git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "aa481d8a18"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "6cf95e7184"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docs/UserGuide/tradedata/swaption.tex

@@ -142,7 +142,79 @@ \subsubsection{Swaption}
 \item \lstinline!ExerciseFeeSettlementConvention![Optional]: The roll convention used to compute the exercise fee settlement date from
   the exercise date. Defaults to \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
 
-\item An \lstinline!ExerciseDates! node where exactly one \lstinline!ExerciseDate! date element must be given for \emph{European} style swaptions, and for \emph{Bermudan} style swaptions  at least two \lstinline!ExerciseDate! date elements must be given. \\
+\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given.  \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two  \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
+
+
+\begin{listing}[H]
+\begin{minted}[fontsize=\footnotesize]{xml}
+<SwaptionData>
+    <OptionData>
+        <LongShort>Long</LongShort>
+        <Style>Bermudan</Style>
+        <Settlement>Physical</Settlement>
+        <ExerciseDates>
+          <ExerciseDate>2027-03-02</ExerciseDate>
+          <ExerciseDate>2028-03-02</ExerciseDate>
+          <ExerciseDate>2029-03-02</ExerciseDate>
+        </ExerciseDates>
+        ...
+    </OptionData>
+   ...
+\end{minted}
+\caption{Bermudan Swaption ExerciseDate:s}
+\label{lst:bermudan_swaption_exercisedates}
+\end{listing}
+
+\begin{listing}[H]
+\begin{minted}[fontsize=\footnotesize]{xml}
+<SwaptionData>
+    <OptionData>
+        <LongShort>Long</LongShort>
+        <Style>Bermudan</Style>
+        <Settlement>Physical</Settlement>
+        <ExerciseDates>
+         <Rules>
+          <StartDate>2027-03-02</StartDate>
+          <EndDate>2029-03-02</EndDate>
+          <Tenor>1Y</Tenor>
+          <Calendar>US</Calendar>
+          <Convention>MF</Convention>
+         <Rules>                    
+        </ExerciseDates>
+        ...
+    </OptionData>
+   ...
+\end{minted}
+\caption{Bermudan Swaption Rules based}
+\label{lst:bermudan_swaption_rules}
+\end{listing}
+
+\begin{listing}[H]
+\begin{minted}[fontsize=\footnotesize]{xml}
+<SwaptionData>
+    <OptionData>
+        <LongShort>Long</LongShort>
+        <Style>Bermudan</Style>
+        <Settlement>Physical</Settlement>
+        <ExerciseDates>
+         <Dates>
+          <Calendar>NullCalendar</Calendar>
+          <Convention>Unadjusted</Convention>
+          <Dates>
+           <Date>2027-03-02</Date>
+           <Date>2028-03-02</Date>
+           <Date>2029-03-02</Date>
+          <Dates>
+         <Dates>                    
+        </ExerciseDates>
+        ...
+    </OptionData>
+   ...
+\end{minted}
+\caption{Bermudan Swaption Dates based}
+\label{lst:bermudan_swaption_dates}
+\end{listing}
+
 
 \item \lstinline!Premiums! [Optional]: Option premium node with amounts paid by the option buyer to the option seller.
 

Examples/Example_24/ExpectedOutput/npv.csv

@@ -1,7 +1,7 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
-CommodityForward_Gold_1Y,CommodityForward,2017-02-05,1.000262,1398.707538,USD,1398.707538,USD,1160593.33,USD,1160593.33,CPTY_A,CPTY_A
+CommodityForward_Gold_1Y,CommodityForward,2017-02-05,1.000262,1398.707538,USD,1398.707538,USD,1162000.0,USD,1162000.0,CPTY_A,CPTY_A
 CommodityForward_Gold_Apr_17,CommodityForward,2017-04-28,1.224920,0.000000,USD,0.000000,USD,580900.00,USD,580900.00,CPTY_A,CPTY_A
-CommodityForward_WTI_2Y,CommodityForward,2018-02-05,2.000262,-1669620.658788,USD,-1669620.658788,USD,44308571.43,USD,44308571.43,CPTY_A,CPTY_A
+CommodityForward_WTI_2Y,CommodityForward,2018-02-05,2.000262,-1669620.658788,USD,-1669620.658788,USD,46000000.0,USD,46000000.0,CPTY_A,CPTY_A
 CommodityForward_WTI_Oct_21,CommodityForward,2021-10-31,5.734509,0.000000,USD,0.000000,USD,24875000.00,USD,24875000.00,CPTY_A,CPTY_A
 CommodityOption_WTI_Oct_21,CommodityOption,2021-10-31,5.734509,2399271.748696,USD,2399271.748696,USD,24875000.00,USD,24875000.00,CPTY_A,CPTY_A
 CommodityOption_Gold_Apr_17,CommodityOption,2017-04-28,1.224920,-23531.459416,USD,-23531.459416,USD,580900.00,USD,580900.00,CPTY_A,CPTY_A

OREAnalytics/orea/engine/historicalsensipnlcalculator.cpp

@@ -16,8 +16,9 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
-#include <orea/engine/historicalsensipnlcalculator.hpp>
+#include <orea/app/structuredanalyticserror.hpp>
 #include <orea/cube/inmemorycube.hpp>
+#include <orea/engine/historicalsensipnlcalculator.hpp>
 #include <ored/utilities/to_string.hpp>
 
 #include <boost/accumulators/statistics/tail_quantile.hpp>
@@ -173,8 +174,16 @@ void HistoricalSensiPnlCalculator::populateSensiShifts(boost::shared_ptr<NPVCube
 
         Size j = 0;
         for (const auto& [_, key] : keyNameMapping) {
-            Real shift = shiftCalculator->shift(key, *baseScenario, *scenario);
-            cube->set(shift, j, 0, i);
+            try {
+                Real shift = shiftCalculator->shift(key, *baseScenario, *scenario);
+                cube->set(shift, j, 0, i);
+            } catch (const std::exception& e) {
+                StructuredAnalyticsErrorMessage(
+                    "HistocialSensiPnlCalculator",
+                    "Shift calcuation 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/scenario/scenariosimmarketparameters.cpp

@@ -42,19 +42,19 @@ namespace {
 template <typename T> const vector<T>& lookup(const map<string, vector<T>>& m, const string& k) {
     if (m.count(k) > 0) {
         return m.at(k);
-    } else if (m.count("") > 0) {
-        return m.at("");
+    } else if (m.count(std::string()) > 0) {
+        return m.at(std::string());
     } else
-        QL_FAIL("no vector for key \"" << k << "\" found.");
+        QL_FAIL("ScenarioSimMarketParameters: no vector for key \"" << k << "\" found.");
 }
 
 template <typename T> const T& lookup(const map<string, T>& m, const string& k) {
     if (m.count(k) > 0) {
         return m.at(k);
-    } else if (m.count("") > 0) {
-        return m.at("");
+    } else if (m.count(std::string()) > 0) {
+        return m.at(std::string());
     } else
-        QL_FAIL("no result for key \"" << k << "\" found.");
+        QL_FAIL("ScenarioSimMarketParameters: no result for key \"" << k << "\" found.");
 }
 
 } // namespace

OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp

@@ -425,7 +425,13 @@ void SensitivityScenarioGenerator::generateDiscountCurveScenarios(bool up) {
 
     for (auto c : sensitivityData_->discountCurveShiftData()) {
         string ccy = c.first;
-        Size n_ten = simMarketData_->yieldCurveTenors(ccy).size();
+        Size n_ten;
+        try {
+            n_ten = simMarketData_->yieldCurveTenors(ccy).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for discount curve " << ccy << ": " << e.what());
+            continue;
+        }
         // original curves' buffer
         std::vector<Real> zeros(n_ten);
         std::vector<Real> times(n_ten);
@@ -525,7 +531,13 @@ void SensitivityScenarioGenerator::generateIndexCurveScenarios(bool up) {
 
     for (auto idx : sensitivityData_->indexCurveShiftData()) {
         string indexName = idx.first;
-        Size n_ten = simMarketData_->yieldCurveTenors(indexName).size();
+        Size n_ten;
+        try {
+            n_ten = simMarketData_->yieldCurveTenors(indexName).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for index curve " << indexName << ": " << e.what());
+            continue;
+        }
         // original curves' buffer
         std::vector<Real> zeros(n_ten);
         std::vector<Real> times(n_ten);
@@ -624,7 +636,13 @@ void SensitivityScenarioGenerator::generateYieldCurveScenarios(bool up) {
 
     for (auto y : sensitivityData_->yieldCurveShiftData()) {
         string name = y.first;
-        Size n_ten = simMarketData_->yieldCurveTenors(name).size();
+        Size n_ten;
+        try {
+            n_ten = simMarketData_->yieldCurveTenors(name).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for yield curve " << name << ": " << e.what());
+            continue;
+        }
         // original curves' buffer
         std::vector<Real> zeros(n_ten);
         std::vector<Real> times(n_ten);
@@ -720,7 +738,13 @@ void SensitivityScenarioGenerator::generateDividendYieldScenarios(bool up) {
 
     for (auto d : sensitivityData_->dividendYieldShiftData()) {
         string name = d.first;
-        Size n_ten = simMarketData_->equityDividendTenors(name).size();
+        Size n_ten;
+        try {
+            n_ten = simMarketData_->equityDividendTenors(name).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for div yield " << name << ": " << e.what());
+            continue;
+        }
         // original curves' buffer
         std::vector<Real> zeros(n_ten);
         std::vector<Real> times(n_ten);
@@ -818,7 +842,13 @@ void SensitivityScenarioGenerator::generateFxVolScenarios(bool up) {
         string ccyPair = f.first;
         QL_REQUIRE(ccyPair.length() == 6, "invalid ccy pair length");
 
-        Size n_fxvol_exp = simMarketData_->fxVolExpiries(ccyPair).size();
+        Size n_fxvol_exp;
+        try {
+            n_fxvol_exp = simMarketData_->fxVolExpiries(ccyPair).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for fx vol " << ccyPair << ": " << e.what());
+            continue;
+        }
         std::vector<Real> times(n_fxvol_exp);
         Size n_fxvol_strikes;
         vector<Real> vol_strikes;
@@ -933,7 +963,13 @@ void SensitivityScenarioGenerator::generateEquityVolScenarios(bool up) {
         if (!isScenarioRelevant(up, data))
             continue;
 
-        Size n_eqvol_exp = simMarketData_->equityVolExpiries(equity).size();
+        Size n_eqvol_exp;
+        try {
+            n_eqvol_exp = simMarketData_->equityVolExpiries(equity).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for eq vol " << equity << ": " << e.what());
+            continue;
+        }
         Size n_eqvol_strikes;
         vector<Real> vol_strikes;
         if (!simMarketData_->equityVolIsSurface(equity)) {
@@ -1109,7 +1145,13 @@ void SensitivityScenarioGenerator::generateGenericYieldVolScenarios(bool up, Ris
     for (auto s : shiftData) {
         std::string qualifier = s.first;
 
-        Size n_term = get_n_term(qualifier);
+        Size n_term;
+        try {
+            n_term = get_n_term(qualifier);
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for general yield vol " << qualifier << ": " << e.what());
+            continue;
+        }
         Size n_expiry = get_n_expiry(qualifier);
 
         vector<Real> volExpiryTimes(n_expiry, 0.0);
@@ -1268,7 +1310,13 @@ void SensitivityScenarioGenerator::generateCapFloorVolScenarios(bool up) {
     for (auto c : sensitivityData_->capFloorVolShiftData()) {
         std::string key = c.first;
 
-        vector<Real> volStrikes = simMarketData_->capFloorVolStrikes(key);
+        vector<Real> volStrikes;
+        try {
+            volStrikes = simMarketData_->capFloorVolStrikes(key);
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for cf vol " << key << ": " << e.what());
+            continue;
+        }
         // Strikes may be empty which indicates that the optionlet structure in the simulation market is an ATM curve
         if (volStrikes.empty()) {
             volStrikes = {0.0};
@@ -1394,7 +1442,12 @@ void SensitivityScenarioGenerator::generateSurvivalProbabilityScenarios(bool up)
 
     for (auto c : sensitivityData_->creditCurveShiftData()) {
         string name = c.first;
-        n_ten = simMarketData_->defaultTenors(name).size();
+        try {
+            n_ten = simMarketData_->defaultTenors(name).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for survival curve " << name << ": " << e.what());
+            continue;
+        }
         std::vector<Real> hazardRates(n_ten); // integrated hazard rates
         times.clear();
         times.resize(n_ten);
@@ -1587,7 +1640,13 @@ void SensitivityScenarioGenerator::generateZeroInflationScenarios(bool up) {
 
     for (auto z : sensitivityData_->zeroInflationCurveShiftData()) {
         string indexName = z.first;
-        Size n_ten = simMarketData_->zeroInflationTenors(indexName).size();
+        Size n_ten;
+        try {
+            n_ten = simMarketData_->zeroInflationTenors(indexName).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for zero inflation curve " << indexName << ": " << e.what());
+            continue;
+        }
         // original curves' buffer
         std::vector<Real> zeros(n_ten);
         std::vector<Real> times(n_ten);
@@ -1682,7 +1741,13 @@ void SensitivityScenarioGenerator::generateYoYInflationScenarios(bool up) {
 
     for (auto y : sensitivityData_->yoyInflationCurveShiftData()) {
         string indexName = y.first;
-        Size n_ten = simMarketData_->yoyInflationTenors(indexName).size();
+        Size n_ten;
+        try {
+            n_ten = simMarketData_->yoyInflationTenors(indexName).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for yoy inflation curve " << indexName << ": " << e.what());
+            continue;
+        }
         // original curves' buffer
         std::vector<Real> yoys(n_ten);
         std::vector<Real> times(n_ten);
@@ -1777,7 +1842,13 @@ void SensitivityScenarioGenerator::generateYoYInflationCapFloorVolScenarios(bool
 
     for (auto c : sensitivityData_->yoyInflationCapFloorVolShiftData()) {
         std::string name = c.first;
-        Size n_yoyvol_strikes = simMarketData_->yoyInflationCapFloorVolStrikes(name).size();
+        Size n_yoyvol_strikes;
+        try {
+            n_yoyvol_strikes = simMarketData_->yoyInflationCapFloorVolStrikes(name).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for yoy inflation cf vol " << name << ": " << e.what());
+            continue;
+        }
         vector<Real> volStrikes = simMarketData_->yoyInflationCapFloorVolStrikes(name);
         Size n_yoyvol_exp = simMarketData_->yoyInflationCapFloorVolExpiries(name).size();
         SensitivityScenarioData::VolShiftData data = *c.second;
@@ -1884,7 +1955,13 @@ void SensitivityScenarioGenerator::generateZeroInflationCapFloorVolScenarios(boo
 
     for (auto c : sensitivityData_->zeroInflationCapFloorVolShiftData()) {
         std::string name = c.first;
-        Size n_strikes = simMarketData_->zeroInflationCapFloorVolStrikes(name).size();
+        Size n_strikes;
+        try {
+            n_strikes = simMarketData_->zeroInflationCapFloorVolStrikes(name).size();
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for zero inflation cf vol " << name << ": " << e.what());
+            continue;
+        }
         Size n_exp = simMarketData_->zeroInflationCapFloorVolExpiries(name).size();
         vector<Real> volStrikes = simMarketData_->zeroInflationCapFloorVolStrikes(name);
         SensitivityScenarioData::VolShiftData data = *c.second;
@@ -2113,7 +2190,13 @@ void SensitivityScenarioGenerator::generateCommodityCurveScenarios(bool up) {
     for (auto c : sensitivityData_->commodityCurveShiftData()) {
         string name = c.first;
         // Tenors for this name in simulation market
-        vector<Period> simMarketTenors = simMarketData_->commodityCurveTenors(name);
+        vector<Period> simMarketTenors;
+        try {
+            simMarketTenors = simMarketData_->commodityCurveTenors(name);
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for comm curve " << name << ": " << e.what());
+            continue;
+        }
         DayCounter dc = Actual365Fixed();
         try {
             if (auto s = simMarket_.lock()) {
@@ -2208,7 +2291,13 @@ void SensitivityScenarioGenerator::generateCommodityVolScenarios(bool up) {
     for (auto c : sensitivityData_->commodityVolShiftData()) {
         string name = c.first;
         // Simulation market data for the current name
-        const vector<Period>& expiries = simMarketData_->commodityVolExpiries(name);
+        vector<Period> expiries;
+        try {
+            expiries = simMarketData_->commodityVolExpiries(name);
+        } catch (const std::exception& e) {
+            ALOG("skip scenario generation for comm vol " << name << ": " << e.what());
+            continue;
+        }
         const vector<Real>& moneyness = simMarketData_->commodityVolMoneyness(name);
         QL_REQUIRE(!expiries.empty(), "Sim market commodity volatility expiries have not been specified for " << name);
         QL_REQUIRE(!moneyness.empty(), "Sim market commodity volatility moneyness has not been specified for " << name);

OREData/ored/portfolio/commodityforward.cpp

@@ -148,7 +148,7 @@ void CommodityForward::build(const boost::shared_ptr<EngineFactory>& engineFacto
     npvCurrency_ = fixingDate_==Date() ? currency_ : payCcy_;
 
     // notional_ = strike_ * quantity_;
-    notional_ = Null<Real>(); // is handled by override of notional()
+    notional_ = strike_ * quantity_;
     notionalCurrency_ = currency_;
 
     additionalData_["quantity"] = quantity_;
@@ -168,17 +168,7 @@ void CommodityForward::build(const boost::shared_ptr<EngineFactory>& engineFacto
     additionalData_["isdaTransaction"] = string("");  
 }
 
-Real CommodityForward::notional() const {
-    // try to get the notional from the additional results of the instrument
-    try {
-        return instrument_->qlInstrument(true)->result<Real>("currentNotional");
-    } catch (const std::exception& e) {
-        if (strcmp(e.what(), "currentNotional not provided"))
-            ALOG("error when retrieving notional: " << e.what());
-    }
-    // if not provided, return null
-    return Null<Real>();
-}
+Real CommodityForward::notional() const { return notional_; }
 
 std::map<AssetClass, std::set<std::string>>
 CommodityForward::underlyingIndices(const boost::shared_ptr<ReferenceDataManager>& referenceDataManager) const {