Merge remote-tracking branch 'origin/1.0.76' into 76_to_master

Author: damienbarker

OREAnalytics/orea/engine/marketriskbacktest.cpp

@@ -56,7 +56,7 @@ MarketRiskBacktest::MarketRiskBacktest(
     const bool requireTradePnl)
     : MarketRiskReport(baseCurrency, btArgs->backtestPeriod_, hisScenGen, std::move(sensiArgs), std::move(revalArgs),
                        std::move(mtArgs), breakdown, requireTradePnl),
-      btArgs_(std::move(btArgs)) {    
+      btArgs_(std::move(btArgs)) {
     init();
 }
 
@@ -70,6 +70,12 @@ void MarketRiskBacktest::init() {
     MarketRiskReport::init();
 }
 
+
+std::vector<ore::data::TimePeriod> MarketRiskBacktest::timePeriods() { 
+    std::vector<TimePeriod> tps{btArgs_->benchmarkPeriod_, btArgs_->backtestPeriod_};
+    return tps;
+}
+
 bool MarketRiskBacktest::runTradeDetail(const ext::shared_ptr<MarketRiskReport::Reports>& reports) {
     auto rpts = ext::dynamic_pointer_cast<BacktestReports>(reports);
     bool trdDetail = false;

OREAnalytics/orea/engine/marketriskbacktest.hpp

@@ -215,6 +215,8 @@ class MarketRiskBacktest : public ore::analytics::MarketRiskReport {
                       const QuantLib::ext::shared_ptr<ore::analytics::MarketRiskGroup>& riskGroup,
                       const QuantLib::ext::shared_ptr<ore::analytics::TradeGroup>& tradeGroup) override;
 
+   std::vector<ore::data::TimePeriod> timePeriods() override;
+
  private:
     /*! Calculate the number of exceptions given the current \p data and the associated
     P&L vector \p pnls for both call and post sides. The parameter

OREAnalytics/orea/engine/marketriskreport.cpp

@@ -66,7 +66,7 @@ void MarketRiskReport::init() {
             ext::make_shared<HistoricalSensiPnlCalculator>(hisScenGen_, sensiArgs_->sensitivityStream_);
 
     if (fullRevalArgs_) {
-        LOG("Build the portfolio for full reval bt.")
+        LOG("Build the portfolio for full reval bt.");
 
         if (!multiThreadArgs_) {
             factory_ = boost::make_shared<EngineFactory>(fullRevalArgs_->engineData_, fullRevalArgs_->simMarket_,

OREAnalytics/orea/engine/marketriskreport.hpp

@@ -160,9 +160,7 @@ class MarketRiskReport : public ore::data::ProgressReporter {
         const bool requireTradePnl = false)
         : baseCurrency_(baseCurrency), period_(period), hisScenGen_(hisScenGen), sensiArgs_(std::move(sensiArgs)),
           fullRevalArgs_(std::move(fullRevalArgs)),  multiThreadArgs_(std::move(multiThreadArgs)), breakdown_(breakdown), 
-          requireTradePnl_(requireTradePnl) {
-        init();
-    }
+          requireTradePnl_(requireTradePnl) {}
     virtual ~MarketRiskReport() {}
 
     virtual void init();
@@ -259,7 +257,7 @@ class MarketRiskReport : public ore::data::ProgressReporter {
     virtual bool runFullReval(const QuantLib::ext::shared_ptr<MarketRiskGroup>& riskGroup) const { return true; }
     virtual bool generateCube(const QuantLib::ext::shared_ptr<MarketRiskGroup>& riskGroup) const { return true; }
     virtual std::string cubeFilePath(const QuantLib::ext::shared_ptr<MarketRiskGroup>& riskGroup) const { return std::string(); }
-    virtual std::vector<ore::data::TimePeriod> timePeriods() { return {period_.get()}; }
+    virtual std::vector<ore::data::TimePeriod> timePeriods() = 0;
     virtual void writeSummary(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports,
                               const QuantLib::ext::shared_ptr<ore::analytics::MarketRiskGroup>& riskGroup,
                               const QuantLib::ext::shared_ptr<ore::analytics::TradeGroup>& tradeGroup) {}

OREAnalytics/orea/engine/varcalculator.cpp

@@ -100,7 +100,8 @@ VarReport::VarReport(const std::string& baseCurrency, const QuantLib::ext::share
                      const QuantLib::ext::shared_ptr<HistoricalScenarioGenerator>& hisScenGen,
                      std::unique_ptr<SensiRunArgs> sensiArgs, std::unique_ptr<FullRevalArgs> fullRevalArgs, const bool breakdown) 
     : MarketRiskReport(baseCurrency, period, hisScenGen, std::move(sensiArgs), std::move(fullRevalArgs), nullptr, breakdown), portfolio_(portfolio), 
-      portfolioFilter_(portfolioFilter), p_(p) {   
+      portfolioFilter_(portfolioFilter), p_(p) {
+    init();
 
     riskGroups_ = QuantLib::ext::make_shared<VarRiskGroupContainer>();
     tradeGroups_ = QuantLib::ext::make_shared<VarTradeGroupContainer>();

OREAnalytics/orea/engine/varcalculator.hpp

@@ -137,6 +137,8 @@ class VarReport : public MarketRiskReport {
                          const QuantLib::ext::shared_ptr<MarketRiskGroup>& riskGroup,
                          const QuantLib::ext::shared_ptr<TradeGroup>& tradeGroup);
 
+    virtual std::vector<ore::data::TimePeriod> timePeriods() { return {period_.get()}; }
+
 private:
     QuantLib::ext::shared_ptr<Portfolio> portfolio_;
     std::string portfolioFilter_;

OREData/ored/portfolio/referencedata.cpp

@@ -408,7 +408,8 @@ void CreditReferenceDatum::fromXML(XMLNode* node) {
         parseDate(XMLUtils::getChildValue(innerNode, "SuccessorImplementationDate", false));
     creditData_.predecessorImplementationDate =
         parseDate(XMLUtils::getChildValue(innerNode, "PredecessorImplementationDate", false));
-    creditData_.entityType = XMLUtils::getChildValue(innerNode, "EntityType", false) == "Corp."
+    creditData_.entityType = (XMLUtils::getChildValue(innerNode, "EntityType", false) == "Corp."|| 
+                              XMLUtils::getChildValue(innerNode, "EntityType", false) == "Corp")
                                  ? "Corporate"
                                  : XMLUtils::getChildValue(innerNode, "EntityType", false);
 }
@@ -497,7 +498,7 @@ void BasicReferenceDataManager::fromXML(XMLNode* node) {
     XMLUtils::checkNode(node, "ReferenceData");
     for (XMLNode* child = XMLUtils::getChildNode(node, "ReferenceDatum"); child;
          child = XMLUtils::getNextSibling(child, "ReferenceDatum")) {
-	    addFromXMLNode(child);
+        addFromXMLNode(child);
     }
 }