@
 """
 
 import os, sys, math, codecs
-from distutils.cmd import Command
-from distutils.command.build_ext import build_ext
-from distutils.command.build import build
-from distutils.ccompiler import get_default_compiler
-try:
-    from setuptools import setup, Extension
-except:
+if sys.version_info < (3,10):
+    from distutils.cmd import Command
+    from distutils.command.build_ext import build_ext
+    from distutils.command.build import build
+    from distutils.ccompiler import get_default_compiler
     from distutils.core import setup, Extension
-from distutils import sysconfig
+    from distutils import sysconfig
+else:
+    from setuptools import Command
+    from setuptools.command.build_ext import build_ext
+    from setuptools.command.build import build
+    from setuptools._distutils.ccompiler import get_default_compiler
+    from setuptools import setup, Extension
 
 class test(Command):
     # Original version of this class posted
@@ -68,22 +72,13 @@ def run(self):
         qle_swig_dir = os.path.join("QuantExt-SWIG","SWIG")
         oredata_swig_dir = os.path.join("OREData-SWIG","SWIG")
         orea_swig_dir = os.path.join("OREAnalytics-SWIG","SWIG")
-        if sys.version_info.major >= 3:
-            os.system('swig -python -c++ ' +
-                      '-I%s ' % ql_swig_dir +
-                      '-I%s ' % qle_swig_dir +
-                      '-I%s ' % oredata_swig_dir +
-                      '-I%s ' % orea_swig_dir +
-                      '-o oreanalytics_wrap.cpp ' +
-                      os.path.join("OREAnalytics-SWIG","SWIG","oreanalytics.i"))
-        else:
-            os.system('swig -python -c++ ' +
-                      '-I%s ' % ql_swig_dir +
-                      '-I%s ' % qle_swig_dir +
-                      '-I%s ' % oredata_swig_dir +
-                      '-I%s ' % orea_swig_dir +
-                      '-o oreanalytics_wrap.cpp ' +
-                      os.path.join("OREAnalytics-SWIG","SWIG","oreanalytics.i"))
+        os.system('swig -python -c++ ' +
+                  '-I%s ' % ql_swig_dir +
+                  '-I%s ' % qle_swig_dir +
+                  '-I%s ' % oredata_swig_dir +
+                  '-I%s ' % orea_swig_dir +
+                  '-o oreanalytics_wrap.cpp ' +
+                  os.path.join("OREAnalytics-SWIG","SWIG","oreanalytics.i"))
 
 class my_build(build):
     user_options = build.user_options + [
@@ -264,13 +259,6 @@ def finalize_options(self):
 
 datafiles  = []
 
-# patch distutils if it can't cope with the "classifiers" or
-# "download_url" keywords
-if sys.version < '2.2.3':
-    from distutils.dist import DistributionMetadata
-    DistributionMetadata.classifiers = None
-    DistributionMetadata.download_url = None
-
 classifiers = [
     'Development Status :: 5 - Production/Stable',
     'Environment :: Console',
@@ -297,7 +285,7 @@ def finalize_options(self):
       """,
       author           = "Quaternion Risk Management",
       author_email     = "info@quaternion.com",
-      url              = "http://quaternion.com",
+      url              = "http://opensourcerisk.org/",
       license          = codecs.open('LICENSE.txt','r+',
                                      encoding='utf8').read(),
       classifiers      = classifiers,

ORE-SWIG/tutorials.03.build_windows.md

@@ -48,11 +48,11 @@ its prerequisites, e.g:
     SET ZLIB_ROOT=C:\repos\vcpkg\packages\zlib_x64-windows (optional)
     SET ORE_DIR=C:\repos\ore
 
-# Build ORE and ORE-SWIG
+# Build ORE and ORESWIG
 
-There are two ways to build ORESWIG: using **cmake**, or using **setup.py**.
-With cmake, you can generate the wrapper.  With setup.py you can generate both
-the wrapper and the wheel. Regardless, ORE libraries must be built first.
+You can use **cmake** to build ORE and the ORESWIG wrapper.  You can use
+**setup.py** to build the ORESWIG wrapper and wheel.  If you use setup.py to
+build ORE-SWIG, you must first build ORE.
 
 ## Build ORE/ORESWIG via CMake
 
@@ -70,7 +70,7 @@ Make sure to add the location of the ORE-SWIG package to your PYTHONPATH, e.g:
 
     SET PYTHONPATH=%ORE_DIR%\build\ORE-SWIG;%ORE_DIR%\build\ORE-SWIG\Release
 
-## Build ORE/ORESWIG via setup.py
+## Build ORESWIG via setup.py
 
 If using the setup.py method, you would have to build ORE with cmake as
 demonstrated above, but, when configuring cmake, disable the SWIG build with:
@@ -84,6 +84,8 @@ we create a virtual environment into which we install the packages required by
 setup.py.
 
     cd %ORE_DIR%\ORE-SWIG
+    SET BOOST=C:\repos\boost\boost_1_72_0
+    SET BOOST_LIB64=C:\repos\boost\boost_1_72_0\lib64-msvc-14.2
     SET ORE_STATIC_RUNTIME=1
     SET ORE_USE_ZLIB=1
     SET PATH=%PATH%;C:\path\to\swig
@@ -116,9 +118,9 @@ not then `cube.dat` is generated as a flat (plain text) file.
 ## Build the wheel with setup.py
 
 Whether you used cmake or setup.py above to build the wrapper, you can use
-setup.py to build the wheel.  If you used setup.py then you already have the
-python virtual environment, and you can reuse it, otherwise you can create a
-new one as shown below.
+setup.py to build the wheel.  If you used setup.py before then you already have
+the python virtual environment, and you can reuse it, otherwise you can create
+a new one as shown below.
 
     cd %ORE_DIR%\ORE-SWIG
     SET BOOST=C:\repos\boost\boost_1_72_0