git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "1d15d7427a"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "4401a7e197"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

Docs/UserGuide/curve_configurations/yieldcurves.tex

@@ -456,7 +456,7 @@ \subsubsection*{Fitted Bond Segment}
           </Quotes>
           <!-- mapping of Ibor curves used in the bonds from which the curve is built -->
           <IborIndexCurves>
-            <IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR-EURIBOR-6M</IborIndexCurve>
+            <IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR6M</IborIndexCurve>
           </IborIndexCurves>
           <!-- flat extrapolation before first and after last bond maturity -->
           <ExtrapolateFlat>true</ExtrapolateFlat>

Docs/UserGuide/marketdata.tex

@@ -1443,6 +1443,31 @@ \subsection{Bond Yield Spreads}
 	\item BOND/YIELD\_SPREAD/SECURITY\_1
 \end{itemize}
 
+%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
+\subsection{Bond Prices}
+%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
+
+\begin{table}[H]
+\centering
+  \begin{tabular}{|p{3cm}|p{3.5cm}|p{7cm}|}
+  \hline
+  {\bf Property} & {\bf Allowable values} & {\bf Description} \\ \hline
+    Instrument Type & \emph{BOND} & \\ \hline
+    Quote Type & \emph{PRICE} & \\ \hline
+    Name & String & Identifying name of the bond \\ \hline
+  \end{tabular}
+  \caption{Bond Prices}
+  \label{tab:bondprice_quote}
+\end{table}
+
+This quote provides the clean price for a specified bond in units.
+
+\medskip
+Examples:
+\begin{itemize}
+	\item BOND/PRICE/SECURITY\_1
+\end{itemize}
+
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
 \subsection{Base Correlations}
 %- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

Docs/UserGuide/tradedata/bond.tex

@@ -60,7 +60,7 @@ \subsubsection{Bond}
 An alphanumeric string of the form [CCY]-[INDEX]-[TERM]. CCY, INDEX and TERM must be separated by dashes (-). CCY and INDEX must be among the supported currency and index combinations. TERM must be an integer followed by D, W, M or Y. See Table \ref{tab:indices}. 
 
 For currencies without available ibor indices:  \\
-An alphanumeric string of the form [CCY]BENCHMARK-[CCY]-TERM, matching a benchmark curve set up in the market data configuration.
+An alphanumeric string, matching a benchmark curve set up in the market data configuration in {\tt  todaysmarket.xml} Yield curves section.
 
 Examples: IDRBENCHMARK-IDR-3M, EGPBENCHMARK-EGP-3M, UAHBENCHMARK-UAH-3M, NGNBENCHMARK-NGN-3M
 

Docs/UserGuide/userguide.tex

@@ -2132,7 +2132,7 @@ \subsection{Bonds and Amortisation Structures}% Example 18
 %--------------------------------------------------------
 
 The example in folder {\tt Examples/Example\_18} computes NPVs and cash flow projections for a vanilla bond portfolio
-consisting of a range of bond products, in particular demonstrating amortisation features:
+consisting of a range of bond products, in particular demonstrating amortisation features. Also, pricing using a benchmark bond price curve (bond definitions in referencedata.xml) is demonstrated:
 \begin{itemize}
 \item fixed rate bond
 \item floating rate bond linked to Euribor 6M
@@ -2143,6 +2143,7 @@ \subsection{Bonds and Amortisation Structures}% Example 18
 \item bond with fixed annuity amortisation
 \item bond with floating annuity amortisation (this example needs QuantLib 1.10 or higher to work, in particular the amount() method in the Coupon class needs to be virtual)
 \item bond with fixed amount amortisation followed by percentage amortisation relative to previous notional
+\item fixed rate bond using a benchmark bond price curve instead of the benchmark yield curve
 \end{itemize}
 
 After running the example, the results of the computation can be found in the output files {\tt npv.csv} and {\tt
@@ -4069,6 +4070,7 @@ \subsubsection{Analytics}\label{sec:analytics}
     <Parameter name="csaFile">netting.xml</Parameter>
     <Parameter name="cubeFile">cube.csv.gz</Parameter>
     <Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
+    <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
     <Parameter name="baseCurrency">EUR</Parameter>
     <Parameter name="exposureProfiles">Y</Parameter>
     <Parameter name="exposureProfilesByTrade">Y</Parameter>
@@ -4096,6 +4098,7 @@ \subsubsection{Analytics}\label{sec:analytics}
     <Parameter name="kvaOurCvaRiskWeight">0.005</Parameter>
     <Parameter name="kvaTheirCvaRiskWeight">0.05</Parameter>
     <Parameter name="dim">Y</Parameter>
+    <Parameter name="dimModel">Regression</Parameter>
     <Parameter name="mva">Y</Parameter>
     <Parameter name="dimQuantile">0.99</Parameter>
     <Parameter name="dimHorizonCalendarDays">14</Parameter>
@@ -4129,6 +4132,7 @@ \subsubsection{Analytics}\label{sec:analytics}
 \item {\tt cubeFile:} NPV cube file previously generated and to be post-processed here
 \item {\tt scenarioFile:} Scenario data previously generated and used in the post-processor (simulated index fixings and
 FX rates)
+\item {\tt collateralBalancesFile:} References an xml file that contains current VM and IM balances by netting set
 \item {\tt baseCurrency:} Expression currency for all NPVs, value adjustments, exposures
 \item {\tt exposureProfiles:} Flag to enable/disable exposure output for each netting set
 \item {\tt exposureProfilesByTrade:} Flag to enable/disable stand-alone exposure output for each trade
@@ -4186,7 +4190,10 @@ \subsubsection{Analytics}\label{sec:analytics}
 \item {\tt exerciseNextBreak:} Flag to terminate all trades at their next break date before aggregation and the
 subsequent analytics
 \item {\tt cva, dva, fva, colva, collateralFloor, dim, mva:} Flags to enable/disable these analytics. \todo[inline]{Add
-collateral rates floor to the collateral model file (netting.xml)}
+  collateral rates floor to the collateral model file (netting.xml)}
+\item {\tt dimModel:} Type of dynamic initial margin model to be applied -- {\em Regression} or {\em Flat}. {\em Regression} is applied by default
+  when the dimModel node is omitted (see appendix and further settings related to the regression DIM model below); {\em Flat} means a simple flat
+  projection of todays's IM amount on each path (this requires providing today's IM using the {\tt collateralBalancesFile} parameter, see above)
 \item {\tt dvaName:} Credit name to look up the own default probability curve and recovery rate for DVA calculation
 \item {\tt fvaBorrowingCurve:} Identifier of the borrowing yield curve
 \item {\tt fvaLendingCurve:} Identifier of the lending yield curve