QPR-13626 Handle RiskFactor Report with HistoricalScenarioGeneratorWithFilteredDates

Author: sebastien.bouvard

OREAnalytics/orea/engine/marketriskreport.cpp

@@ -131,14 +131,10 @@ void MarketRiskReport::initialise() {
     if (hisScenGen_) {
         // Build the filtered historical scenario generator
         if(requireRiskFactorPnl_){
-            // hisScenGen_ = QuantLib::ext::make_shared<HistoricalScenarioGenerator>(
-            //             timePeriods());
             hisScenGen_->setRiskFactorBreakdown(true);
-        }else{
-            hisScenGen_ = QuantLib::ext::make_shared<HistoricalScenarioGeneratorWithFilteredDates>(
-                    timePeriods(), hisScenGen_);
         }
-        
+        hisScenGen_ = QuantLib::ext::make_shared<HistoricalScenarioGeneratorWithFilteredDates>(
+                timePeriods(), hisScenGen_);
 
         if (fullRevalArgs_ && fullRevalArgs_->simMarket_)
             hisScenGen_->baseScenario() = fullRevalArgs_->simMarket_->baseScenario();

OREAnalytics/orea/scenario/historicalscenariogenerator.cpp

@@ -340,6 +340,11 @@ void HistoricalScenarioGeneratorWithFilteredDates::reset() {
 }
 
 QuantLib::ext::shared_ptr<Scenario> HistoricalScenarioGeneratorWithFilteredDates::next(const Date& d) {
+
+    // Access and propagate the current key from the underlying generator
+    auto key = this->getCurrentKey();
+    gen_->setCurrentKey(key);
+
     while (i_orig_ < gen_->numScenarios() && !isRelevantScenario_[i_orig_]) {
         gen_->next(d);
         ++i_orig_;

OREAnalytics/orea/scenario/historicalscenariogenerator.hpp

@@ -177,6 +177,7 @@ class HistoricalScenarioGenerator : public ScenarioGenerator {
     void setRiskFactorBreakdown(const bool b) { riskFactorBreakdown_ = b; }
     bool isRiskFactorBreakdown() const {return riskFactorBreakdown_; }
     virtual void setCurrentKey(const RiskFactorKey& k);
+    RiskFactorKey getCurrentKey() const { return currentKey_;}
     virtual void setIterator(const Size& k);
 
 protected: