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QPR-12370 migrate ORE+ to ORE
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‎Docs/UserGuide/userguide.tex‎

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@@ -1243,7 +1243,7 @@ \section{Examples}\label{sec:examples}
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\hline
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43 & Credit Portfolio Model \\
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\hline
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44 & ISDA SIMM Model \\
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44 & Initial Margin: ISDA SIMM and IM Schedule \\
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\hline
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45 & Collateralized Bond Obligation \\
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\hline
@@ -3241,12 +3241,14 @@ \subsection{Credit Portfolio Model}% Example 43
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The last demo case in this table can be activated by uncommenting the corresponding section at the end of the {\tt run.py} script.
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%--------------------------------------------------------------------
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\subsection{ISDA SIMM Model}% Example 44
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\subsection{Initial Margin: ISDA SIMM and IM Schedule}% Example 44
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\label{example:44}
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%--------------------------------------------------------------------
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This example demonstrates the calculation of initial margin using ISDA's Standard Initial Margin Model (SIMM) based on a provided
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sensitivity file in ISDA's Common Risk Interchange Format (CRIF).
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sensitivity file in ISDA's Common Risk Interchange Format (CRIF). In addition, we show how to use the standard "IM Schdule" method to compute
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initial margin.
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ORE covers all SIMM versions since inception to date, i.e.\ 1.0, 1.1, 1.2, 1.3, 1.3.38, 2.0, 2.1, 2.2, 2.3, 2.4 (=2.3.8), 2.5, 2.5A, 2.6 (=2.5.6).
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All versions have been tested against the respective ISDA SIMM model unit test suites and pass these tests.
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Any new SIMM versions will be added with each ORE release.
@@ -3274,7 +3276,7 @@ \subsection{ISDA SIMM Model}% Example 44
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\end{itemize}
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\medskip
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There are four input files -- {\tt ore\_SIMM2.4\_1D.xml}, {\tt ore\_SIMM2.4\_10D.xml}, {\tt ore\_SIMM2.6\_1D.xml}, {\tt ore\_SIMM2.6\_10D.xml} -- with corresponding folders in the {\tt Output/} directory.
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There are four SIMM-related input files -- {\tt ore\_SIMM2.4\_1D.xml}, {\tt ore\_SIMM2.4\_10D.xml}, {\tt ore\_SIMM2.6\_1D.xml}, {\tt ore\_SIMM2.6\_10D.xml} -- with corresponding folders in the {\tt Output/} directory.
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The relevant inputs in the files are:
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\begin{itemize}
@@ -3293,6 +3295,34 @@ \subsection{ISDA SIMM Model}% Example 44
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\medskip
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\centerline{\tt python ore.py}
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\subsubsection*{IM Schedule}
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As an additonal case in this example we demonstrate how to use the IM Schedule method to compute initial margin.
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The related input file is {\tt Input/ore\_schedule.xml}. It is also run when calling {\tt python run.py}, and results are written to folder
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{\tt Output/IM\_SCHEDULE}.
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The basic input is provided in CRIF file format where ORE expects two lines per trade, one with RiskClass = PV and one with RiskClass = Notional,
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so that the amounts in these CRIF lines are interpeted as NPV respectively notional.
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Further required columns are product class and end date, as shown in the example {\tt Input/crif\_schedule.csv}. Note that the product class has to be in
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\begin{itemize}
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\item Rates
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\item FX
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\item Equity
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\item Credit
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\item Commodity
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\end{itemize}
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in contrast to SIMM where we use the combined RatesFX.
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To run the IM Schedule analytic, the following minimal addition to {\tt Input/ore\_schedule.xml} is required.
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\begin{minted}[fontsize=\scriptsize]{xml}
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<Analytics>
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<Analytic type="imschedule">
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<Parameter name="active">Y</Parameter>
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<Parameter name="crif">crif_schedule.csv</Parameter>
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<Parameter name="calculationCurrency">USD</Parameter>
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</Analytic>
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</Analytics>
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\end{minted}
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%--------------------------------------------------------
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\subsection{Collateralized Bond Obligation}% Example 45
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%--------------------------------------------------------
@@ -3904,6 +3934,7 @@ \subsubsection{Analytics}\label{sec:analytics}
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\item stress
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\item parametricVar
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\item simm
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\item imschedule
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\end{itemize}
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Each {\tt Analytic} section contains a list of key/value pairs to parameterise the analysis of the form {\tt <Parameter
@@ -4464,6 +4495,39 @@ \subsubsection{Analytics}\label{sec:analytics}
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The SIMM analytic requires minimal market data input and today's market configuration - FX rates for conversions calculation currency, USD and result currency.
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\medskip The {\tt imschedule} 'analytic' provides initial margin calculation using the standard "IM Schedule" method that is based on
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trade NPV, notional, end date and product class. ORE expects the inputs in the form of a CRIF file.
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Listing \ref{lst:ore_simm} shows a configuration example.
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Analytics>
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<Analytic type="imschedule">
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<Parameter name="active">Y</Parameter>
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<Parameter name="crif">schedule_crif.csv</Parameter>
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<Parameter name="calculationCurrency">USD</Parameter>
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</Analytic>
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<Analytics>
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\end{minted}
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\caption{ORE analytic: IM Schedule}
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\label{lst:ore_schedule}
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\end{listing}
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The input CRIF file here has two lines per trade, for RiskClass = PV respectively RiskClass Notional.
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Additonally required columns are product class and end date, see example 44.
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The idea is that the inputs can be externally provided. Therefore the IM Schedule analytic does not require a portfolio.
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The alternative -- ORE uses a portfolio to compute NPV, imply product class and end date -- has not been implemented yet.
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Note that the IM Schedule product class has to be in
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\begin{itemize}
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\item Rates
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\item FX
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\item Equity
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\item Credit
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\item Commodity
4528+
\end{itemize}
4529+
in contrast to SIMM where we use the combined RatesFX product class.
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%--------------------------------------------------------
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\subsection{Market: {\tt todaysmarket.xml}}\label{sec:market}
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%--------------------------------------------------------

‎Examples/Example_44/ExpectedOutput/IM_SCHEDULE/im_schedule.csv‎

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#Portfolio,ProductClass,GrossIM,GrossCurrentRC,NetCurrentRC,NetToGrossRatio,Side,Regulation,ScheduleIM,Currency
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nettingSetId_1,Rates,989.66,#N/A,#N/A,#N/A,Call,Unspecified,989.66,USD
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nettingSetId_1,All,989.66,4804.86,501.06,0.104282,Call,Unspecified,457.79,USD
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All,All,#N/A,#N/A,#N/A,#N/A,Call,Unspecified,457.79,USD
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nettingSetId_1,Rates,989.66,#N/A,#N/A,#N/A,Post,Unspecified,989.66,USD
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nettingSetId_1,All,989.66,-4303.80,0.00,0.000000,Post,Unspecified,395.86,USD
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All,All,#N/A,#N/A,#N/A,#N/A,Post,Unspecified,395.86,USD

‎Examples/Example_44/ExpectedOutput/IM_SCHEDULE/im_schedule_trade.csv‎

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#TradeId,Portfolio,ProductClass,EndDate,Maturity,Label,Multiplier,Notional,NotionalCurrency,PV,PVCurrency,Notional(Base),PV(Base),BaseCurrency,GrossIM(Base),CollectRegulations,PostRegulations
2+
IM_Schedule_1,nettingSetId_1,Rates,2021-08-24,1.64932,Interest Rate 0-2 years,0.01,6027.63,EUR,1014.05,EUR,7074.63,1190.19,USD,70.75,Unspecified,Unspecified
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IM_Schedule_2,nettingSetId_1,Rates,2021-08-24,1.64932,Interest Rate 0-2 years,0.01,1.14,GBP,874.35,GBP,1.51,1154.14,USD,0.02,Unspecified,Unspecified
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IM_Schedule_3,nettingSetId_1,Rates,2021-08-24,1.64932,Interest Rate 0-2 years,0.01,5496.62,USD,-1166.76,USD,5496.62,-1166.76,USD,54.97,Unspecified,Unspecified
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IM_Schedule_4,nettingSetId_1,Rates,2022-08-24,2.64932,Interest Rate 2-5 years,0.02,2909.05,EUR,1038.63,EUR,3414.35,1219.04,USD,68.29,Unspecified,Unspecified
6+
IM_Schedule_5,nettingSetId_1,Rates,2022-08-24,2.64932,Interest Rate 2-5 years,0.02,9726.84,GBP,-699.44,GBP,12839.43,-923.26,USD,256.79,Unspecified,Unspecified
7+
IM_Schedule_6,nettingSetId_1,Rates,2022-08-24,2.64932,Interest Rate 2-5 years,0.02,2067.19,USD,-308.77,USD,2067.19,-308.77,USD,41.34,Unspecified,Unspecified
8+
IM_Schedule_7,nettingSetId_1,Rates,2023-08-24,3.64932,Interest Rate 2-5 years,0.02,8212.29,EUR,-1061.78,EUR,9638.77,-1246.22,USD,192.78,Unspecified,Unspecified
9+
IM_Schedule_8,nettingSetId_1,Rates,2023-08-24,3.64932,Interest Rate 2-5 years,0.02,9779.90,GBP,940.53,GBP,12909.46,1241.49,USD,258.19,Unspecified,Unspecified
10+
IM_Schedule_9,nettingSetId_1,Rates,2023-08-24,3.64932,Interest Rate 2-5 years,0.02,2327.28,USD,-658.80,USD,2327.28,-658.80,USD,46.55,Unspecified,Unspecified

‎Examples/Example_44/Input/crif_schedule.csv‎

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TradeID,PortfolioID,ProductClass,RiskType,Qualifier,Bucket,Label1,Label2,AmountCurrency,Amount,AmountUSD,end_date,im_model
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IM_Schedule_1,nettingSetId_1,Rates,PV,,,,,EUR,1014.052346,1190.193238,24/08/2021,Schedule
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IM_Schedule_1,nettingSetId_1,Rates,Notional,,,,,EUR,6027.633761,7074.633745,24/08/2021,Schedule
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IM_Schedule_2,nettingSetId_1,Rates,PV,,,,,GBP,874.3453637,1154.13588,24/08/2021,Schedule
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IM_Schedule_2,nettingSetId_1,Rates,Notional,,,,,GBP,1.143748173,1.509747589,24/08/2021,Schedule
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IM_Schedule_3,nettingSetId_1,Rates,PV,,,,,USD,-1166.757847,-1166.757847,24/08/2021,Schedule
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IM_Schedule_3,nettingSetId_1,Rates,Notional,,,,,USD,5496.624779,5496.624779,24/08/2021,Schedule
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IM_Schedule_4,nettingSetId_1,Rates,PV,,,,,EUR,1038.628473,1219.038239,24/08/2022,Schedule
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IM_Schedule_4,nettingSetId_1,Rates,Notional,,,,,EUR,2909.047389,3414.348921,24/08/2022,Schedule
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IM_Schedule_5,nettingSetId_1,Rates,PV,,,,,GBP,-699.4382929,-923.2585466,24/08/2022,Schedule
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IM_Schedule_5,nettingSetId_1,Rates,Notional,,,,,GBP,9726.8436,12839.43355,24/08/2022,Schedule
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IM_Schedule_6,nettingSetId_1,Rates,PV,,,,,USD,-308.7725131,-308.7725131,24/08/2022,Schedule
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IM_Schedule_6,nettingSetId_1,Rates,Notional,,,,,USD,2067.191553,2067.191553,24/08/2022,Schedule
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IM_Schedule_7,nettingSetId_1,Rates,PV,,,,,EUR,-1061.783673,-1246.215498,24/08/2023,Schedule
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IM_Schedule_7,nettingSetId_1,Rates,Notional,,,,,EUR,8212.291231,9638.766217,24/08/2023,Schedule
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IM_Schedule_8,nettingSetId_1,Rates,PV,,,,,GBP,940.5257038,1241.493929,24/08/2023,Schedule
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IM_Schedule_8,nettingSetId_1,Rates,Notional,,,,,GBP,9779.89512,12909.46156,24/08/2023,Schedule
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IM_Schedule_9,nettingSetId_1,Rates,PV,,,,,USD,-658.7952834,-658.7952834,24/08/2023,Schedule
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IM_Schedule_9,nettingSetId_1,Rates,Notional,,,,,USD,2327.28328,2327.28328,24/08/2023,Schedule
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‎Examples/Example_44/Input/ore_schedule.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2019-12-30</Parameter>
5+
<Parameter name="inputPath">Input</Parameter>
6+
<Parameter name="outputPath">Output/IM_SCHEDULE</Parameter>
7+
<Parameter name="logFile">log.txt</Parameter>
8+
<Parameter name="logMask">255</Parameter>
9+
<Parameter name="marketDataFile">market.txt</Parameter>
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<Parameter name="fixingDataFile"></Parameter>
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<Parameter name="implyTodaysFixings">N</Parameter>
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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile"></Parameter>
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<Parameter name="observationModel">None</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">default</Parameter>
21+
<Parameter name="fxcalibration">default</Parameter>
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<Parameter name="pricing">default</Parameter>
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<Parameter name="simulation">default</Parameter>
24+
</Markets>
25+
<Analytics>
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<Analytic type="imschedule">
27+
<Parameter name="active">Y</Parameter>
28+
<Parameter name="crif">crif_schedule.csv</Parameter>
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<Parameter name="calculationCurrency">USD</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_44/run.py‎

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1717
for orexml in orexmls:
1818
oreex.print_headline(f"Run ORE SIMM; version={orexml[1]}; MPOR days={orexml[2]}")
1919
oreex.run(orexml[0])
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oreex.print_headline(f"Run ORE for IM Schedule")
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oreex.run("Input/ore_schedule.xml")

‎OREAnalytics/orea/CMakeLists.txt‎

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@@ -17,6 +17,7 @@ aggregation/postprocess.cpp
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aggregation/staticcreditxvacalculator.cpp
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aggregation/xvacalculator.cpp
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app/analytic.cpp
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app/analytics/imscheduleanalytic.cpp
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app/analytics/parconversionanalytic.cpp
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app/analytics/pricinganalytic.cpp
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app/analytics/scenarioanalytic.cpp
@@ -52,6 +53,7 @@ engine/filteredsensitivitystream.cpp
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engine/historicalpnlgenerator.cpp
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engine/historicalsensipnlcalculator.cpp
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engine/historicalsimulationvar.cpp
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engine/marketriskbacktest.cpp
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engine/marketriskreport.cpp
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engine/mporcalculator.cpp
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engine/multistatenpvcalculator.cpp
@@ -71,6 +73,7 @@ engine/sensitivityreportstream.cpp
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engine/stresstest.cpp
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engine/valuationcalculator.cpp
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engine/valuationengine.cpp
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engine/varbacktest.cpp
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engine/varcalculator.cpp
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engine/xvaenginecg.cpp
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engine/zerotoparcube.cpp
@@ -101,6 +104,8 @@ scenario/stressscenariogenerator.cpp
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simm/crif.cpp
102105
simm/crifloader.cpp
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simm/crifrecord.cpp
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simm/imschedulecalculator.cpp
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simm/imscheduleresults.cpp
104109
simm/simmbasicnamemapper.cpp
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simm/simmbucketmapperbase.cpp
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simm/simmcalculator.cpp
@@ -155,6 +160,7 @@ aggregation/postprocess.hpp
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aggregation/staticcreditxvacalculator.hpp
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aggregation/xvacalculator.hpp
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app/analytic.hpp
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app/analytics/imscheduleanalytic.hpp
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app/analytics/parconversionanalytic.hpp
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app/analytics/pricinganalytic.hpp
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app/analytics/scenarioanalytic.hpp
@@ -198,6 +204,7 @@ engine/filteredsensitivitystream.hpp
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engine/historicalpnlgenerator.hpp
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engine/historicalsensipnlcalculator.hpp
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engine/historicalsimulationvar.hpp
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engine/marketriskbacktest.hpp
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engine/marketriskreport.hpp
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engine/mporcalculator.hpp
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engine/multistatenpvcalculator.hpp
@@ -219,6 +226,7 @@ engine/sensitivitystream.hpp
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engine/stresstest.hpp
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engine/valuationcalculator.hpp
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engine/valuationengine.hpp
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engine/varbacktest.hpp
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engine/varcalculator.hpp
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engine/xvaenginecg.hpp
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engine/zerotoparcube.hpp
@@ -255,6 +263,8 @@ scenario/stressscenariogenerator.hpp
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simm/crif.hpp
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simm/crifloader.hpp
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simm/crifrecord.hpp
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simm/imschedulecalculator.hpp
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simm/imscheduleresults.hpp
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simm/simmbasicnamemapper.hpp
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simm/simmbucketmapper.hpp
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simm/simmbucketmapperbase.hpp

‎OREAnalytics/orea/app/analytic.cpp‎

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#include <orea/aggregation/dimregressioncalculator.hpp>
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#include <ored/marketdata/todaysmarket.hpp>
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#include <ored/marketdata/bondspreadimply.hpp>
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#include <ored/portfolio/builders/currencyswap.hpp>
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#include <ored/portfolio/builders/fxoption.hpp>
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#include <ored/portfolio/builders/multilegoption.hpp>
@@ -242,5 +243,28 @@ void MarketDataAnalyticImpl::runAnalytic(
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CONSOLE("OK");
243244
}
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boost::shared_ptr<Loader> implyBondSpreads(const Date& asof,
247+
const boost::shared_ptr<ore::analytics::InputParameters>& params,
248+
const boost::shared_ptr<TodaysMarketParameters>& todaysMarketParams,
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const boost::shared_ptr<Loader>& loader,
250+
const boost::shared_ptr<CurveConfigurations>& curveConfigs,
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const std::string& excludeRegex) {
252+
253+
auto securities = BondSpreadImply::requiredSecurities(asof, todaysMarketParams, curveConfigs, *loader,
254+
true, excludeRegex);
255+
256+
if (!securities.empty()) {
257+
// always continue on error and always use lazy market building
258+
boost::shared_ptr<Market> market =
259+
boost::make_shared<TodaysMarket>(asof, todaysMarketParams, loader, curveConfigs, true, true, true,
260+
params->refDataManager(), false, *params->iborFallbackConfig());
261+
return BondSpreadImply::implyBondSpreads(securities, params->refDataManager(), market, params->pricingEngine(),
262+
Market::defaultConfiguration, *params->iborFallbackConfig());
263+
} else {
264+
// no bonds that require a spread imply => return null ptr
265+
return boost::shared_ptr<Loader>();
266+
}
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}
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} // namespace analytics
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} // namespace ore

‎OREAnalytics/orea/app/analytic.hpp‎

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@@ -241,5 +241,12 @@ template <class T> inline QuantLib::ext::shared_ptr<T> Analytic::dependentAnalyt
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return analytic;
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}
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boost::shared_ptr<ore::data::Loader> implyBondSpreads(const Date& asof,
245+
const boost::shared_ptr<InputParameters>& params,
246+
const boost::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams,
247+
const boost::shared_ptr<ore::data::Loader>& loader,
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const boost::shared_ptr<ore::data::CurveConfigurations>& curveConfigs,
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const std::string& excludeRegex);
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} // namespace analytics
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} // namespace oreplus

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