git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "e43b68dbeb"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "57f33a6347"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

Docs/UserGuide/allowablevalues.tex

@@ -146,6 +146,7 @@ \subsection{Allowable Values}
     \emph{US-NYSE, New York stock exchange} & US NYSE Calendar \\ \hline
     \emph{US with Libor impact} & US Calendar for Libor fixings \\ \hline
     \emph{US-NERC} & US NERC Calendar \\ \hline  
+    \emph{US-SOFR} & US SOFR fixing Calendar \\ \hline
     \emph{AR, ARG, ARS} & Argentina Calendar \\ \hline    
     \emph{AU, AUD, AUS} & Australia Calendar \\ \hline
     \emph{AT, AUT, ATS} & Austria Calendar \\ \hline    
@@ -211,6 +212,7 @@ \subsection{Allowable Values}
     \emph{XLON} & UK London Stock Exchange \\ \hline
     \emph{XLME} & UK London Metal Exchange \\ \hline
     \emph{XNYS} & US New York Stock Exchange Calendar \\ \hline
+    \emph{XPAR} & Paris stock exchange \\ \hline
     \emph{WMR} & Thomson Reuters QM/Reuters Spot \\ \hline
     \emph{WeekendsOnly} & Weekends Only Calendar \\ \hline
     \emph{ICE\_FuturesUS} & ICE Futures U.S. Currency, Stock and Credit Index, Metal, Nat Gas, Power, Oil and Environmental \\ \hline
@@ -235,7 +237,7 @@ \subsection{Allowable Values}
     % \emph{LNB\_NYB\_ZUB} & UK, US and Switzerland Calendar \\ \hline
     % \emph{LNB\_NYB\_TRB} & UK, US and Canada Calendar \\ \hline 
     % \emph{LNB\_NYB\_TKB} & UK, US and Japan Calendar \\ \hline   
-    % \emph{NullCalendar} & Null Calendar, i.e. all days are business days \\ \hline                 
+    \emph{NullCalendar, Null} & Null Calendar, i.e. all days are business days \\ \hline                 
   \caption{Allowable Values for Calendar. Combinations of calendars can be provided using comma separated calendar names.}
   \label{tab:calendar}
 \end{longtable}

OREAnalytics/orea/aggregation/dimcalculator.cpp

@@ -23,7 +23,6 @@
 
 #include <ql/errors.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
-#include <ql/version.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/generallinearleastsquares.hpp>
 #include <ql/math/kernelfunctions.hpp>

OREAnalytics/orea/aggregation/dimregressioncalculator.cpp

@@ -21,7 +21,6 @@
 #include <ored/utilities/vectorutils.hpp>
 #include <ql/errors.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
-#include <ql/version.hpp>
 
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/generallinearleastsquares.hpp>
@@ -109,13 +108,8 @@ void RegressionDynamicInitialMarginCalculator::build() {
     LsmBasisSystem::PolynomialType polynomType = LsmBasisSystem::Monomial;
     Size regressionDimension = regressors_.empty() ? 1 : regressors_.size();
     LOG("DIM regression dimension = " << regressionDimension);
-#if QL_HEX_VERSION > 0x01150000
     std::vector<ext::function<Real(Array)>> v(
         LsmBasisSystem::multiPathBasisSystem(regressionDimension, polynomOrder, polynomType));
-#else // QL 1.14 and below
-    std::vector<boost::function1<Real, Array>> v(
-        LsmBasisSystem::multiPathBasisSystem(regressionDimension, polynomOrder, polynomType));
-#endif
     Real confidenceLevel = QuantLib::InverseCumulativeNormal()(quantile_);
     LOG("DIM confidence level " << confidenceLevel);
 

OREAnalytics/orea/aggregation/postprocess.cpp

@@ -28,7 +28,6 @@
 #include <ored/utilities/vectorutils.hpp>
 #include <ql/errors.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
-#include <ql/version.hpp>
 
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/generallinearleastsquares.hpp>

OREAnalytics/orea/aggregation/xvacalculator.cpp

@@ -24,7 +24,6 @@
 #include <ored/utilities/vectorutils.hpp>
 
 #include <ql/errors.hpp>
-#include <ql/version.hpp>
 
 using namespace std;
 using namespace QuantLib;

OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp

@@ -815,7 +815,7 @@ void ScenarioSimMarketParameters::fromXML(XMLNode* root) {
 	auto keys = XMLUtils::getChildrenValues(nodeChild, "Keys", "Key", false);
 	if(!ccys.empty()) {
 	    keys.insert(keys.end(), ccys.begin(), ccys.end());
-            ALOG("ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.");
+            WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.");
         }
         setSwapVolKeys(keys);
         QL_REQUIRE(!keys.empty(), "SwaptionVolatilities needs at least one currency");
@@ -835,7 +835,7 @@ void ScenarioSimMarketParameters::fromXML(XMLNode* root) {
                 string ccyAttr = XMLUtils::getAttribute(expiryNode, "ccy");
                 if (!ccyAttr.empty()) {
                     key = ccyAttr;
-                    ALOG("ScenarioSimMarketParameters: SwaptionVolatilities/Expiries: 'ccy' attribute is deprecated, "
+                    WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Expiries: 'ccy' attribute is deprecated, "
                          "use 'key' instead.");
                 }
             }
@@ -860,7 +860,7 @@ void ScenarioSimMarketParameters::fromXML(XMLNode* root) {
                 string ccyAttr = XMLUtils::getAttribute(termNode, "ccy");
                 if (!ccyAttr.empty()) {
                     key = ccyAttr;
-                    ALOG("ScenarioSimMarketParameters: SwaptionVolatilities/Terms: 'ccy' attribute is deprecated, "
+                    WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Terms: 'ccy' attribute is deprecated, "
                          "use 'key' instead.");
                 }
             }
@@ -984,7 +984,7 @@ void ScenarioSimMarketParameters::fromXML(XMLNode* root) {
 	auto keys = XMLUtils::getChildrenValues(nodeChild, "Keys", "Key", false);
 	if(!ccys.empty()) {
 	    keys.insert(keys.end(), ccys.begin(), ccys.end());
-            ALOG("ScenarioSimMarketParameters: CapFloorVolatilities/Currencies is deprecated, use Keys instead.");
+            WLOG("ScenarioSimMarketParameters: CapFloorVolatilities/Currencies is deprecated, use Keys instead.");
         }
         setCapFloorVolKeys(keys);
         QL_REQUIRE(!keys.empty(), "CapFloorVolatilities needs at least one entry");
@@ -1005,7 +1005,7 @@ void ScenarioSimMarketParameters::fromXML(XMLNode* root) {
                 string ccyAttr = XMLUtils::getAttribute(expiryNode, "ccy");
                 if (!ccyAttr.empty()) {
                     key = ccyAttr;
-                    ALOG("ScenarioSimMarketParameters: CapFloorVolatilities/Expiries: 'ccy' attribute is deprecated, "
+                    WLOG("ScenarioSimMarketParameters: CapFloorVolatilities/Expiries: 'ccy' attribute is deprecated, "
                          "use 'key' instead.");
                 }
             }
@@ -1030,7 +1030,7 @@ void ScenarioSimMarketParameters::fromXML(XMLNode* root) {
                 string ccyAttr = XMLUtils::getAttribute(strikeNode, "ccy");
                 if (!ccyAttr.empty()) {
                     key = ccyAttr;
-                    ALOG("ScenarioSimMarketParameters: CapFloorVolatilities/Strikes: 'ccy' attribute is deprecated, "
+                    WLOG("ScenarioSimMarketParameters: CapFloorVolatilities/Strikes: 'ccy' attribute is deprecated, "
                          "use 'key' instead.");
                 }
             }

OREAnalytics/orea/scenario/sensitivityscenariodata.cpp

@@ -276,7 +276,7 @@ void SensitivityScenarioData::fromXML(XMLNode* root) {
 		string ccyAttr = XMLUtils::getAttribute(child, "ccy");
 		if(!ccyAttr.empty()) {
 		    key = ccyAttr;
-                    ALOG("SensitivityData: attribute 'ccy' for SwaptionVolatilities is deprecated, use 'key' instead.");
+                    WLOG("SensitivityData: attribute 'ccy' for SwaptionVolatilities is deprecated, use 'key' instead.");
                 }
 	    }
             GenericYieldVolShiftData data;
@@ -315,7 +315,7 @@ void SensitivityScenarioData::fromXML(XMLNode* root) {
 		string ccyAttr = XMLUtils::getAttribute(child, "ccy");
 		if(!ccyAttr.empty()) {
 		    key = ccyAttr;
-                    ALOG("SensitivityData: attribute 'ccy' for CapFloorVolatilities is deprecated, use 'key' instead.");
+                    WLOG("SensitivityData: attribute 'ccy' for CapFloorVolatilities is deprecated, use 'key' instead.");
                 }
 	    }
             auto data = QuantLib::ext::make_shared<CapFloorVolShiftData>();
@@ -582,7 +582,7 @@ void SensitivityScenarioData::fromXML(XMLNode* root) {
 		string ccyAttr = XMLUtils::getAttribute(child, "ccy");
 		if(!ccyAttr.empty()) {
 		    key = ccyAttr;
-                    ALOG("SensitivityData: attribute 'ccy' for CapFloorVolatilities is deprecated, use 'key' instead.");
+                    WLOG("SensitivityData: attribute 'ccy' for CapFloorVolatilities is deprecated, use 'key' instead.");
                 }
 	    }
 	    CapFloorVolShiftParData data(*capFloorVolShiftData_.find(key)->second);

OREAnalytics/orea/scenario/stressscenariodata.cpp

@@ -36,8 +36,6 @@ void StressTestScenarioData::fromXML(XMLNode* root) {
     useSpreadedTermStructures_ =
         ore::data::parseBool(XMLUtils::getChildValue(node, "UseSpreadedTermStructures", false, "false"));
 
-
-
     for (XMLNode* testCase = XMLUtils::getChildNode(node, "StressTest"); testCase;
          testCase = XMLUtils::getNextSibling(testCase)) {
 
@@ -57,7 +55,7 @@ void StressTestScenarioData::fromXML(XMLNode* root) {
         }
 
         LOG("Get recovery rate shift parameters");
-        
+
         test.recoveryRateShifts.clear();
         XMLNode* recoveryRates = XMLUtils::getChildNode(testCase, "RecoveryRates");
         if (recoveryRates) {
@@ -246,7 +244,7 @@ void StressTestScenarioData::fromXML(XMLNode* root) {
                 string ccyAttr = XMLUtils::getAttribute(child, "ccy");
                 if (!ccyAttr.empty()) {
                     key = ccyAttr;
-                    ALOG("StressScenarioData: 'ccy' is deprecated as an attribute for CapFloorVolatilities, use 'key' "
+                    WLOG("StressScenarioData: 'ccy' is deprecated as an attribute for CapFloorVolatilities, use 'key' "
                          "instead.");
                 }
             }
@@ -293,8 +291,9 @@ void StressTestScenarioData::fromXML(XMLNode* root) {
 
 void curveShiftDataToXml(ore::data::XMLDocument& doc, XMLNode* node,
                          const std::map<std::string, StressTestScenarioData::CurveShiftData>& data,
-                         const std::string& identifier, const std::string& nodeName, const std::string& parentNodeName=std::string()) {
-    std::string name = parentNodeName.empty() ?  nodeName + "s" : parentNodeName;
+                         const std::string& identifier, const std::string& nodeName,
+                         const std::string& parentNodeName = std::string()) {
+    std::string name = parentNodeName.empty() ? nodeName + "s" : parentNodeName;
     auto parentNode = XMLUtils::addChild(doc, node, name);
     for (const auto& [key, data] : data) {
         auto childNode = XMLUtils::addChild(doc, parentNode, nodeName);
@@ -338,7 +337,7 @@ XMLNode* StressTestScenarioData::toXML(ore::data::XMLDocument& doc) const {
         // Add test node
         auto testNode = XMLUtils::addChild(doc, node, "StressTest");
         XMLUtils::addAttribute(doc, testNode, "id", test.label);
-    // Add Par Shifts node
+        // Add Par Shifts node
         auto parShiftsNode = XMLUtils::addChild(doc, testNode, "ParShifts");
         XMLUtils::addChild(doc, parShiftsNode, "IRCurves", test.irCurveParShifts);
         XMLUtils::addChild(doc, parShiftsNode, "CapFloorVolatilities", test.irCapFloorParShifts);
@@ -374,16 +373,17 @@ XMLNode* StressTestScenarioData::toXML(ore::data::XMLDocument& doc) const {
             XMLUtils::addGenericChildAsList(doc, swaptionVolNode, "ShiftTerms", data.shiftTerms);
             XMLUtils::addGenericChildAsList(doc, swaptionVolNode, "ShiftExpiries", data.shiftExpiries);
             XMLNode* shiftSizesNode = XMLUtils::addChild(doc, swaptionVolNode, "Shifts");
-            
-            if(data.shifts.empty()){
+
+            if (data.shifts.empty()) {
                 XMLUtils::addChild(doc, shiftSizesNode, "Shift", ore::data::to_string(data.parallelShiftSize),
                                    swaptionAttributeNames, {"", ""});
             } else {
-                for(const auto& [key, shift] : data.shifts){
+                for (const auto& [key, shift] : data.shifts) {
                     const auto& [expiry, term] = key;
                     std::vector<std::string> attributeValues = {ore::data::to_string(expiry),
                                                                 ore::data::to_string(term)};
-                    XMLUtils::addChild(doc, shiftSizesNode, "Shift", ore::data::to_string(shift), swaptionAttributeNames, attributeValues);
+                    XMLUtils::addChild(doc, shiftSizesNode, "Shift", ore::data::to_string(shift),
+                                       swaptionAttributeNames, attributeValues);
                 }
             }
         }

OREData/ored/marketdata/defaultcurve.cpp

@@ -43,14 +43,6 @@
 using namespace QuantLib;
 using namespace std;
 
-// Temporary workaround to silence warnings on g++ until QL 1.17 is released with the
-// pull request: https://github.com/lballabio/QuantLib/pull/679
-#ifdef BOOST_MSVC
-#define ATTR_UNUSED
-#else
-#define ATTR_UNUSED __attribute__((unused))
-#endif
-
 namespace {
 
 using namespace ore::data;
@@ -444,8 +436,7 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
     Size dontThrowSteps = config.bootstrapConfig().dontThrowSteps();
 
     typedef PiecewiseDefaultCurve<QuantExt::SurvivalProbability, LogLinear, QuantExt::IterativeBootstrap> SpCurve;
-    ATTR_UNUSED typedef SpCurve::traits_type dummy;
-    QuantExt::IterativeBootstrap<SpCurve> btconfig(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
+    SpCurve::bootstrap_type btconfig(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
                                                    minFactor, dontThrowSteps);
     QuantLib::ext::shared_ptr<DefaultProbabilityTermStructure> qlCurve;