Skip to content

Commit e93263d

Browse files
author
jenkins
committed
git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "aa525e6834" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "7f97eacfcd" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents 7e5d10c + 7f97eac commit e93263d

6 files changed

Lines changed: 49 additions & 25 deletions

File tree

‎.github/workflows/build_windows.yaml‎

Lines changed: 17 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -3,6 +3,8 @@ name: C/C++ CI Windows
33
on:
44
push:
55
branches: [master]
6+
tags:
7+
- 'v*'
68
release:
79
types: [published]
810
pull_request:
@@ -35,10 +37,20 @@ jobs:
3537
platform: x64
3638
boost-lib: 64
3739
steps:
38-
- uses: actions/checkout@v3
40+
- uses: actions/checkout@v4
3941
- name: get QuantLib
4042
run: |
4143
git submodule update --init
44+
- name: Set up zlib
45+
run: |
46+
$Url = "https://www.zlib.net/zlib131.zip"
47+
(New-Object System.Net.WebClient).DownloadFile($Url, "$env:TEMP\zlib.zip")
48+
Expand-Archive -Path "$env:TEMP\zlib.zip" -DestinationPath C:\local
49+
cd C:\local\zlib-1.3.1
50+
mkdir build
51+
cd build
52+
cmake ..
53+
cmake --build . --config Release
4254
- name: Set up Boost
4355
run: |
4456
$Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-${{ matrix.boost-lib }}.exe"
@@ -52,12 +64,13 @@ jobs:
5264
run: |
5365
mkdir build
5466
cd build
67+
SET ZLIB_ROOT=C:\local\zlib-1.3.1
5568
call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" ${{ matrix.arch }} -vcvars_ver=14.3 || exit 1
56-
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
69+
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_USE_ZLIB=ON -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DZLIB_LIBRARY=C:\local\zlib-1.3.1\build\Release\zlib.lib -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
5770
cmake --build . -j 2 --verbose
5871
- name: Save executables as artifacts
59-
#if: startsWith(github.ref, 'refs/tags/v')
60-
uses: actions/upload-artifact@v3
72+
if: startsWith(github.ref, 'refs/tags/v')
73+
uses: actions/upload-artifact@v4
6174
with:
6275
name: ore-windows-${{ matrix.arch }}
6376
path: D:\a\Engine\Engine\build\App\ore.exe

‎.github/workflows/linux_build.yaml‎

Lines changed: 4 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -3,6 +3,8 @@ name: C/C++ CI Ubuntu
33
on:
44
push:
55
branches: [master]
6+
tags:
7+
- 'v*'
68
release:
79
types: [published]
810
pull_request:
@@ -26,7 +28,7 @@ jobs:
2628
name: building
2729
runs-on: ubuntu-22.04
2830
steps:
29-
- uses: actions/checkout@v3
31+
- uses: actions/checkout@v4
3032
- name: get QuantLib
3133
run: |
3234
git submodule update --init
@@ -40,7 +42,7 @@ jobs:
4042
run: cd build/; pwd; cmake --build . -j $(nproc)
4143
- name: Save executables as artifacts
4244
if: startsWith(github.ref, 'refs/tags/v')
43-
uses: actions/upload-artifact@v3
45+
uses: actions/upload-artifact@v4
4446
with:
4547
name: ore-exe-linux
4648
path: /home/runner/work/Engine/Engine/build/App/ore

‎.github/workflows/macos_ARM64_build.yaml‎

Lines changed: 4 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -3,6 +3,8 @@ name: C/C++ MacOS
33
on:
44
push:
55
branches: [master]
6+
tags:
7+
- 'v*'
68
release:
79
types: [published]
810
pull_request:
@@ -25,7 +27,7 @@ jobs:
2527
build:
2628
runs-on: macos-11
2729
steps:
28-
- uses: actions/checkout@v3
30+
- uses: actions/checkout@v4
2931
- name: get QuantLib
3032
run: |
3133
git submodule update --init
@@ -45,7 +47,7 @@ jobs:
4547
cmake --install .
4648
- name: Save executables as artifacts
4749
if: startsWith(github.ref, 'refs/tags/v')
48-
uses: actions/upload-artifact@v3
50+
uses: actions/upload-artifact@v4
4951
with:
5052
name: ore-macos-arm64
5153
path: /Users/runner/work/Engine/Engine/build/App/ore

‎Docs/UserGuide/userguide.tex‎

Lines changed: 15 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -4059,16 +4059,21 @@ \subsubsection{Analytics}\label{sec:analytics}
40594059
<Analytics>
40604060
<Analytic type="simulation">
40614061
<Parameter name="active">Y</Parameter>
4062+
<Parameter name="amc">Y</Parameter>
4063+
<Parameter name="amcCg">Y</Parameter>
4064+
<Parameter name="xvaCgSensitivityConfigFile">xvasensiconfig.xml</Parameter>
4065+
<Parameter name="amcTradeTypes">Swap</Parameter>
4066+
<Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter> -> not documented
40624067
<Parameter name="simulationConfigFile">simulation.xml</Parameter>
40634068
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
40644069
<Parameter name="baseCurrency">EUR</Parameter>
40654070
<Parameter name="storeFlows">Y</Parameter>
40664071
<Parameter name="storeSurvivalProbabilities">Y</Parameter>
4067-
<Parameter name="cubeFile">cube_A.csv.gz</Parameter>
4068-
<Parameter name="nettingSetCubeFile">nettingSetCube_A.csv.gz</Parameter>
4069-
<Parameter name="cptyCubeFile">cptyCube_A.csv.gz</Parameter>
4072+
<Parameter name="salvageCorrelationMatrix">true</Parameter>
4073+
<Parameter name="scenariodump">scenariodump.csv</Parameter>
40704074
<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
4071-
<Parameter name="aggregationScenarioDump">scenariodump.csv</Parameter>
4075+
<Parameter name="storeCreditStateNPVs">8</Parameter>
4076+
<Parameter name="cubeFile">cube_A.csv.gz</Parameter>
40724077
</Analytic>
40734078
</Analytics>
40744079
\end{minted}
@@ -4152,6 +4157,8 @@ \subsubsection{Analytics}\label{sec:analytics}
41524157
<Parameter name="dimOutputGridPoints">0</Parameter>
41534158
<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
41544159
<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
4160+
<Parameter name="nettingSetCubeFile">nettingSetCube_A.csv.gz</Parameter>
4161+
<Parameter name="cptyCubeFile">cptyCube_A.csv.gz</Parameter>
41554162
<Parameter name="fullInitialCollateralisation">true</Parameter>
41564163
<Parameter name="flipViewXVA">N</Parameter>
41574164
<Parameter name="flipViewBorrowingCurvePostfix">_BORROW</Parameter>
@@ -5826,15 +5833,15 @@ \subsubsection{Market}\label{sec:sim_market}
58265833
</Pairs>
58275834
<Expiries>1Y,2Y</Expiries>
58285835
</Correlations>
5829-
<AdditionalScenarioDataCurrencies>
5836+
<AggregationScenarioDataCurrencies>
58305837
<Currency>EUR</Currency>
58315838
<Currency>USD</Currency>
5832-
</AdditionalScenarioDataCurrencies>
5833-
<AdditionalScenarioDataIndices>
5839+
</AggregationScenarioDataCurrencies>
5840+
<AggregationScenarioDataIndices>
58345841
<Index>EUR-EURIBOR-3M</Index>
58355842
<Index>EUR-EONIA</Index>
58365843
<Index>USD-LIBOR-3M</Index>
5837-
</AdditionalScenarioDataIndices>
5844+
</AggregationScenarioDataIndices>
58385845
</Market>
58395846
\end{minted}
58405847
\caption{Simulation market configuration}

‎OREData/ored/marketdata/genericyieldvolcurve.cpp‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -46,9 +46,9 @@ namespace {
4646
Rate atmStrike(const Date& optionD, const Period& swapTenor, const QuantLib::ext::shared_ptr<SwapIndex> swapIndexBase,
4747
const QuantLib::ext::shared_ptr<SwapIndex> shortSwapIndexBase) {
4848
if (swapTenor > shortSwapIndexBase->tenor()) {
49-
return swapIndexBase->clone(swapTenor)->fixing(optionD);
49+
return swapIndexBase->clone(swapTenor)->fixing(swapIndexBase->fixingCalendar().adjust(optionD));
5050
} else {
51-
return shortSwapIndexBase->clone(swapTenor)->fixing(optionD);
51+
return shortSwapIndexBase->clone(swapTenor)->fixing(shortSwapIndexBase->fixingCalendar().adjust(optionD));
5252
}
5353
}
5454
} // namespace

‎OREData/ored/portfolio/trs.cpp‎

Lines changed: 7 additions & 7 deletions
Original file line numberDiff line numberDiff line change
@@ -301,13 +301,6 @@ void TRS::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFactory) {
301301
creditQualifierMapping_.clear();
302302
notionalCurrency_ = returnData_.currency();
303303

304-
// propagate additional data from underlyings to trs trade
305-
for (Size i = 0; i < underlying_.size(); ++i) {
306-
for (auto const& [key, value] : underlying_[i]->additionalData()) {
307-
additionalData_["und_ad_" + std::to_string(i + 1) + "_" + key] = value;
308-
}
309-
}
310-
311304
// checks
312305

313306
std::set<bool> fundingLegPayers;
@@ -349,6 +342,13 @@ void TRS::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFactory) {
349342
}
350343
}
351344

345+
// propagate additional data from underlyings to trs trade
346+
for (Size i = 0; i < underlying_.size(); ++i) {
347+
for (auto const& [key, value] : underlying_[i]->additionalData()) {
348+
additionalData_["und_ad_" + std::to_string(i + 1) + "_" + key] = value;
349+
}
350+
}
351+
352352
// we use dirty prices, so we need accrued amounts in the past
353353
requiredFixings_.unsetPayDates();
354354

0 commit comments

Comments
 (0)