git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "18bfd110fe"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "e3c769241e"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

Docs/UserGuide/userguide.tex

@@ -7210,9 +7210,6 @@ \subsubsection*{Trade Features}
 Some trade features are not yet supported by the multileg option engine:
 
 \begin{enumerate}
-\item legs with fx resetting feature
-\item legs with naked option = true
-\item coupon types are restricted to Ibor and CMS
 \item exercise flows (like a notional exchange common to cross currency swaptions) are not supported
 \end{enumerate}
 
@@ -7228,12 +7225,6 @@ \subsubsection*{State interpolation for exercise decisions}
 simulated path. Currently this is done using a simple linear interpolation while from a pure methodology point of view a
 Brownian Bridge would be preferable. In our tests we do not see a big impact of this approximation though.
 
-\subsubsection*{Missing recalibration of the MCMultiLegOptionEngine}
-
-The MC Multi Leg Option Engine builder uses the \verb+CrossAssetModelBuilder+ to set up the pricing model. This class
-does not implement the \verb+ModelBuidler+ interface meaning that the model is not recalibrated in a sensitivity
-analysis run. Therefore the sensitivities calculated by this engine are not valid.
-
 \subsubsection*{Basis Function Selection}
 
 Currently the basis function system is generated by specifying the type of the functions and the order, see

OREAnalytics/orea/app/analytics/pricinganalytic.cpp

@@ -158,7 +158,6 @@ void PricingAnalyticImpl::runAnalytic(
         else if (type == "SENSITIVITY") {
             CONSOLEW("Risk: Sensitivity Report");
             LOG("Sensi Analysis - Initialise");
-            bool recalibrateModels = true;
             bool ccyConv = false;
             std::string configuration = inputs_->marketConfig("pricing");
             boost::shared_ptr<SensitivityAnalysis> sensiAnalysis;
@@ -169,7 +168,7 @@ void PricingAnalyticImpl::runAnalytic(
                 sensiAnalysis = boost::make_shared<SensitivityAnalysis>(
                     analytic()->portfolio(), analytic()->market(), configuration, inputs_->pricingEngine(),
                     analytic()->configurations().simMarketParams, analytic()->configurations().sensiScenarioData,
-                    recalibrateModels, analytic()->configurations().curveConfig,
+                    inputs_->sensiRecalibrateModels(), analytic()->configurations().curveConfig,
                     analytic()->configurations().todaysMarketParams, ccyConv, inputs_->refDataManager(),
                     *inputs_->iborFallbackConfig(), true, inputs_->dryRun());
                 LOG("Single-threaded sensi analysis created");
@@ -182,9 +181,9 @@ void PricingAnalyticImpl::runAnalytic(
                 std::function<std::vector<boost::shared_ptr<ore::data::EngineBuilder>>()> extraEngineBuilders = {};
                 std::function<std::vector<boost::shared_ptr<ore::data::LegBuilder>>()> extraLegBuilders = {};
                 sensiAnalysis = boost::make_shared<SensitivityAnalysis>(
-                    inputs_->nThreads(), inputs_->asof(), loader, analytic()->portfolio(), Market::defaultConfiguration,
+                    inputs_->nThreads(), inputs_->asof(), loader, analytic()->portfolio(), configuration,
                     inputs_->pricingEngine(), analytic()->configurations().simMarketParams,
-                    analytic()->configurations().sensiScenarioData, recalibrateModels,
+                    analytic()->configurations().sensiScenarioData, inputs_->sensiRecalibrateModels(),
                     analytic()->configurations().curveConfig, analytic()->configurations().todaysMarketParams, ccyConv,
                     inputs_->refDataManager(), *inputs_->iborFallbackConfig(), true, inputs_->dryRun());
                 LOG("Multi-threaded sensi analysis created");

OREAnalytics/orea/app/inputparameters.hpp

@@ -128,6 +128,7 @@ class InputParameters {
     void setOutputJacobi(bool b) { outputJacobi_ = b; }
     void setUseSensiSpreadedTermStructures(bool b) { useSensiSpreadedTermStructures_ = b; }
     void setSensiThreshold(Real r) { sensiThreshold_ = r; }
+    void setSensiRecalibrateModels(bool b) { sensiRecalibrateModels_ = b; }
     void setSensiSimMarketParams(const std::string& xml);
     void setSensiSimMarketParamsFromFile(const std::string& fileName);
     void setSensiScenarioData(const std::string& xml);
@@ -420,6 +421,7 @@ class InputParameters {
     bool outputJacobi() const { return outputJacobi_; };
     bool useSensiSpreadedTermStructures() { return useSensiSpreadedTermStructures_; }
     QuantLib::Real sensiThreshold() const { return sensiThreshold_; }
+    bool sensiRecalibrateModels() const { return sensiRecalibrateModels_; }
     const boost::shared_ptr<ore::analytics::ScenarioSimMarketParameters>& sensiSimMarketParams() { return sensiSimMarketParams_; }
     const boost::shared_ptr<ore::analytics::SensitivityScenarioData>& sensiScenarioData() { return sensiScenarioData_; }
     const boost::shared_ptr<ore::data::EngineData>& sensiPricingEngine() { return sensiPricingEngine_; }
@@ -688,6 +690,7 @@ class InputParameters {
     bool alignPillars_ = false;
     bool useSensiSpreadedTermStructures_ = true;
     QuantLib::Real sensiThreshold_ = 1e-6;
+    bool sensiRecalibrateModels_ = true;
     boost::shared_ptr<ore::analytics::ScenarioSimMarketParameters> sensiSimMarketParams_;
     boost::shared_ptr<ore::analytics::SensitivityScenarioData> sensiScenarioData_;
     boost::shared_ptr<ore::data::EngineData> sensiPricingEngine_;

OREAnalytics/orea/app/oreapp.cpp

@@ -766,6 +766,10 @@ void OREApp::buildInputParameters(boost::shared_ptr<InputParameters> inputs,
         tmp = params_->get("sensitivity", "outputSensitivityThreshold", false);
         if (tmp != "")
             inputs->setSensiThreshold(parseReal(tmp));
+
+        tmp = params_->get("sensitivity", "recalibrateModels", false);
+        if (tmp != "")
+            inputs->setSensiRecalibrateModels(parseBool(tmp));
     }