QPR-12417 generate past cashflows in scripted trade

pcaspers · jenkins · commit c75a5c8167c8 · 2024-04-04T06:42:38.000Z
diff --git a/Docs/ScriptedTrade/docs/language.tex b/Docs/ScriptedTrade/docs/language.tex
@@ -466,7 +466,8 @@
 \item here $P_{ccy}$ is the discount factor in currency ccy, $FX$ is the FX spot from ccy to base and $N$ is the model
   numeraire
 \item $d\leq p$ must hold
-\item if $p$ lies on or before the evaluation date, the result is zero; $X$ is not evaluated in this case
+\item if $p$ lies on or before the evaluation date, the result is zero; $X$ is not evaluated in this case. 
+Note that $X$ is evaluated in the LOGPAY function though, see \ref{function_logpay}.
 \item avoids reading non-relevant past fixings from the index history
 \item if $d$ lies before (but $p$ after) the evaluation date, it is set to the evaluation date, i.e. the result is
   computed as of the evaluation date
@@ -514,6 +515,10 @@
 under leg number $2$ and flow Type ``Interest''. The same holds for Payoff3, but if any amounts were booked using the
 slot parameter $3$ previously they will be overwritten with the current amount.
 
+Note: Even if $p$ lies on or before the evaluation date, a cashflow entry will be generated. If one wants to explicitly
+avoid that, e.g. because past fixings are not available to evaluate the past paid amounts, it can be done with an IF
+construct comparing the pay date with TODAY.
+
 % ====================================================
 \stsubsection{Function {\tt NPV, NPVMEM}}\label{function_npv}
 % ====================================================
diff --git a/OREAnalytics/orea/app/reportwriter.cpp b/OREAnalytics/orea/app/reportwriter.cpp
@@ -580,6 +580,9 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
                     if (cf.effectiveCapVolatility != Null<Real>())
                         capVolatility = cf.effectiveCapVolatility;
 
+                    if (!includePastCashflows && cf.payDate <= asof)
+                        continue;
+
                     report.next()
                         .add(trade->id())
                         .add(trade->tradeType())
diff --git a/OREData/ored/scripting/computationgraphbuilder.cpp b/OREData/ored/scripting/computationgraphbuilder.cpp
@@ -1029,7 +1029,7 @@ class ASTRunner : public AcyclicVisitor,
         QL_REQUIRE(model_, "model is null");
         // handle case of past payments: do not evaluate the other parameters, since not needed (e.g. past fixings)
         Date pay = boost::get<EventVec>(paydate).value;
-        if (pay <= model_->referenceDate()) {
+        if (pay <= model_->referenceDate() && !log) {
             value.push(RandomVariable(size_, 0.0));
             std::size_t node = cg_const(g_, 0.0);
             value_node.push(node);
@@ -1053,7 +1053,9 @@ class ASTRunner : public AcyclicVisitor,
             QL_REQUIRE(obs <= pay, "observation date (" << obs << ") <= payment date (" << pay << ") required");
             RandomVariable result; // uninitialised, since model dependent
             value.push(result);
-            std::size_t node = model_->pay(amount_node, obs, pay, pccy);
+            std::size_t node =
+                pay <= model_->referenceDate() ? cg_const(g_, 0.0) : model_->pay(amount_node, obs, pay, pccy);
+            std::size_t cfnode = pay <= model_->referenceDate() ? amount_node : node;
             value_node.push(node);
             TRACE("pay( " << amount << " , " << obsdate << " , " << paydate << " , " << paycurr << " ) (#" << node
                           << ")",
@@ -1092,10 +1094,10 @@ class ASTRunner : public AcyclicVisitor,
                 }
                 // add nodes necessary to write paylog to keepNodes set
                 std::size_t filterNode =  filter_node.top() == ComputationGraph::nan ? cg_const(g_, 1.0) : filter_node.top();
-                keepNodes_.insert(node);
+                keepNodes_.insert(cfnode);
                 keepNodes_.insert(filterNode);
                 // add paylog entry data
-                payLogEntries_.push_back({node, filterNode, obs, pay, pccy, (Size)legno, cftype, (Size)slot});
+                payLogEntries_.push_back({cfnode, filterNode, obs, pay, pccy, (Size)legno, cftype, (Size)slot});
             }
         }
     }
diff --git a/OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp b/OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp
@@ -107,7 +107,11 @@ void ScriptedInstrumentPricingEngine::calculate() const {
     // set up script engine and run it
 
     ScriptEngine engine(ast_, workingContext, model_);
-    auto paylog = boost::make_shared<PayLog>();
+
+    boost::shared_ptr<PayLog> paylog;
+    if (generateAdditionalResults_)
+        paylog = boost::make_shared<PayLog>();
+
     engine.run(script_, interactive_, paylog);
 
     // extract npv result and set it
@@ -191,8 +195,12 @@ void ScriptedInstrumentPricingEngine::calculate() const {
         for (Size i = 0; i < paylog->size(); ++i) {
             // cashflow is written as expectation of deflated base ccy amount at T0, converted to flow ccy
             // with the T0 FX Spot and compounded back to the pay date on T0 curves
-            Real fx = model_->fxSpotT0(paylog->currencies().at(i), model_->baseCcy());
-            Real discount = model_->discount(referenceDate, paylog->dates().at(i), paylog->currencies().at(i)).at(0);
+            Real fx = 1.0;
+            Real discount = 1.0;
+            if (paylog->dates().at(i) > model_->referenceDate()) {
+                fx = model_->fxSpotT0(paylog->currencies().at(i), model_->baseCcy());
+                discount = model_->discount(referenceDate, paylog->dates().at(i), paylog->currencies().at(i)).at(0);
+            }
             cashFlowResults[i].amount = model_->extractT0Result(paylog->amounts().at(i)) / fx / discount;
             cashFlowResults[i].payDate = paylog->dates().at(i);
             cashFlowResults[i].currency = paylog->currencies().at(i);
@@ -202,10 +210,12 @@ void ScriptedInstrumentPricingEngine::calculate() const {
                                  << cashFlowResults[i].currency << cashFlowResults[i].amount << " "
                                  << cashFlowResults[i].currency << "-" << model_->baseCcy() << " " << fx << " discount("
                                  << cashFlowResults[i].currency << ") " << discount);
-            addMcErrorEstimate("cashflow_" + std::to_string(paylog->legNos().at(i)) + "_" +
-                                   std::to_string(++cashflowNumber[paylog->legNos().at(i)]) + "_MCErrEst",
-                               paylog->amounts().at(i) /
-                                   RandomVariable(paylog->amounts().at(i).size(), (fx * discount)));
+            if (paylog->dates().at(i) > model_->referenceDate()) {
+                addMcErrorEstimate("cashflow_" + std::to_string(paylog->legNos().at(i)) + "_" +
+                                       std::to_string(++cashflowNumber[paylog->legNos().at(i)]) + "_MCErrEst",
+                                   paylog->amounts().at(i) /
+                                       RandomVariable(paylog->amounts().at(i).size(), (fx * discount)));
+            }
         }
         results_.additionalResults["cashFlowResults"] = cashFlowResults;
 
diff --git a/OREData/ored/scripting/engines/scriptedinstrumentpricingenginecg.cpp b/OREData/ored/scripting/engines/scriptedinstrumentpricingenginecg.cpp
@@ -384,8 +384,12 @@ void ScriptedInstrumentPricingEngineCG::calculate() const {
             for (Size i = 0; i < paylog->size(); ++i) {
                 // cashflow is written as expectation of deflated base ccy amount at T0, converted to flow ccy
                 // with the T0 FX Spot and compounded back to the pay date on T0 curves
-                Real fx = model_->getDirectFxSpotT0(paylog->currencies().at(i), model_->baseCcy());
-                Real discount = model_->getDirectDiscountT0(paylog->dates().at(i), paylog->currencies().at(i));
+                Real fx = 1.0;
+                Real discount = 1.0;
+                if (paylog->dates().at(i) > model_->referenceDate()) {
+                    fx = model_->getDirectFxSpotT0(paylog->currencies().at(i), model_->baseCcy());
+                    discount = model_->getDirectDiscountT0(paylog->dates().at(i), paylog->currencies().at(i));
+                }
                 cashFlowResults[i].amount = model_->extractT0Result(paylog->amounts().at(i)) / fx / discount;
                 cashFlowResults[i].payDate = paylog->dates().at(i);
                 cashFlowResults[i].currency = paylog->currencies().at(i);
diff --git a/OREData/ored/scripting/scriptengine.cpp b/OREData/ored/scripting/scriptengine.cpp
@@ -769,7 +769,7 @@ class ASTRunner : public AcyclicVisitor,
         QL_REQUIRE(model_, "model is null");
         // handle case of past payments: do not evaluate the other parameters, since not needed (e.g. past fixings)
         Date pay = boost::get<EventVec>(paydate).value;
-        if (pay <= model_->referenceDate()) {
+        if (pay <= model_->referenceDate() && !log) {
             value.push(RandomVariable(size_, 0.0));
             TRACE("pay() = 0, since paydate " << paydate << " <= " << model_->referenceDate(), n);
         } else {
@@ -786,7 +786,11 @@ class ASTRunner : public AcyclicVisitor,
             Date obs = boost::get<EventVec>(obsdate).value;
             std::string pccy = boost::get<CurrencyVec>(paycurr).value;
             QL_REQUIRE(obs <= pay, "observation date (" << obs << ") <= payment date (" << pay << ") required");
-            RandomVariable result = model_->pay(boost::get<RandomVariable>(amount), obs, pay, pccy);
+            RandomVariable result = pay <= model_->referenceDate()
+                                        ? RandomVariable(model_->size(), 0.0)
+                                        : model_->pay(boost::get<RandomVariable>(amount), obs, pay, pccy);
+            RandomVariable cashflowResult =
+                pay <= model_->referenceDate() ? boost::get<RandomVariable>(amount) : result;
             if (!log || paylog_ == nullptr) {
                 TRACE("pay( " << amount << " , " << obsdate << " , " << paydate << " , " << paycurr << " )", n);
             } else {
@@ -819,7 +823,7 @@ class ASTRunner : public AcyclicVisitor,
                         QL_REQUIRE(slot >= 1, " slot must be >= 1");
                     }
                 }
-                paylog_->write(result, filter.top(), obs, pay, pccy, static_cast<Size>(legno), cftype,
+                paylog_->write(cashflowResult, filter.top(), obs, pay, pccy, static_cast<Size>(legno), cftype,
                                static_cast<Size>(slot));
                 TRACE("logpay( " << amount << " , " << obsdate << " , " << paydate << " , " << paycurr << " , " << legno
                                  << " , " << cftype << " , " << slot << ")",
