git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "d622aa40a1"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "4fb05d722f"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

Docs/ScriptedTrade/scriptedtrade.tex

@@ -101,9 +101,9 @@
 
 \begin{document}
 
-\title{ORE+ Trade Scripting Module}
+\title{ORE Scripted Trade Module}
 \author{Quaternion Risk Management}
-\date{22 June 2023}
+\date{12 February 2024}
 \maketitle
 
 \newpage
@@ -210,7 +210,7 @@ \subsection{Daycounter}
 \subsection{Compact Trade XML}\label{compactXml}
 \input{docs/compacttradexml.tex}
 
-\subsection{A comment on the Payment Currency in Scripted Trades}\label{sss:payccy_st}
+\subsection{Payment Currency}\label{sss:payccy_st}
 \input{docs/noteonpayccy.tex}
 
 \subsection{Convenience Trade Wrappers}

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}

Docs/UserGuide/curve_configurations/yieldcurves.tex

@@ -83,14 +83,18 @@ \subsubsection{Yield Curves}
     \hline
     Linear & Linear interpolation \\ \hline
     LogLinear & Linear interpolation on the natural log of the interpolation variable \\ \hline
-    NaturalCubic & Monotonic Kruger cubic interpolation with second derivative at left and right \\ \hline
-    FinancialCubic & Monotonic Kruger cubic interpolation with second derivative at left and 
-                     first derivative at right \\ \hline
+    NaturalCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and right \\ \hline
+    FinancialCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and 
+                     zero first derivative at right \\ \hline
     ConvexMonotone & Convex Monotone Interpolation (Hagan, West) \\ \hline
     Quadratic & Quadratic interpolation \\ \hline
     LogQuadratic & Quadratic interpolation on the natural log of the interpolation variable \\ \hline
+    LogNaturalCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and right \\hline
+    LogFinancialCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and 
+                     zero first derivative at right \\hline
+    LogCubicSpline & Non-monotonic cubic spline interpolation with zero second derivative at left and right \\hline
     Hermite & Hermite cubic spline interpolation \\ \hline
-    CubicSpline & Non-monotonic cubic spline interpolation with second derivative at left and right \\ \hline
+    CubicSpline & Non-monotonic cubic spline interpolation with zero second derivative at left and right \\ \hline
     DefaultLogMixedLinearCubic & Mixed interpolation, first linear, then monotonic Kruger cubic spline \\ \hline
     MonotonicLogMixedLinearCubic & Mixed interpolation, first linear, then monotonic natural cubic spline \\ \hline
     KrugerLogMixedLinearCubic & Mixed interpolation, first linear, then non-monotonic Kruger cubic spline \\ \hline

Docs/UserGuide/tradedata/accumulator.tex

@@ -43,7 +43,7 @@ \subsubsection{Accumulators and Decumulators}
           <Date>2025-03-03</Date>
           <Date>2029-03-03</Date>
         </Dates>
-      </Dates>
+     </Dates>
     </SettlementDates>
     <RangeBounds>
       <RangeBound>
@@ -204,7 +204,7 @@ \subsubsection{Accumulators and Decumulators}
 
 Allowable values: See \lstinline!Currency! in Table \ref{tab:allow_stand_data}. The strike may be any positive real number. The currency provided in this node may be quoted as corresponding minor currency to the underlying major currency. If omitted, local strikes should be used in each \lstinline!RangeBound! node.
 
-\item Currency: The payout currency. The result of the payout formula above is treated to be in this currency. Note that for (non-quanto) FxAccumulators this should be the domestic (\lstinline!CCY2!) currency. For non-quanto Equity- and CommodityAccumulators this should be the currency the equity or commodity is quoted in. Notice section \ref{sss:payccy_st}. \\
+\item Currency: The payout currency. The result of the payout formula above is treated to be in this currency. Note that for (non-quanto) FxAccumulators this should be the domestic (\lstinline!CCY2!) currency. For non-quanto Equity- and CommodityAccumulators this should be the currency the equity or commodity is quoted in. Notice section ``Payment Currency'' in ore/Docs/ScriptedTrade. \\
 
 Allowable values: See Table \ref{tab:currency} \lstinline!Currency!.
 
@@ -309,7 +309,7 @@ \subsubsection{Accumulators and Decumulators}
 
 % scripted trade representation type 01
 
-Accumulators can also be represented as scripted trades, refer to Section \ref{app:scriptedtrade} for an
+Accumulators can also be represented as scripted trades, refer to the separate documentation in ore/Docs/ScriptedTrade for an
 introduction. Listing \ref{lst:fxaccumulator01} shows the structure of an Accumulator (type 01) example, here on a FX
 underlying (EQ or COMM underlyings are possible as well).
 
@@ -378,12 +378,12 @@ \subsubsection{Accumulators and Decumulators}
 \item Strike: The strike value the bought currency is purchased at.
 \item FixedAmount: The unleveraged notional amount accumulated at each fixing date
 \item LongShort: 1 for a long, -1 for a short position
-\item Underlying: See Section \ref{data_index} for allowable values.
-\item PayCcy: The payment currency of the trade. Notice section \ref{sss:payccy_st}.
+\item Underlying: See ore/Docs/ScriptedTrade's Index section for allowable values.
+\item PayCcy: The payment currency of the trade. Notice section Notice section ``Payment Currency'' in ore/Docs/ScriptedTrade.
 \item StartDate: The start date. American knock out events are monitored from this date on. Notice that the start date
   must be given in the scripted trade representation for European knock outs, although it is not used for this variant.
-\item FixingDates: The fixing dates, given as a ScheduleData, or DerivedSchedule (see \ref{app:scriptedtrade}).
-\item SettlementDates: The fixing dates, given as a ScheduleData, or DerivedSchedule (see \ref{app:scriptedtrade}).
+\item FixingDates: The fixing dates, given as a ScheduleData, or DerivedSchedule (see ore/Docs/ScriptedTrade).
+\item SettlementDates: The fixing dates, given as a ScheduleData, or DerivedSchedule (see ore/Docs/ScriptedTrade).
 \item RangeUpperBound: Values of upperbounds for the leverage ranges. If a given range has no upperbound add 100000
 \item RangeLowerBound: Values of lowerbounds for the leverage ranges. If a given range has no lowerbound add 0
 \item RangeLeverages: Values of leverages for the leverage ranges.
@@ -455,7 +455,7 @@ \subsubsection{Accumulators and Decumulators}
 
 % scripted trade representation type 02
 
-Accumulators of Type 02 can also be represented as scripted trades, refer to Section \ref{app:scriptedtrade} for an
+Accumulators of Type 02 can also be represented as scripted trades, see ore/Docs/ScriptedTrade for an
 introduction.  Listing \ref{lst:eqaccumulator02} shows the structure of an Accumulator (Type 02) example, here on an
 equity underlying. FX and COMM underlyings are possible as well.
 
@@ -551,16 +551,16 @@ \subsubsection{Accumulators and Decumulators}
   are non-negative values.
 \item LongShort: The position, allowable values are ``Long'' and ``Short''
 \item Underlying:  The underlying index \\
-  See Section \ref{data_index} for allowable values.
-\item PayCcy: The payment currency. See the appendix for allowable currency codes.  Notice section \ref{sss:payccy_st}.
-\item ObservationDates: The observation date schedule. See section \ref{app:scriptedtrade} on how this is set up.
+  See ore/Docs/ScriptedTrade's Index section for allowable values.
+\item PayCcy: The payment currency. See the appendix for allowable currency codes.  Notice section Notice section ``Payment Currency'' in ore/Docs/ScriptedTrade.
+\item ObservationDates: The observation date schedule. See ore/Docs/ScriptedTrade on how this is set up.
 \item KnowOutSettlementDates: The settlement dates associated to the observation dates in case of a knock out event, the
-  number of observation and knock out settlement dates must be equal. See section \ref{app:scriptedtrade} on how this is
+  number of observation and knock out settlement dates must be equal. See ore/Docs/ScriptedTrade on how this is
   set up.
-\item ObservationPeriodEndDates: The last date for each observation period. See section \ref{app:scriptedtrade} on how
+\item ObservationPeriodEndDates: The last date for each observation period. See ore/Docs/ScriptedTrade on how
   this is set up.
 \item SettlementDates: The settlement dates for each observation period, the number of settlement dates and the number
-  of observation period end dates must be equal. See section \ref{app:scriptedtrade} on how this is set up.
+  of observation period end dates must be equal. See ore/Docs/ScriptedTrade on how this is set up.
 \item RangeUpperBounds: The multiplier for the ``number of days below'' in the payoff. Allowable values are non-negative numbers.
 \item RangeLowerBounds: The multiplier for the ``number of days above'' in the payoff. Allowable values are non-negative numbers.
 \item RangeLeverages: The multiplier for the defined ranges. Allowable values are non-negative numbers.

Docs/UserGuide/tradedata/balanceguaranteedswap.tex

@@ -1,5 +1,21 @@
 \subsubsection{Balance Guaranteed Swap (BGS)}
 
+A Balance Guaranteed Swap is similar to an amortizing interest rate swap, but the  
+notional amortization matches actual prepayments of a Reference Security which can 
+be either a tranche or a reference pool of assets, or securitized interest backed 
+by a pool of assets. The BGS differs from an amortizing swap in that the notional 
+amortizations are uncertain.
+
+BGS are priced in ORE yusing an auxiliary Flexi Swap as a proxy. The amortization schedule 
+of the Flexi Swap is set up as the notional schedule of the BGS assuming a zero 
+CPR (Conditional Prepayment Rate). The lower notional bound of the Flexi Swap is 
+constructed assuming a MaxCPR (Maximum Conditional Prepayment Rate) which is 
+dependent on the Reference Security. The MaxCPR is estimated on the basis of 
+the current CPR, historical CPRs and / or expert judgement as to provide a 
+(hypothetical) sufficiently realistic hedge for the BGS. The option holder in 
+the Flexi Swap is the payer of the structured leg (i.e. the leg replicating the 
+payments of the reference security) in the BGS.
+
 The \lstinline!BalanceGuaranteedSwapData! node is the trade data container for trade type \emph{BalanceGuaranteedSwap}.  A BGS must have two legs, one fixed and one floating. Each leg typically has an amortising notional and is represented by a \lstinline!LegData! trade component sub-node, described in section \ref{ss:leg_data}.
 The \lstinline!BalanceGuaranteedSwapData! node also contains a \lstinline!ReferenceSecurity! sub-node specifying the Asset Backed Security to which the notional schedule of the BGS is linked. 
 %and a \lstinline!MaxCPR!  sub-node indicating the maximum allowable prepayment.