Merge branch 'feature/QPR-13799' into 'master'

QPR-13799 Correlation: Allow portfolio to be different from scenario

Closes QPR-13799

See merge request qs/oreplus!3179

Author: damienbarker

OREAnalytics/orea/engine/correlationreport.cpp

@@ -35,12 +35,15 @@ void CorrelationReport::calculate(const ext::shared_ptr<Report>& report) {
     ext::shared_ptr<Scenario> sc = hisScenGen_->next(hisScenGen_->baseScenario()->asof());
     std::vector<RiskFactorKey> deltaKeys = sc->keys();
 
+    // Discrepancy between scenario risk factors and shift risk factors
+    bool supressError = true;
+
     ext::shared_ptr<NPVCube>cube;
     ext::shared_ptr<CovarianceCalculator> covCalculator;
     covCalculator = ext::make_shared<CovarianceCalculator>(covariancePeriod());
 
     sensiPnlCalculator_ = ext::make_shared<HistoricalSensiPnlCalculator>(hisScenGen_, nullptr);
-    sensiPnlCalculator_->populateSensiShifts(cube, deltaKeys, shiftCalc_);
+    sensiPnlCalculator_->populateSensiShifts(cube, deltaKeys, shiftCalc_, supressError);
     sensiPnlCalculator_->calculateSensiPnl({}, deltaKeys, cube, pnlCalculators_, covCalculator, {},
                                            false, false, false);
 

OREAnalytics/orea/engine/historicalsensipnlcalculator.cpp

@@ -173,7 +173,7 @@ void PNLCalculator::populateRiskFactorTradePNLs(const RiskFactorTradePnLStore& a
 }
 
 void HistoricalSensiPnlCalculator::populateSensiShifts(QuantLib::ext::shared_ptr<NPVCube>& cube, const vector<RiskFactorKey>& keys,
-    ext::shared_ptr<ScenarioShiftCalculator> shiftCalculator) {
+    ext::shared_ptr<ScenarioShiftCalculator> shiftCalculator, const bool& supressError) {
 
     hisScenGen_->reset();
     QuantLib::ext::shared_ptr<Scenario> baseScenario = hisScenGen_->baseScenario();
@@ -200,11 +200,13 @@ void HistoricalSensiPnlCalculator::populateSensiShifts(QuantLib::ext::shared_ptr
                 Real shift = shiftCalculator->shift(key, *baseScenario, *scenario, isPar);
                 cube->set(shift, j, 0, i);
             } catch (const std::exception& e) {
-                StructuredAnalyticsErrorMessage(
+                if(!supressError){
+                    StructuredAnalyticsErrorMessage(
                     "HistocialSensiPnlCalculator",
                     "Shift calculation failed. Check consistency of simulation and sensi config.",
                     "Error retrieving sensi key '" + ore::data::to_string(key) + "' from ssm scenario: '" + e.what())
                     .log();
+                }
             }
             j++;
         }

OREAnalytics/orea/engine/historicalsensipnlcalculator.hpp

@@ -118,7 +118,8 @@ class HistoricalSensiPnlCalculator {
         : hisScenGen_(hisScenGen), sensitivityStream_(ss) {}
 
     void populateSensiShifts(QuantLib::ext::shared_ptr<NPVCube>& cube, const vector<RiskFactorKey>& keys,
-                             QuantLib::ext::shared_ptr<ScenarioShiftCalculator> shiftCalculator);
+                             QuantLib::ext::shared_ptr<ScenarioShiftCalculator> shiftCalculator,
+                             const bool& supressError = false);
 
     void calculateSensiPnl(const std::set<SensitivityRecord>& srs,
         const std::vector<RiskFactorKey>& rfKeys,