Merge branch 'master' into upgrade-action-versions

Author: gbfredrik

.github/workflows/build_windows.yaml

@@ -3,6 +3,8 @@ name: C/C++ CI Windows
 on:
   push:
     branches: [master]
+    tags:
+       - 'v*'
   release:
    types: [published]
   pull_request:
@@ -39,6 +41,16 @@ jobs:
     - name: get QuantLib
       run: |
         git submodule update --init
+    - name: Set up zlib
+      run: |
+        $Url = "https://www.zlib.net/zlib131.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$env:TEMP\zlib.zip")
+        Expand-Archive -Path "$env:TEMP\zlib.zip" -DestinationPath C:\local
+        cd C:\local\zlib-1.3.1
+        mkdir build
+        cd build
+        cmake ..
+        cmake --build . --config Release
     - name: Set up Boost
       run: |
         $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-${{ matrix.boost-lib }}.exe"
@@ -52,11 +64,12 @@ jobs:
       run: |
         mkdir build
         cd build
+        SET ZLIB_ROOT=C:\local\zlib-1.3.1
         call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" ${{ matrix.arch }} -vcvars_ver=14.3 || exit 1
-        cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
+        cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_USE_ZLIB=ON -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DZLIB_LIBRARY=C:\local\zlib-1.3.1\build\Release\zlib.lib -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
         cmake --build . -j 2 --verbose
     - name: Save executables as artifacts
-      #if: startsWith(github.ref, 'refs/tags/v')
+      if: startsWith(github.ref, 'refs/tags/v')
       uses: actions/upload-artifact@v4
       with:
         name: ore-windows-${{ matrix.arch }}

.github/workflows/linux_build.yaml

@@ -3,6 +3,8 @@ name: C/C++ CI Ubuntu
 on:
   push:
     branches: [master]
+    tags:
+       - 'v*'
   release:
    types: [published]
   pull_request:

.github/workflows/macos_ARM64_build.yaml

@@ -3,6 +3,8 @@ name: C/C++ MacOS
 on:
   push:
     branches: [master]
+    tags:
+       - 'v*'
   release:
    types: [published]
   pull_request:

Docs/ScriptedTrade/docs/language.tex

@@ -466,7 +466,8 @@
 \item here $P_{ccy}$ is the discount factor in currency ccy, $FX$ is the FX spot from ccy to base and $N$ is the model
   numeraire
 \item $d\leq p$ must hold
-\item if $p$ lies on or before the evaluation date, the result is zero; $X$ is not evaluated in this case
+\item if $p$ lies on or before the evaluation date, the result is zero; $X$ is not evaluated in this case. 
+Note that $X$ is evaluated in the LOGPAY function if past cashflows are included, see \ref{function_logpay}.
 \item avoids reading non-relevant past fixings from the index history
 \item if $d$ lies before (but $p$ after) the evaluation date, it is set to the evaluation date, i.e. the result is
   computed as of the evaluation date
@@ -514,6 +515,9 @@
 under leg number $2$ and flow Type ``Interest''. The same holds for Payoff3, but if any amounts were booked using the
 slot parameter $3$ previously they will be overwritten with the current amount.
 
+Note: If IncludePastCashflows in the pricing engine config is set to true then even if $p$ lies on or before the
+evaluation date, a cashflow entry will be generated.
+
 % ====================================================
 \stsubsection{Function {\tt NPV, NPVMEM}}\label{function_npv}
 % ====================================================

Docs/ScriptedTrade/docs/models.tex

@@ -49,6 +49,7 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
       <Parameter name="TimeStepsPerYear">24</Parameter>
       <Parameter name="Interactive">false</Parameter>
       <Parameter name="BootstrapTolerance">0.1</Parameter>
+      <Parameter name="IncludePastCashflows">true</Parameter>
       <!-- product specific parameters -->
       <Parameter name="RegressionOrder_SingleAssetOption(EQ)">6</Parameter>
       <Parameter name="RegressionOrder_SingleAssetOption(FX)">6</Parameter>
@@ -136,6 +137,8 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
   only. The moneyness is defined as a ``standardised moneyness'' $\ln(K/F) / \sigma\sqrt{t}$ with $K$ strike, $F$ ATMF
   forward, $\sigma$ ATMF market vol, $t$ option time to expiry
 \item BootstrapTolerance: tolerance for calibration bootstrap, only applies to model = GaussianCam
+\item IncludePastCashflows: if true, LOGPAY() will generate cashflow information for pay dates on or before the
+  reference date. Optional, defaults to false.
 \item Interactive: If true an interactive session is started on script execution for debugging purposes; should be false
   except for debugging purposes
 \item UseAD: If true and RunType in the global pricing engine parameters is SensitivityDelta, a first order pnl

Docs/UserGuide/userguide.tex

@@ -3920,6 +3920,7 @@ \subsubsection{Analytics}\label{sec:analytics}
     <Parameter name="baseCurrency">EUR</Parameter>
     <Parameter name="outputFileName">npv.csv</Parameter>
     <Parameter name="additionalResults">Y</Parameter>
+    <Parameter name="additionalResultsReportPrecision">6</Parameter>
   </Analytic>      
   <Analytic type="cashflow">
     <Parameter name="active">Y</Parameter>

Examples/Example_1/Input/ore.xml

@@ -32,6 +32,7 @@
       <Parameter name="baseCurrency">EUR</Parameter>
       <Parameter name="outputFileName">npv.csv</Parameter>
       <Parameter name="additionalResults">Y</Parameter>
+      <Parameter name="additionalResultsReportPrecision">12</Parameter>
     </Analytic>
     <Analytic type="cashflow">
       <Parameter name="active">Y</Parameter>

Examples/Example_54/ExpectedOutput/npv.csv

@@ -1,3 +1,3 @@
 #TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
 BermSwp,ScriptedTrade,2036-03-03,20.073770,51640.311738,EUR,51640.311738,EUR,#N/A,#N/A,#N/A,CPTY_A,CPTY_A
-LPISwp,ScriptedTrade,2035-02-01,18.989303,62979.404029,GBP,78301.934721,EUR,#N/A,#N/A,#N/A,CPTY_B,CPTY_B
+LPISwp,ScriptedTrade,2035-02-01,18.989303,53833.516084,GBP,66930.904274,EUR,#N/A,#N/A,#N/A,CPTY_B,CPTY_B

Examples/Example_54/Input/pricingengine.xml

@@ -8,11 +8,17 @@
       <Parameter name="EnforceBaseCcy">false</Parameter>
       <Parameter name="GridCoarsening">3M(1W),1Y(1M),5Y(3M),10Y(1Y),50Y(5Y)</Parameter>
       <Parameter name="IrReversion_EUR">0.01</Parameter>
-      <Parameter name="IrReversion_GBP">0.01</Parameter>
+      <Parameter name="IrReversion_GBP">0.015</Parameter>
       <Parameter name="FullDynamicFx">true</Parameter>
       <Parameter name="FullDynamicIr">true</Parameter>
       <!-- DK or JY -->
       <Parameter name="InfModelType">JY</Parameter>
+      <!-- explicit overwrite of cam correlations -->
+      <Parameter name="Correlation_IR:GBP_INF:UKRPI:0">0.8</Parameter>
+      <Parameter name="Correlation_IR:GBP_INF:UKRPI:1">0.6</Parameter>
+      <Parameter name="Correlation_INF:UKRPI:0_INF:UKRPI:1">0.3</Parameter>
+      <!-- real to nominal rate vol ratio in jy model -->
+      <Parameter name="InfJyRealToNominalVolRatio">0.6</Parameter>
     </ModelParameters>
     <Engine>Generic</Engine>
     <EngineParameters>

Examples/Example_54/run.py

@@ -5,11 +5,9 @@
 sys.path.append('../')
 from ore_examples_helper import OreExample
 
-samples1=os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]
-print("samples1 =", samples1)
-os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]=""
-samples2=os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]
-print("samples2 =", samples2)
+if "OVERWRITE_SCENARIOGENERATOR_SAMPLES" in os.environ:
+    backupSamples = os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]
+    os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"] = ""
 
 oreex = OreExample(sys.argv[1] if len(sys.argv)>1 else False)
 
@@ -41,4 +39,5 @@
 oreex.decorate_plot(title="Example Scripting / AMC - DIM Evolution for LPI Swap (sticky date mpor mode)")
 oreex.save_plot_to_file()
 
-os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"]=samples1
+if "OVERWRITE_SCENARIOGENERATOR_SAMPLES" in os.environ:
+    os.environ["OVERWRITE_SCENARIOGENERATOR_SAMPLES"] = backupSamples