git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "45e306ea90"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "8144588578"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docker/Dockerfile-Boost

@@ -1,44 +1,51 @@
-# syntax = nexus3.acadiasoft.net:4445/docker/dockerfile:experimental
-ARG quantlib_version=${QL_TAG}
-ARG cmake_build_type=${CMAKE_BUILD_TYPE}
-FROM env_quantlib:${quantlib_version}
+# syntax = docker/dockerfile:1.2
+ARG debian_tag
+FROM debian:${debian_tag}
 
 MAINTAINER Quaternion Risk Management
-LABEL Description="Build ORE and add to the QuantLib build environment"
+LABEL Description="Build QuantLib and add to the Boost build environment"
 
 # Argument for number of cores to use while building
 ARG num_cores
 
-# install Eigen
-RUN apt-get install -f -y libeigen3-dev
+# Argument that chooses cmake build type
+ARG cmake_build_type
 
-# Copy ORE sources for libs and app
+RUN apt-get update \
+  && DEBIAN_FRONTEND=noninteractive apt-get install -y build-essential libbz2-dev autoconf libtool cmake ninja-build zlib1g-dev opencl-headers ocl-icd-opencl-dev libboost-all-dev doxygen graphviz ccache libeigen3-dev \
+  && apt-get clean
+
+# Exclusions are performed by .dockerignore
+COPY QuantLib /ore/QuantLib
+COPY CMakeLists.txt /ore/CMakeLists.txt
+COPY QuantLib /ore/QuantLib
 COPY QuantExt /ore/QuantExt
 COPY OREData /ore/OREData
 COPY OREAnalytics /ore/OREAnalytics
 COPY App /ore/App
 COPY ThirdPartyLibs /ore/ThirdPartyLibs
 COPY ORETest /ore/ORETest
 COPY cmake /ore/cmake
-COPY Docker /ore/Docker
 
-# Need the dos2unix all if building from Windows because the shell 
-# scripts fail if there are CRLF present in the files
+ENV PATH="/usr/lib/ccache:$PATH"
+ENV CCACHE_DIR="/ccache"
+ENV CCACHE_MAXSIZE="10G"
+# needed if QL_USE_PCH is ON
+#ENV CCACHE_SLOPPINESS="pch_defines,time_macros,pch_defines,time_macros,include_file_mtime,include_file_ctim"
+
+# - add  -fpch-preprocess to CMAKE_CXX_FLAGS when QL_USE_PCH is set to ON
 RUN cd /ore \
-  && find -regex ".*\.\(sh\|in\|ac\|am\)" -exec dos2unix {} ';' \
-  && cp Docker/CMakeLists_ORE.txt CMakeLists.txt \
   && mkdir -p build.ore && cd build.ore \
-  && cmake .. -DQL_USE_PCH=OFF -DORE_BUILD_DOC=ON -DCMAKE_BUILD_TYPE=${cmake_build_type} -DCMAKE_CXX_FLAGS="-mavx2" -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_USE_ZLIB=ON -D ORE_ENABLE_OPENCL=ON
-
+  && cmake .. -GNinja -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -DQL_USE_PCH=OFF -DORE_BUILD_DOC=ON -DCMAKE_BUILD_TYPE=${cmake_build_type} -DCMAKE_CXX_FLAGS="-D BOOST_ENABLE_ASSERT_HANDLER -mavx2" -DQL_ENABLE_SESSIONS=ON -DQL_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_BENCHMARK=OFF -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_USE_ZLIB=ON -D ORE_ENABLE_OPENCL=ON
+ 
 WORKDIR /ore/build.ore
 RUN --mount=type=cache,target=/ccache/ ccache -z \
-  && make -j ${num_cores} \
+  && cmake --build . -- -j ${num_cores} install \
   && ccache -s \
-  && make install \
   && make doc_quantext 2>&1 | grep -v "ignoring unsupported tag" \
   && make doc_ored 2>&1 | grep -v "ignoring unsupported tag" \
   && make doc_orea 2>&1 | grep -v "ignoring unsupported tag" 
-  
+
 WORKDIR / 
 RUN mkdir -p html \
   && mkdir /html/ored && cp -r /ore/OREData/doc/html/* /html/ored \

Docker/Dockerfile-ORE

@@ -8,15 +8,6 @@ ARG num_cores
 ARG cmake_build_type
 
 COPY CMakeLists.txt /ore/CMakeLists.txt
-COPY .clang-format /ore/.clang-format
-COPY .gitignore /ore/.gitignore
-COPY CMakePresets.json /ore/CMakePresets.json
-COPY News.txt /ore/News.txt
-COPY README.md /ore/README.md
-COPY license.txt /ore/license.txt
-COPY licenseheader.txt /ore/licenseheader.txt
-COPY ore.props /ore/ore.props
-COPY runCmakeVS.cmd /ore/runCmakeVS.cmd
 COPY QuantLib /ore/QuantLib
 COPY QuantExt /ore/QuantExt
 COPY OREData /ore/OREData
@@ -25,11 +16,6 @@ COPY App /ore/App
 COPY ThirdPartyLibs /ore/ThirdPartyLibs
 COPY ORETest /ore/ORETest
 COPY cmake /ore/cmake
-COPY Docker /ore/Docker
-COPY Docs ore/Docs
-COPY Examples ore/Examples
-COPY Tools ore/Tools
-COPY xsd ore/xsd
 
 RUN apt-get update && apt-get upgrade -y \
  && apt-get install -f -y build-essential libbz2-dev cmake ninja-build zlib1g-dev libboost-all-dev opencl-headers ocl-icd-opencl-dev

Docker/Dockerfile-QuantLib

@@ -1,7 +1,5 @@
 #!/bin/sh
 
-docker-compose --env-file Docker/.env -f Docker/docker-compose-boost.yml build || exit 1
-COMPOSE_DOCKER_CLI_BUILD=1 DOCKER_BUILDKIT=1 docker-compose --env-file Docker/.env -f Docker/docker-compose-quantlib.yml build || exit 1
 COMPOSE_DOCKER_CLI_BUILD=1 DOCKER_BUILDKIT=1 docker-compose --env-file Docker/.env -f Docker/docker-compose-ore.yml build || exit 1
 docker-compose --env-file Docker/.env -f Docker/docker-compose-test.yml build || exit 1
-COMPOSE_DOCKER_CLI_BUILD=1 DOCKER_BUILDKIT=1 docker-compose --env-file Docker/.env -f Docker/docker-compose-ore-app.yml build || exit 1
+COMPOSE_DOCKER_CLI_BUILD=1 DOCKER_BUILDKIT=1 docker-compose --env-file Docker/.env -f Docker/docker-compose-ore-app.yml build || exit 1

Docker/Dockerfile-multistage

@@ -5,12 +5,10 @@ services:
     image: env_ore:${ORE_TAG}
     cap_drop:
       - NET_RAW
-    volumes:
-      - /home/shared/cache/ore_env:/ccache
     build:
       context: ../
       dockerfile: Docker/Dockerfile-ORE
       args:
-        - quantlib_version=${QL_TAG}
+        - debian_tag=${DEBIAN_TAG}
         - cmake_build_type=${CMAKE_BUILD_TYPE}
         - num_cores=${NUM_CORES}

Docker/DockerfileRunORE.sh

@@ -132,7 +132,7 @@
 \title{ORE User Guide}
 %\author{Quaternion Risk Management Ltd.}
 %\author{Acadia Inc.}
-\date{16 October 2023}
+\date{15 January 2024}
 \maketitle
 
 \newpage
@@ -156,6 +156,7 @@ \section*{Document History}
 31 March 2023 & Acadia & updates for release 9\\
 16 June 2023 & Acadia & updates for release 10\\
 16 October 2023 & Acadia & updates for release 11\\
+15 January 2024 & Acadia & updates for release 12\\
 \hline
 \end{supertabular}
 \end{center}
@@ -1257,6 +1258,16 @@ \section{Examples}\label{sec:examples}
 \hline
 52 & Scripted Trades \\
 \hline
+53 & Curve Building using FRAs tailored to Central Bank Meeting Dates\\
+\hline
+54 & Scripted Trade Exposure with AMC: Bermudan Swaption and LPI Swap \\
+\hline
+55 & Scripted Trade Exposure with AMC: Fx TaRF \\
+\hline
+56 & CVA Sensitivity using AAD \\
+\hline
+57 & Base Scenario Analytic \\
+\hline
 \end{tabular}
 \caption{ORE examples.}
 \label{tab_0}
@@ -3537,12 +3548,75 @@ \subsection{Scripted Trade}% Example 52
   significantly more versatile, more examples and scripts to follow.
 
 %--------------------------------------------------------------------
-\subsection{GBP OIS Curve using MPC Swaps}% Example 53
+\subsection{Curve Building around Central Bank Meeting Dates}% Example 53
 \label{example:53}
 %--------------------------------------------------------------------
 
 This example demonstrates the build of a GBP OIS curve using MPC Swaps at the short end.
 
+%--------------------------------------------------------------------
+\subsection{Scripted Trade Exposure with AMC: Bermudan Swaption and LPI Swap}% Example 54
+\label{example:54}
+%--------------------------------------------------------------------
+
+This example demonstrates exposure simulation using AMC for selected scripted trade types
+\begin{itemize}
+\item Bermudan Swaption
+\item LPI Swap
+\end{itemize}
+Both payoffs are defined in {\tt scriptlibrary.xml} which is referenced in {\tt portfolio.xml}. \\
+
+To enable the AMC processing requires the following highlighted settings in {\tt ore.xml}.
+
+\begin{minted}[fontsize=\scriptsize]{xml}
+    <Analytic type="simulation">
+      <Parameter name="active">Y</Parameter>
+      <!-- Set to Y to trigger AMC processing -->
+      <Parameter name="amc">Y</Parameter>
+      <Parameter name="simulationConfigFile">simulation.xml</Parameter>
+      <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
+      <!-- Specify a separate pricing engine file for AMC engines -->
+      <Parameter name="amcPricingEnginesFile">pricingengine\_amc.xml</Parameter>
+      <!-- Specify trade types to be covered by the AMC processing -->
+      <Parameter name="amcTradeTypes">ScriptedTrade</Parameter>
+      <Parameter name="baseCurrency">EUR</Parameter>
+      <Parameter name="storeScenarios">N</Parameter>
+      <Parameter name="cubeFile">cube.csv.gz</Parameter>
+      <Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
+      <Parameter name="aggregationScenarioDataDump">scenariodata.csv</Parameter>
+    </Analytic>
+\end{minted}
+
+Note that ORE can handle a mix of trades covered by AMC simulation and covered by ``classic'' simulation.
+The respective NPV cubes are combined before generating results such as exposures or XVAs.
+
+%--------------------------------------------------------------------
+\subsection{Scripted Trade Exposure with AMC: Target Redemption Forward}% Example 55
+\label{example:55}
+%--------------------------------------------------------------------
+
+This example demonstrates exposure simulation and XVA for another scripted product, an
+FX Target Redemption Forward (TaRF). In contrast to the cases presented above, you won't see
+the payoff script library in the Input folder, nor is the script embedded into the trade XML file.
+The trade type in this case is {\tt FxTARF} which has its own implementation in OREData/ored/portfolio/tarf.xpp
+and a separate trade schema. However, the scipted trade framework is used under the hood, and the payoff
+script is embedded into the C++ code in OREData/ored/portfolio/tarf.cpp.
+
+%--------------------------------------------------------------------
+\subsection{CVA Sensitivity using AD}% Example 56
+\label{example:56}
+%--------------------------------------------------------------------
+
+This example demonstrates a prototype CVA sensitivity calculation applying Adjoint Algorithmic Differentiation (AAD)
+to a Swap instrument represented as scripted trade. 
+
+%--------------------------------------------------------------------
+\subsection{Base Scenario Analytic}% Example 57
+\label{example:57}
+%--------------------------------------------------------------------
+
+Demonstration of the {\tt Scenario} analytic which has been added to export the simulation market's base scenario
+as a file.
 
 \clearpage
 %========================================================