Merge branch 'feature/QPR-11556' into 'master'

QPR-11556 Handle Proxy Configuration for XVA/Exposure

Closes QPR-11556

See merge request qs/oreplus!3074

Author: damienbarker

OREAnalytics/orea/engine/dependencymarket.cpp

@@ -36,6 +36,7 @@
 #include <qle/termstructures/pricecurve.hpp>
 #include <qle/termstructures/zeroinflationcurveobservermoving.hpp>
 #include <qle/termstructures/yoyinflationcurveobservermoving.hpp>
+#include <qle/termstructures/proxyoptionletvolatility.hpp>
 
 #include <ql/currencies/europe.hpp>
 #include <ql/indexes/ibor/eonia.hpp>
@@ -408,17 +409,29 @@ Handle<OptionletVolatilityStructure> DependencyMarket::capFloorVol(const string&
     addMarketObject(MarketObject::CapFloorVol, name, config);
     // ensure that the dependent ibor indiex is captured
     iborIndex(capFloorVolIndexBase(name, config).first, config);
-    return flatRateCvs();
+    Handle<OptionletVolatilityStructure> handleflatRateCvs = flatRateCvs();
+    if (curveConfigs_ && curveConfigs_->hasCapFloorVolCurveConfig(name)) {
+        auto cc = curveConfigs_->capFloorVolCurveConfig(name);
+        if (!cc->proxyTargetIndex().empty()){
+            QuantLib::ext::shared_ptr<QuantExt::ProxyOptionletVolatility> capletVol = QuantLib::ext::make_shared<QuantExt::ProxyOptionletVolatility>(handleflatRateCvs, parseIborIndex(cc->proxySourceIndex()), 
+                                                                                  parseIborIndex(cc->proxyTargetIndex()), cc->proxySourceRateComputationPeriod(), 
+                                                                                  cc->proxyTargetRateComputationPeriod(), cc->proxyScalingFactor());
+            return Handle<OptionletVolatilityStructure>(capletVol);
+        }
+    }
+    return handleflatRateCvs;
 }
 
 std::pair<string, QuantLib::Period> DependencyMarket::capFloorVolIndexBase(const string& name,
                                                                            const string& config) const {
     if (curveConfigs_ && curveConfigs_->hasCapFloorVolCurveConfig(name)) {
         auto cc = curveConfigs_->capFloorVolCurveConfig(name);
-        if (!cc->proxyTargetIndex().empty())
+        if (!cc->proxyTargetIndex().empty()){
             return std::make_pair(cc->proxyTargetIndex(), cc->proxyTargetRateComputationPeriod());
-        else
+        }
+        else{
             return std::make_pair(cc->index(), cc->rateComputationPeriod());
+        }  
     }
     QuantLib::ext::shared_ptr<IborIndex> index;
     if (tryParseIborIndex(name, index)) {

OREAnalytics/orea/scenario/scenariosimmarket.cpp

@@ -1531,12 +1531,9 @@ ScenarioSimMarket::ScenarioSimMarket(
                             string decayModeString = parameters->capFloorVolDecayMode();
                             ReactionToTimeDecay decayMode = parseDecayMode(decayModeString);
 
-                            QL_REQUIRE(!QuantLib::ext::dynamic_pointer_cast<ProxyOptionletVolatility>(*wrapper), 
-                                "DynamicOptionletVolatilityStructure does not support ProxyOptionletVolatility surface.");
+                            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol = 
+                                    QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(), decayMode);
 
-                            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol =
-                                QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(),
-                                                                                                decayMode);
                             hCapletVol = Handle<OptionletVolatilityStructure>(capletVol);
                         }
                         hCapletVol->setAdjustReferenceDate(false);

OREData/ored/portfolio/capfloor.cpp

@@ -548,7 +548,7 @@ void CapFloor::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFacto
         QuantLib::ext::make_shared<VanillaInstrument>(qlInstrument, multiplier, additionalInstruments, additionalMultipliers);
 
     // axdd required fixings
-    auto fdg = QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_);
+    auto fdg = QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_, engineFactory->market(), maturity_);
     for (auto const& l : legs_)
         addToRequiredFixings(l, fdg);
 

OREData/ored/portfolio/fixingdates.cpp

@@ -57,6 +57,8 @@
 #include <qle/indexes/fallbackovernightindex.hpp>
 #include <qle/indexes/genericindex.hpp>
 #include <qle/indexes/offpeakpowerindex.hpp>
+#include <qle/termstructures/proxyoptionletvolatility.hpp>
+#include <qle/termstructures/dynamicoptionletvolatilitystructure.hpp>
 
 using namespace QuantLib;
 using namespace QuantExt;
@@ -631,7 +633,32 @@ void FixingDateGetter::visit(QuantExt::OvernightIndexedCoupon& c) {
     requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(indexName), c.date());
 }
 
-void FixingDateGetter::visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) { c.underlying()->accept(*this); }
+void FixingDateGetter::visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) { 
+    c.underlying()->accept(*this);
+    if(market_){
+        Handle<OptionletVolatilityStructure> ovs = market_->capFloorVol(IndexNameTranslator::instance().oreName(c.index()->name()));
+        QuantLib::ext::shared_ptr<QuantExt::DynamicOptionletVolatilityStructure> capletVol =
+                                QuantLib::ext::dynamic_pointer_cast<QuantExt::DynamicOptionletVolatilityStructure>(ovs.currentLink());
+        if(capletVol){
+            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> source = capletVol->getSource();
+            QuantLib::ext::shared_ptr<QuantExt::ProxyOptionletVolatility> pov = QuantLib::ext::dynamic_pointer_cast<QuantExt::ProxyOptionletVolatility>(source);
+            if(pov){
+                QuantLib::ext::shared_ptr<QuantLib::IborIndex> baseIndex = pov->getBaseIndex();
+                // Create a window of fixings [min, max_] to cover all potential fixings
+                auto fixingDates = c.underlying()->fixingDates();
+                std::sort(fixingDates.begin(), fixingDates.end());
+                QuantLib::Date minDate = fixingDates.front() > Settings::instance().evaluationDate()?Settings::instance().evaluationDate():fixingDates.front();
+                std::vector<QuantLib::Date> businessDates;
+                for (QuantLib::Date d = minDate; d <= max_; d = d + 1) {
+                    if (baseIndex->fixingCalendar().isBusinessDay(d)) {
+                        businessDates.push_back(d);
+                    }
+                }
+                requiredFixings_.addFixingDates(businessDates, IndexNameTranslator::instance().oreName(baseIndex->name()), c.date());
+            }
+        }
+    }
+}
 
 void FixingDateGetter::visit(AverageBMACoupon& c) {
     requiredFixings_.addFixingDates(c.fixingDates(), IndexNameTranslator::instance().oreName(c.index()->name()),

OREData/ored/portfolio/fixingdates.hpp

@@ -276,7 +276,8 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
 
 public:
     //! Constructor
-    FixingDateGetter(RequiredFixings& requiredFixings) : requiredFixings_(requiredFixings) {}
+    FixingDateGetter(RequiredFixings& requiredFixings, const QuantLib::ext::shared_ptr<ore::data::Market>& market = nullptr, const QuantLib::Date& maturity = Null<Date>()) : 
+                        requiredFixings_(requiredFixings), market_(market), max_(maturity) {}
 
     //! \name Visitor interface
     //@{
@@ -323,10 +324,12 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
 protected:
     std::string oreIndexName(const std::string& qlIndexName) const;
     RequiredFixings& requiredFixings_;
+    QuantLib::ext::shared_ptr<ore::data::Market> market_;
 
 private:
     // flag to indicate if coupon start date fixings are always required, even if initial prices provided
     bool requireFixingStartDates_ = false;
+    QuantLib::Date max_;
     // We may need fixings for an additional FX Index at every fixing date
     QuantLib::ext::shared_ptr<QuantExt::FxIndex> additionalFxIndex_;
 };

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.cpp

@@ -48,7 +48,9 @@ Date DynamicOptionletVolatilityStructure::maxDate() const {
     QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
 }
 
-void DynamicOptionletVolatilityStructure::update() { TermStructure::update(); }
+void DynamicOptionletVolatilityStructure::update() {
+    TermStructure::update(); 
+}
 
 QuantLib::ext::shared_ptr<SmileSection> DynamicOptionletVolatilityStructure::smileSectionImpl(Time optionTime) const {
     return source_->smileSection(optionTime);

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.hpp

@@ -42,9 +42,12 @@ using namespace QuantLib;
 
 class DynamicOptionletVolatilityStructure : public OptionletVolatilityStructure {
 public:
+    //Constructor with the reference date based on the global evaluation date
     DynamicOptionletVolatilityStructure(const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source,
                                         Natural settlementDays, const Calendar& calendar,
                                         ReactionToTimeDecay decayMode = ConstantVariance);
+    
+    QuantLib::ext::shared_ptr<OptionletVolatilityStructure> getSource() { return source_; }
 
 protected:
     //! \name OptionletVolatilityStructure interface

QuantExt/qle/termstructures/proxyoptionletvolatility.hpp

@@ -56,6 +56,9 @@ class ProxyOptionletVolatility : public QuantLib::OptionletVolatilityStructure {
                                       const QuantLib::ext::shared_ptr<QuantLib::IborIndex>& index,
                                       const QuantLib::Period& rateComputationPeriod);
 
+    QuantLib::ext::shared_ptr<QuantLib::IborIndex> getBaseIndex() const { return baseIndex_; }
+    QuantLib::ext::shared_ptr<QuantLib::IborIndex> getTargetIndex() const { return targetIndex_; }
+
 private:
     QuantLib::ext::shared_ptr<QuantLib::SmileSection> smileSectionImpl(const QuantLib::Date& optionDate) const override;
     QuantLib::ext::shared_ptr<QuantLib::SmileSection> smileSectionImpl(QuantLib::Time optionTime) const override;