QPR-12432 make add results precision configurable, fix typo

Author: pcaspers

Docs/UserGuide/userguide.tex

@@ -3951,6 +3951,7 @@ \subsubsection{Analytics}\label{sec:analytics}
     <Parameter name="baseCurrency">EUR</Parameter>
     <Parameter name="outputFileName">npv.csv</Parameter>
     <Parameter name="additionalResults">Y</Parameter>
+    <Parameter name="additionalResultsReportPrecision">6</Parameter>
   </Analytic>      
   <Analytic type="cashflow">
     <Parameter name="active">Y</Parameter>

Examples/Example_1/Input/ore.xml

@@ -32,6 +32,7 @@
       <Parameter name="baseCurrency">EUR</Parameter>
       <Parameter name="outputFileName">npv.csv</Parameter>
       <Parameter name="additionalResults">Y</Parameter>
+      <Parameter name="additionalResultsReportPrecision">12</Parameter>
     </Analytic>
     <Analytic type="cashflow">
       <Parameter name="active">Y</Parameter>

OREAnalytics/orea/app/analytics/pricinganalytic.cpp

@@ -98,7 +98,7 @@ void PricingAnalyticImpl::runAnalytic(
                 boost::shared_ptr<InMemoryReport> addReport = boost::make_shared<InMemoryReport>();;
                 ReportWriter(inputs_->reportNaString())
                     .writeAdditionalResultsReport(*addReport, analytic()->portfolio(), analytic()->market(),
-                                                  effectiveResultCurrency);
+                                                  effectiveResultCurrency, inputs_->additionalResultsReportPrecision());
                 analytic()->reports()[type]["additional_results"] = addReport;
                 CONSOLE("OK");
             }

OREAnalytics/orea/app/inputparameters.hpp

@@ -115,7 +115,7 @@ class InputParameters {
 
     // Setters for npv analytics
     void setOutputAdditionalResults(bool b) { outputAdditionalResults_ = b; }
-
+    void setAdditionalResultsReportPrecision(std::size_t p) { additionalResultsReportPrecision_ = p; }
     // Setters for cashflows
     void setIncludePastCashflows(bool b) { includePastCashflows_ = b; }
 
@@ -411,6 +411,7 @@ class InputParameters {
      * Getters for npv analytics
      ***************************/
     bool outputAdditionalResults() const { return outputAdditionalResults_; };
+    std::size_t additionalResultsReportPrecision() const { return additionalResultsReportPrecision_; }
 
     /***********************
      * Getters for cashflows
@@ -689,6 +690,7 @@ class InputParameters {
      * NPV analytic
      *************/
     bool outputAdditionalResults_ = false;
+    std::size_t additionalResultsReportPrecision_ = 6;
     bool outputCurves_ = false;
     std::string curvesMarketConfig_ = Market::defaultConfiguration;
     std::string curvesGrid_ = "240,1M";

OREAnalytics/orea/app/oreapp.cpp

@@ -736,6 +736,10 @@ void OREAppInputParameters::loadParameters() {
     if (tmp != "")
         setOutputAdditionalResults(parseBool(tmp));
 
+    tmp = params_->get("npv", "additionalResultsReportPrecision", false);
+    if (tmp != "")
+        setAdditionalResultsReportPrecision(parseInteger(tmp));
+
     /*************
      * CASHFLOW
      *************/

OREAnalytics/orea/app/reportwriter.cpp

@@ -1233,7 +1233,8 @@ void addMapResults(boost::any resultMap, const std::string& tradeId, const std::
 }
 
 void ReportWriter::writeAdditionalResultsReport(Report& report, boost::shared_ptr<Portfolio> portfolio,
-                                                boost::shared_ptr<Market> market, const std::string& baseCurrency) {
+                                                boost::shared_ptr<Market> market, const std::string& baseCurrency,
+                                                const std::size_t precision) {
 
     LOG("Writing AdditionalResults report");
 
@@ -1252,7 +1253,7 @@ void ReportWriter::writeAdditionalResultsReport(Report& report, boost::shared_pt
             // Get the additional data for the current instrument.
             auto additionalData = trade->additionalData();
             for (const auto& kv : additionalData) {
-                auto p = parseBoostAny(kv.second, 6);
+                auto p = parseBoostAny(kv.second, precision);
                 if (boost::starts_with(p.first, "vector")) {
                     vector<std::string> tokens;
                     string vect = p.second;
@@ -1329,7 +1330,7 @@ void ReportWriter::writeAdditionalResultsReport(Report& report, boost::shared_pt
                     } else if (kv.second.type() == typeid(result_type_scalar)) {
                         addMapResults<result_type_scalar>(kv.second, tradeId, kv.first, report);
                     } else {
-                        auto p = parseBoostAny(kv.second, 6);
+                        auto p = parseBoostAny(kv.second, precision);
                         if (boost::starts_with(p.first, "vector")) {
                             vector<std::string> tokens;
                             string vect = p.second;

OREAnalytics/orea/app/reportwriter.hpp

@@ -112,8 +112,10 @@ class ReportWriter {
                                               const std::map<RiskFactorKey, QuantLib::Real>& baseValues,
                                               const std::map<RiskFactorKey, std::string>& keyToFactor);
 
-    virtual void writeAdditionalResultsReport(ore::data::Report& report, boost::shared_ptr<ore::data::Portfolio> portfolio,
-                                        boost::shared_ptr<Market> market, const std::string& baseCurrency);
+    virtual void writeAdditionalResultsReport(ore::data::Report& report,
+                                              boost::shared_ptr<ore::data::Portfolio> portfolio,
+                                              boost::shared_ptr<Market> market, const std::string& baseCurrency,
+                                              const std::size_t precision = 6);
 
     virtual void writeMarketData(ore::data::Report& report, const boost::shared_ptr<ore::data::Loader>& loader, const QuantLib::Date& asof,
         const set<string>& quoteNames, bool returnAll);

OREData/ored/portfolio/builders/scriptedtrade.cpp

@@ -177,7 +177,7 @@ ScriptedTradeEngineBuilder::engine(const std::string& id, const ScriptedTrade& s
     // 12 get the t0 curves for each model ccy
 
     std::string externalDiscountCurve = scriptedTrade.envelope().additionalField("discount_curve", false);
-    std::string externalSecuritySpread = scriptedTrade.envelope().additionalField("security_spreads", false);
+    std::string externalSecuritySpread = scriptedTrade.envelope().additionalField("security_spread", false);
     for (auto const& c : modelCcys_) {
         // for base ccy we account for an external discount curve and security spread if given
         Handle<YieldTermStructure> yts =