git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "1dc751f4cb"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "e3e95e17a5"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docs/UserGuide/tradecomponents/underlying.tex

@@ -106,6 +106,7 @@ \subsubsection{Underlying}
           <FutureMonthOffset>0</FutureMonthOffset>
           <DeliveryRollDays>0</DeliveryRollDays>
           <DeliveryRollCalendar>TARGET</DeliveryRollCalendar>
+          <FutureContractMonth>Nov2023</FutureContractMonth>
         </Underlying>
 \end{minted}
 \caption{Commodity Underlying}
@@ -242,6 +243,14 @@ \subsubsection{Underlying}
 
 Allowable values: See Table \ref{tab:calendar}. Defaults to the null calendar if left blank or omitted, and \lstinline!Type!: is  \emph{Commodity}.
 
+\item \lstinline!FutureContractMonth! [Optional]:
+Only valid when  \lstinline!Type! is  \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureExpiryDate! node. It specifies the underlying future contract month  in the format \emph{MonYYYY}, for example Nov2023. 
+
+\item \lstinline!FutureExpiryDate! [Optional]:
+Only valid when  \lstinline!Type! is  \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureContractMonth! node. This gives the expiration date of the underlying commodity future contract. 
+
+If the field \lstinline!FutureExpiryDate! and \lstinline!FutureContractMonth! are omitted, the expiration date of the underlying commodity future contract is set to the prompt future, adjusted for any \lstinline!FutureMonthOffset!.
+
 \item \lstinline!Interpolation! [Optional]:
 Only valid when \lstinline!Type! is  \emph{Inflation}. The index observation interpolation between fixings.
 

OREData/ored/portfolio/commodityposition.cpp

@@ -64,15 +64,25 @@ void CommodityPosition::build(const boost::shared_ptr<ore::data::EngineFactory>&
             auto convention = boost::dynamic_pointer_cast<CommodityFutureConvention>(p.second);
             ConventionsBasedFutureExpiry feCalc(*convention);
             Date expiry = Settings::instance().evaluationDate();
+            Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
             if (u.deliveryRollDays() != Null<Size>()) {
-                auto cal = u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
+                auto cal =
+                    u.deliveryRollCalendar().empty() ? convention->calendar() : parseCalendar(u.deliveryRollCalendar());
                 expiry = cal.advance(expiry, u.deliveryRollDays() * Days, convention->businessDayConvention());
             }
-            
-            Size nOffset = u.futureMonthOffset() == Null<Size>() ? 0 : u.futureMonthOffset();
-
             expiry = feCalc.nextExpiry(true, expiry, nOffset);
-            
+            if (!u.futureContractMonth().empty()) {
+                QL_REQUIRE(u.futureContractMonth().size() == 7,
+                           "FutureContractMonth has invalid format, please use MonYYYY, where 'Mon' is a 3 letter "
+                           "month abbreviation.");
+                auto month = parseMonth(u.futureContractMonth().substr(0, 3));
+                auto year = parseInteger(u.futureContractMonth().substr(3, 4));
+                Date contractDate(1, month, year);
+                expiry = feCalc.expiryDate(contractDate, nOffset, false);
+            } else if (!u.futureExpiryDate().empty()) {
+                expiry = parseDate(u.futureExpiryDate());
+                expiry = feCalc.nextExpiry(true, expiry, nOffset, false);
+            }
             index = index->clone(expiry, pts);
         }
         indices_.push_back(index);

OREData/ored/portfolio/underlying.cpp

@@ -133,6 +133,10 @@ void CommodityUnderlying::fromXML(XMLNode* node) {
             deliveryRollDays_ = Null<Size>();
         deliveryRollCalendar_ = XMLUtils::getChildValue(node, "DeliveryRollCalendar", false);
         isBasic_ = false;
+        futureExpiryDate_ = XMLUtils::getChildValue(node, "FutureExpiryDate", false);
+        futureContractMonth_ = XMLUtils::getChildValue(node, "FutureContractMonth", false);
+        QL_REQUIRE(futureExpiryDate_.empty() || futureContractMonth_.empty(),
+                   "Only futureExpiryDate or futureContractMonth are allowed not both");
     } else {
         QL_FAIL("Need either a Name or Underlying node for CommodityUnderlying.");
     }
@@ -153,6 +157,10 @@ XMLNode* CommodityUnderlying::toXML(XMLDocument& doc) {
             XMLUtils::addChild(doc, node, "DeliveryRollDays", (int)deliveryRollDays_);
         if (!deliveryRollCalendar_.empty())
             XMLUtils::addChild(doc, node, "DeliveryRollCalendar", deliveryRollCalendar_);
+        if (!futureExpiryDate_.empty()) 
+            XMLUtils::addChild(doc, node, "FutureExpiryDate", futureExpiryDate_);
+        if (!futureContractMonth_.empty())
+            XMLUtils::addChild(doc, node, "FutureContractMonth", futureContractMonth_);
     }
     return node;
 }

OREData/ored/portfolio/underlying.hpp

@@ -140,7 +140,8 @@ class CommodityUnderlying : public Underlying {
     QuantLib::Size futureMonthOffset() const { return futureMonthOffset_; }
     QuantLib::Size deliveryRollDays() const { return deliveryRollDays_; }
     const std::string& deliveryRollCalendar() const { return deliveryRollCalendar_; }
-
+    const std::string& futureContractMonth() const { return futureContractMonth_; }
+    const std::string& futureExpiryDate() const { return futureExpiryDate_;  }
     //! \name Serialisation
     //@{
     void fromXML(XMLNode* node) override;
@@ -152,6 +153,8 @@ class CommodityUnderlying : public Underlying {
     QuantLib::Size futureMonthOffset_ = QuantLib::Null<QuantLib::Size>();
     QuantLib::Size deliveryRollDays_ = QuantLib::Null<QuantLib::Size>();
     std::string deliveryRollCalendar_;
+    std::string futureContractMonth_;
+    std::string futureExpiryDate_;
 };
 
 class FXUnderlying : public Underlying {

xsd/instruments.xsd

@@ -1797,6 +1797,8 @@
       <xs:element type="xs:nonNegativeInteger" name="FutureMonthOffset" minOccurs="0"/>
       <xs:element type="xs:nonNegativeInteger" name="DeliveryRollDays" minOccurs="0"/>
       <xs:element type="xs:string" name="DeliveryRollCalendar" minOccurs="0"/>
+      <xs:element type="xs:string" name="FutureExpiryDate" minOccurs="0"/>
+      <xs:element type="xs:string" name="FutureContractMonth" minOccurs="0"/>
       <xs:element type="xs:string" name="Interpolation" minOccurs="0"/>
       <xs:element type="xs:float" name="BidAskAdjustment" minOccurs="0"/>
     </xs:all>