Merge branch 'github_modules' into 'master'

merge latest ore version into ore-github

Closes QPR-11732

See merge request qs/ore-github!2

Author: damienbarker

Docker/Dockerfile-Latex

@@ -8,7 +8,7 @@ RUN cd / \
  && apt-get install -f -y wget \
  && apt-get clean \
  && rm -rf /var/lib/apt/lists/* \
- && wget http://personal.psu.edu/jcc8//software/latexmk-jcc/latexmk-469a.zip \
+ && wget https://www.cantab.net/users/johncollins/software/latexmk-jcc/latexmk-469a.zip \
  && unzip latexmk-469a.zip \
  && rm -f latexmk-469a.zip \
  && mv /usr/bin/latexmk /usr/bin/latexmk_base \

Docs/UserGuide/computeenvironment.tex

@@ -324,7 +324,7 @@ \subsection{Random Variable Op Codes}\label{randomVariableOpCodes}
       Sqrt & 1 & square root of a variable \\ \hline
       Log & 1 & natural logarithm of a variable \\ \hline
       Pow & 2 & power of basis, exponent \\ \hline
-      NormalCdf & 1 & normal cumulative distribut ion \\ \hline
+      NormalCdf & 1 & normal cumulative distribuion \\ \hline
       NormalPdf & 1 & normal distribution density\\ \hline
     \end{tabular}
   \end{flushleft}

Docs/UserGuide/conventions.tex

@@ -380,6 +380,7 @@ \subsubsection{Tenor Basis Swap Conventions}
 <TenorBasisSwap>
   <Id> </Id>
   <LongIndex> </LongIndex>
+  <LongPayTenor> </ShortPayTenor>
   <ShortIndex> </ShortIndex>
   <ShortPayTenor> </ShortPayTenor>
   <SpreadOnShort> </SpreadOnShort>
@@ -394,22 +395,27 @@ \subsubsection{Tenor Basis Swap Conventions}
 
 The meanings of the various elements in this node are as follows:
 \begin{itemize}
-\item LongIndex: The name of the long tenor Ibor index.
-\item ShortIndex: The name of the short tenor Ibor index.
-\item ShortPayTenor [Optional]: The frequency of payments on the short tenor Ibor leg. This is usually the same as the
-short tenor Ibor index's tenor. However, it can also be longer e.g.\ USD tenor basis swaps where the short tenor Ibor
-index is compounded and paid on the same frequency as the long tenor Ibor index. If not provided, this defaults to the
-short tenor Ibor index's tenor.
+\item LongIndex: The name of the long tenor Ibor index. In the case of basis swaps with equal tenor indexes (like overnight 
+indexed vs overnight indexed basis swaps) it should be interpreted as the index of the received leg.
+\item LongPayTenor [Optional]: The frequency of payments on the LongIndex leg. This is usually the same as the LongIndex's 
+tenor. However, it can also be longer, e.g. overnight indexed vs overnight indexed basis swaps that may be quarterly on 
+both legs. If not provided, this defaults to the LongIndex's tenor.
+\item ShortIndex: The name of the short tenor Ibor or overnight index.
+\item ShortPayTenor [Optional]: The frequency of payments on the ShortIndex leg. This is usually the same as the
+ShortIndex's tenor. However, it can also be longer e.g.\ USD tenor basis swaps where the short tenor Ibor
+index is compounded and paid on the same frequency as the long tenor Ibor index, or overnight indexed vs overnight 
+indexed basis swaps that may be quarterly on both legs. If not provided, this defaults to the ShortIndex's tenor.
 \item SpreadOnShort [Optional]: \emph{True} if the tenor basis swap quote has the spread on the short tenor Ibor index
 leg and \emph{False} if not. If not provided, this defaults to \emph{True}.
 \item IncludeSpread [Optional]: \emph{True} if the tenor basis swap spread is to be included when compounding is
 performed on the short tenor Ibor index leg and \emph{False} if not. If not provided, this defaults to \emph{False}.
-\item SubPeriodsCouponType [Optional]: This field can have the value \emph{Compounding} or \emph{Averaging} and it only
-applies when the frequency of payments on the short tenor Ibor leg does not equal the short tenor Ibor index's tenor. If
-\emph{Compounding} is specified, then the short tenor Ibor index is compounded and paid on the frequency specified in
-the \lstinline!ShortPayTenor! node. If \emph{Averaging} is specified, then the short tenor Ibor index is averaged and
-paid on the frequency specified in the \lstinline!ShortPayTenor! node. If not provided, this defaults to
-\emph{Compounding}.
+\item SubPeriodsCouponType [Optional]: This field can have the value \emph{Compounding} or \emph{Averaging}. It applies 
+to Ibor vs OI and Ibor vs Ibor basis swaps when the frequency of payments on the short tenor leg does not equal the 
+short tenor index's tenor. If \emph{Compounding} is specified, then the short tenor Ibor index is compounded and paid on
+the frequency specified in the \lstinline!ShortPayTenor! node. If \emph{Averaging} is specified, then the short tenor 
+Ibor index is averaged and paid on the frequency specified in the \lstinline!ShortPayTenor! node. If not provided, this 
+defaults to \emph{Compounding}. In the context of overnight indexed vs overnight indexed basis swaps this value will apply 
+to both legs.
 \end{itemize}
 
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
@@ -948,6 +954,7 @@ \subsubsection{Commodity Future Conventions}
   <ValidContractMonths>
   	<Month>...</Month>
   </ValidContractMonths>
+  <OptionUnderlyingFutureConvention>...</OptionUnderlyingFutureConvention>
 </CommodityFuture>
 \end{minted}
 \caption{Commodity future conventions}
@@ -984,6 +991,7 @@ \subsubsection{Commodity Future Conventions}
 \item \lstinline!OptionBusinessDayConvention! [Optional]: The business day convention used to adjust the option expiry date to a good business day if \lstinline!OptionExpiryDay! is used.
 \item \lstinline!OptionExpiryLastWeekdayOfMonth! [Optional]: This node is used to indicate a date in a given month in the form of the last named weekday of that month e.g. last Wednesday. The node takes a weekday in the form of the first three characters of the weekday with the first character capitalised.
 \item \lstinline!OptionExpiryWeeklyDayOfTheWeek! [Optional]: This node is used to indicate a date in a given week in the form of the named weekday, e.g. Wednesday. The node takes a weekday in the form of the first three characters of the weekday with the first character capitalised. This node is mandatory for weekly expiring options. The node is not allowed to use with any other option contract frequency.
+\item \lstinline!OptionUnderlyingFutureConvention! [Optional]: Sometimes the next contract expiry, as specified in the convention, is not the correct option underlying. For example the base metals options expiries on the 1st Wedenesday of the contract month, and during the first 3 months there are daily future contracts available. The option underlying is not the future contract which matures on the option expiry but the one which matures on the 3rd Wednesday of the month. This field is referencing to an commodity future convention which specifies the correct expiry date for the underlying contract.
 \item \lstinline!FutureContinuationMappings! [Optional]: When building future curves, we may use market data that has a continuation expiry, i.e. \lstinline!c1!, \lstinline!c2!, etc. , as opposed to an explicit expiry date or tenor. In some cases, the continuation expiries coming from the market data provider may skip serial months and therefore we use the mapping here to map from the market data provider index to the relevant serial month.
 \item \lstinline!OptionContinuationMappings! [Optional]: When building option volatility structures, we may use market data that has a continuation expiry, i.e. \lstinline!c1!, \lstinline!c2!, etc. , as opposed to an explicit expiry date or tenor. In some cases, the continuation expiries coming from the market data provider may skip serial months and therefore we use the mapping here to map from the market data provider index to the relevant serial month. For example, for the Crude Palm Oil contract \lstinline!XKLS:FCPO!, the option expiry months are serial up to the 9th month and then alternate months. So, we would add a mapping from 10 to 11, 11 to 13 and so on so that the correct option expiry is arrived at when reading the market data quotes and constructing the option volatility structure.
 \item \lstinline!AveragingData! [Optional]: This node is needed for future contracts that are used in a piecewise commodity curve \lstinline!PriceSegment! and whose underlying is the average of other future prices or spot prices over a given period. An example is the ICE PMI power contract with contract specifications outlined \href{https://www.theice.com/products/6590369/PJM-Western-Hub-Real-Time-Peak-1-MW-Fixed-Price-Future}{here}. It is described in detail below.