Merge remote-tracking branch 'origin/master' into github_modules

Author: rolandlichters

Docs/UserGuide/tradedata/bondoption_refdata.tex

@@ -14,6 +14,8 @@ \subsubsection{Bond Option (using bond reference data)}
   node, see below for details
 \end{itemize}
 
+Note that only par redemption vanilla bonds are supported.
+
 \begin{listing}[H]
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}
@@ -37,7 +39,6 @@ \subsubsection{Bond Option (using bond reference data)}
 	  <Value>1.23</Value>
 	</StrikePrice>
       </StrikeData>
-      <Redemption>100.00</Redemption>
       <PriceType>Dirty</PriceType>
       <KnocksOut>false</KnocksOut>
       <BondData>
@@ -80,9 +81,9 @@ \subsubsection{Bond Option (using bond reference data)}
     
     \item \lstinline!StrikeData!: A \lstinline!StrikeData! node is used as described in Section \ref{ss:strikedata} to represent the Bond Option strike price or strike yield. If StrikePrice is used, the strike price (\lstinline!Value! field) is expressed per unit notional.  If StrikeYield is used, the \lstinline!Yield! is quoted in decimal form, e.g. 5\% should be entered as 0.05.   
     
-  \item Redemption [Optional]: Redemption ratio in percent, e.g. \emph{100} means the bond is redeemed at par.
+%  \item Redemption [Optional]: Redemption ratio in percent, e.g. \emph{100} means the bond is redeemed at par.
   
-      Allowable values:  Any positive real number. Defaults to \emph{100} if left blank or omitted.
+ %     Allowable values:  Any positive real number. Defaults to \emph{100} if left blank or omitted.
   
     \item PriceType [Mandatory for StrikePrice, no impact for StrikeYield]: \\
     The payoff for a bond option is

Docs/UserGuide/tradedata/commodityapo.tex

@@ -81,7 +81,7 @@ \subsubsection{Commodity Average Price Option}
 
 \item \lstinline!CommodityPayRelativeTo! [Optional]: This is as described in section \ref{ss:commodity_floating_leg_data}.
 
-\item \lstinline!FutureMonthOffset! [Optional]: This is as described in section \ref{ss:commodity_floating_leg_data}.
+\item \lstinline!FutureMonthOffset! [Optional]: This is as described in section \ref{ss:commodity_floating_leg_data}. Note that IsAveraged defaults to \emph{false} as it cannot be used as a tag within the CommodityAveragePriceOptionData node. Thus, if e.g. FutureMonthOffset is set to \emph{2}, the future contract month and year is taken as the second month following the base date’s month and year; and so on for all positive values of FutureMonthOffset.
 
 \item \lstinline!DeliveryRollDays! [Optional]: This is as described in section \ref{ss:commodity_floating_leg_data}.
 

Docs/UserGuide/tradedata/commodityswap.tex

@@ -1,7 +1,9 @@
 \subsubsection{Commodity Swap and Basis Swap}
 \label{ss:input_commodityswap}
 
-The structure of a \lstinline!CommoditySwap! trade node is shown in listing \ref{lst:commodityswap_data}. This trade node can be used to represent commodity swaps and commodity basis swaps. It consists of the generic \lstinline!Envelope! and the specific \lstinline!SwapData! section. The \lstinline!SwapData! node may contain two or more \lstinline!LegData! nodes. Each \lstinline!LegData! node must have a \lstinline!LegType! of \lstinline!CommodityFixed! or \lstinline!CommodityFloating!. These leg types are described in sections \ref{ss:commodityfixedleg} and \ref{ss:commodityfloatingleg} respectively.
+The structure of a \lstinline!CommoditySwap! trade node is shown in listing \ref{lst:commodityswap_data}. This trade node can be used to represent commodity swaps and commodity basis swaps. It consists of the generic \lstinline!Envelope! and the specific \lstinline!SwapData! section. 
+
+The \lstinline!SwapData! node may contain two or more \lstinline!LegData! nodes. There must be at least one \lstinline!LegData! node of a commodity  \lstinline!LegType!, i.e. \lstinline!CommodityFixed! or \lstinline!CommodityFloating!, but non-commodity leg types are also allowed. The commodity leg types are described in sections \ref{ss:commodityfixedleg} and \ref{ss:commodityfloatingleg} respectively.
 
 \begin{listing}[h!]
 \begin{minted}[fontsize=\footnotesize]{xml}

OREAnalytics/orea/app/analytic.cpp

@@ -107,7 +107,7 @@ boost::shared_ptr<EngineFactory> Analytic::engineFactory() {
 boost::shared_ptr<ore::data::EngineFactory> PricingAnalytic::engineFactory() {
     LOG("PricingAnalytic::engineFactory() called");
     boost::shared_ptr<EngineData> edCopy = boost::make_shared<EngineData>(*inputs_->pricingEngine());
-    edCopy->globalParameters()["GenerateAdditionalResults"] = inputs_->outputAdditionalResults() ? "true" : "false";
+    edCopy->globalParameters()["GenerateAdditionalResults"] = "true";
     edCopy->globalParameters()["RunType"] = "NPV";
     map<MarketContext, string> configurations;
     configurations[MarketContext::irCalibration] = inputs_->marketConfig("lgmcalibration");    

OREAnalytics/orea/scenario/scenariosimmarket.cpp

@@ -25,6 +25,7 @@
 #include <orea/scenario/scenariosimmarket.hpp>
 #include <orea/scenario/simplescenario.hpp>
 #include <qle/termstructures/credit/basecorrelationstructure.hpp>
+#include <qle/termstructures/proxyoptionletvolatility.hpp>
 #include <ql/instruments/makecapfloor.hpp>
 #include <ql/math/interpolations/loginterpolation.hpp>
 #include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
@@ -1064,6 +1065,10 @@ ScenarioSimMarket::ScenarioSimMarket(
                         } else {
                             string decayModeString = parameters->capFloorVolDecayMode();
                             ReactionToTimeDecay decayMode = parseDecayMode(decayModeString);
+
+                            QL_REQUIRE(!boost::dynamic_pointer_cast<ProxyOptionletVolatility>(*wrapper), 
+                                "DynamicOptionletVolatilityStructure does not support ProxyOptionletVolatility surface.");
+
                             boost::shared_ptr<OptionletVolatilityStructure> capletVol =
                                 boost::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(),
                                                                                         decayMode);

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.cpp

@@ -47,7 +47,9 @@ Date DynamicOptionletVolatilityStructure::maxDate() const {
     QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
 }
 
-void DynamicOptionletVolatilityStructure::update() { TermStructure::update(); }
+void DynamicOptionletVolatilityStructure::update() {
+    TermStructure::update(); 
+}
 
 boost::shared_ptr<SmileSection> DynamicOptionletVolatilityStructure::smileSectionImpl(Time optionTime) const {
     // Again, what strikes do we chose? Should not need this in any case.

cmake/commonSettings.cmake

@@ -1,4 +1,5 @@
 include(CheckCXXCompilerFlag)
+include(CheckLinkerFlag)
 
 option(MSVC_LINK_DYNAMIC_RUNTIME "Link against dynamic runtime" ON)
 option(MSVC_PARALLELBUILD "Use flag /MP" ON)
@@ -9,12 +10,22 @@ set(CMAKE_CXX_FLAGS_CLANG_ASAN_O2 "-fsanitize=address,undefined -fno-omit-frame-
 # add compiler flag, if not already present
 macro(add_compiler_flag flag supportsFlag)
     check_cxx_compiler_flag(${flag} ${supportsFlag})
-
     if(${supportsFlag} AND NOT "${CMAKE_CXX_FLAGS}" MATCHES "${flag}")
         set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${flag}")
     endif()
 endmacro()
 
+# add linker flag for shared libs and exe, if not already present
+macro(add_linker_flag flag supportsFlag)
+    check_linker_flag(CXX ${flag} ${supportsFlag})
+    if(${supportsFlag} AND NOT "${CMAKE_SHARED_LINKER_FLAGS}" MATCHES "${flag}")
+        set(CMAKE_SHARED_LINKER_FLAGS "${CMAKE_SHARED_LINKER_FLAGS} ${flag}")
+    endif()
+    if(${supportsFlag} AND NOT "${CMAKE_EXE_LINKER_FLAGS}" MATCHES "${flag}")
+        set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} ${flag}")
+    endif()
+endmacro()
+
 # use CXX 17, disable gnu extensions
 set(CMAKE_CXX_STANDARD 17)
 set(CMAKE_CXX_EXTENSIONS FALSE)
@@ -95,6 +106,9 @@ else()
     # build shared libs always
     set(BUILD_SHARED_LIBS ON)
 
+    # do not optimize away seemingly unused libs, they might contain dynamic registration of builders
+    add_linker_flag("-Wl,--no-as-needed" supportsNoAsNeeded)
+
     # link against dynamic boost libraries
     add_definitions(-DBOOST_ALL_DYN_LINK)
     add_definitions(-DBOOST_TEST_DYN_LINK)