Merge remote-tracking branch 'origin/1.0.72' into 1072_into_master

Author: pcaspers

OREAnalytics/orea/engine/parsensitivityanalysis.cpp

@@ -738,6 +738,12 @@ void ParSensitivityAnalysis::computeParInstrumentSensitivities(const boost::shar
     boost::shared_ptr<ShiftScenarioGenerator> scenarioGenerator = 
         boost::dynamic_pointer_cast<ShiftScenarioGenerator>(simMarketScenGen);
 
+    struct SimMarketResetter {
+        SimMarketResetter(boost::shared_ptr<SimMarket> simMarket) : simMarket_(simMarket) {}
+        ~SimMarketResetter() { simMarket_->reset(); }
+        boost::shared_ptr<SimMarket> simMarket_;
+    } simMarketResetter(simMarket);
+
     simMarket->reset();
     scenarioGenerator->reset();
     simMarket->update(asof_);

OREAnalytics/orea/engine/valuationengine.cpp

@@ -68,6 +68,12 @@ void ValuationEngine::buildCube(const boost::shared_ptr<data::Portfolio>& portfo
                                 boost::shared_ptr<analytics::NPVCube> outputCptyCube,
                                 vector<boost::shared_ptr<CounterpartyCalculator>> cptyCalculators, bool dryRun) {
 
+    struct SimMarketResetter {
+        SimMarketResetter(boost::shared_ptr<SimMarket> simMarket) : simMarket_(simMarket) {}
+        ~SimMarketResetter() { simMarket_->reset(); }
+        boost::shared_ptr<SimMarket> simMarket_;
+    } simMarketResetter(simMarket_);
+
     LOG("Build cube with mporStickyDate=" << mporStickyDate << ", dryRun=" << std::boolalpha << dryRun);
 
     QL_REQUIRE(portfolio->size() > 0, "ValuationEngine: Error portfolio is empty");
@@ -265,7 +271,6 @@ void ValuationEngine::buildCube(const boost::shared_ptr<data::Portfolio>& portfo
         }
     }
 
-    simMarket_->reset();
     updateProgress(outputCube->samples(), outputCube->samples());
     loopTimer.stop();
     LOG("ValuationEngine completed: loop " << setprecision(2) << loopTimer.format(2, "%w") << " sec, "

OREAnalytics/orea/simm/simmcalculator.cpp

@@ -63,12 +63,14 @@ typedef SimmConfiguration::SimmSide SimmSide;
 
 SimmCalculator::SimmCalculator(const SimmNetSensitivities& simmNetSensitivities,
                                const boost::shared_ptr<SimmConfiguration>& simmConfiguration,
-                               const string& calculationCcy, const string& resultCcy, const boost::shared_ptr<Market> market,
-                               const bool determineWinningRegulations,
-                               const bool enforceIMRegulations, const bool quiet)
+                               const string& calculationCcy, const string& resultCcy,
+                               const boost::shared_ptr<Market> market, const bool determineWinningRegulations,
+                               const bool enforceIMRegulations, const bool quiet,
+                               const map<SimmSide, set<NettingSetDetails>>& hasSEC,
+                               const map<SimmSide, set<NettingSetDetails>>& hasCFTC)
     : simmNetSensitivities_(simmNetSensitivities), simmConfiguration_(simmConfiguration),
       calculationCcy_(calculationCcy), resultCcy_(resultCcy.empty() ? calculationCcy_ : resultCcy), market_(market),
-      quiet_(quiet) {
+      quiet_(quiet), hasSEC_(hasSEC), hasCFTC_(hasCFTC) {
 
     QL_REQUIRE(checkCurrency(calculationCcy_),
                "SIMM Calculator: The calculation currency (" << calculationCcy_ << ") must be a valid ISO currency code");
@@ -116,31 +118,50 @@ SimmCalculator::SimmCalculator(const SimmNetSensitivities& simmNetSensitivities,
 
     // Some additional processing depending on the regulations applicable to each netting set
     for (auto& sv : regSensitivities_) {
+        const SimmSide& side = sv.first;
 
         for (auto& s : sv.second) {
+            const NettingSetDetails& nettingDetails = s.first;
+
             // Where there is SEC and CFTC in the portfolio, we add the CFTC trades to SEC,
             // but still continue with CFTC calculations
-            const bool hasCFTC = s.second.find("CFTC") != s.second.end();
-            const bool hasSEC = s.second.find("SEC") != s.second.end();
-            if (hasCFTC && hasSEC) {
-                const SimmNetSensitivities& netRecordsCFTC = s.second.at("CFTC")->netRecords(true);
-                const SimmNetSensitivities& netRecordsSEC = s.second.at("SEC")->netRecords(true);
-                for (const auto& cr : netRecordsCFTC) {
-                    // Only add CFTC records to SEC if the record was not already in SEC,
-                    // i.e. we skip over CRIF records with regulations specified as e.g. "..., CFTC, SEC, ..."
-                    if (netRecordsSEC.find(cr) == netRecordsSEC.end()) {
-                        if (!quiet_) {
-                            DLOG("SimmCalculator: Inserting CRIF record with CFTC "
-                                << s.first << " regulation into SEC CRIF records: " << cr);
+            const bool hasCFTCGlobal = hasCFTC_[side].find(nettingDetails) != hasCFTC_[side].end();
+            const bool hasSECGlobal = hasSEC_[side].find(nettingDetails) != hasSEC_[side].end();
+            const bool hasSECLocal = s.second.find("SEC") != s.second.end();
+            const bool hasCFTCLocal = s.second.find("CFTC") != s.second.end();
+
+            if ((hasSECLocal && hasCFTCLocal) || (hasCFTCGlobal && hasSECGlobal)) {
+                if (!hasSECLocal) {
+                    if (!hasCFTCLocal) {
+                        continue;
+                    } else {
+                        s.second["SEC"] = boost::make_shared<CrifLoader>(simmConfiguration_,
+                                                                         CrifRecord::additionalHeaders, true, false);
+                    }
+                }
+                
+                if (hasCFTCLocal) {
+                    // At this point, we expect to have both SEC and CFTC sensitivities for the netting set
+                    const SimmNetSensitivities& netRecordsCFTC = s.second.at("CFTC")->netRecords(true);
+                    const SimmNetSensitivities& netRecordsSEC = s.second.at("SEC")->netRecords(true);
+                    for (const auto& cr : netRecordsCFTC) {
+                        // Only add CFTC records to SEC if the record was not already in SEC,
+                        // i.e. we skip over CRIF records with regulations specified as e.g. "..., CFTC, SEC, ..."
+                        if (netRecordsSEC.find(cr) == netRecordsSEC.end()) {
+                            if (!quiet_) {
+                                DLOG("SimmCalculator: Inserting CRIF record with CFTC "
+                                     << s.first << " regulation into SEC CRIF records: " << cr);
+                            }
+                            s.second.at("SEC")->add(cr);
                         }
-                        s.second.at("SEC")->add(cr);
                     }
                 }
+
             }
             // The CrifLoader was set initially without aggregation, so make sure to aggregate this now
-            if (hasCFTC)
+            if (hasCFTCLocal)
                 s.second.at("CFTC")->aggregate();
-            if (hasSEC)
+            if (hasSECLocal)
                 s.second.at("SEC")->aggregate();
 
             // If netting set has "Unspecified" plus other regulations, the "Unspecified" sensis are to be excluded.

OREAnalytics/orea/simm/simmcalculator.hpp

@@ -47,12 +47,14 @@ class SimmCalculator {
     */
     SimmCalculator(const SimmNetSensitivities& simmNetSensitivities,
                    const boost::shared_ptr<SimmConfiguration>& simmConfiguration,
-                   const std::string& calculationCcy = "USD",
-                   const std::string& resultCcy = "",
+                   const std::string& calculationCcy = "USD", const std::string& resultCcy = "",
                    const boost::shared_ptr<ore::data::Market> market = nullptr,
-                   const bool determineWinningRegulations = true,
-                   const bool enforceIMRegulations = false,
-                   const bool quiet = false);
+                   const bool determineWinningRegulations = true, const bool enforceIMRegulations = false,
+                   const bool quiet = false,
+                   const std::map<SimmSide, std::set<NettingSetDetails>>& hasSEC =
+                       std::map<SimmSide, std::set<NettingSetDetails>>(),
+                   const std::map<SimmSide, std::set<NettingSetDetails>>& hasCFTC =
+                       std::map<SimmSide, std::set<NettingSetDetails>>());
 
     //! Calculates SIMM for a given regulation under a given netting set
     const void calculateRegulationSimm(const SimmNetSensitivities& netRecords, const ore::data::NettingSetDetails& nsd,
@@ -121,6 +123,8 @@ class SimmCalculator {
     //! If true, no logging is written out
     bool quiet_;
 
+    std::map<SimmSide, std::set<NettingSetDetails>> hasSEC_, hasCFTC_;
+
     //! For each netting set, whether all CRIF records' collect regulations are empty
     std::map<ore::data::NettingSetDetails, bool> collectRegsIsEmpty_;