QPR-11462 -- Improve error message and update tests

Author: NathanielVolfango

OREAnalytics/orea/simm/simmresults.cpp

@@ -35,33 +35,41 @@ namespace analytics {
 void SimmResults::add(const CrifRecord::ProductClass& pc, const SimmConfiguration::RiskClass& rc,
                       const SimmConfiguration::MarginType& mt, const string& b, Real im, const string& resultCurrency,
                       const string& calculationCurrency, const bool overwrite) {
+        if (!(mt == SimmConfiguration::MarginType::AdditionalIM || mt == SimmConfiguration::MarginType::All))
+            QL_REQUIRE(im >= 0.0, "Cannot add negative IM " << im << " result to SimmResults for RiskClass=" << rc
+                                                            << ", MarginType=" << mt << ", and Bucket=" << b);
 
-    // Add the value as long as the currencies are matching. If the SimmResults container does not yet have
-    // a currency, we set it to be that of the incoming value
-    if (resultCcy_.empty())
-        resultCcy_ = resultCurrency;
-    else
-        QL_REQUIRE(resultCurrency == resultCcy_, "Cannot add value to SimmResults with a different result currency ("
-                                                    << resultCurrency << "). Expected " << resultCcy_ << ".");
-
-    if (calcCcy_.empty())
-        calcCcy_ = calculationCurrency;
-    else
-        QL_REQUIRE(calculationCurrency == calcCcy_, "Cannot add value to SimmResults in a different calculation currency ("
-                                                      << calculationCurrency << "). Expected " << calcCcy_ << ".");
-
-    if (!(mt == SimmConfiguration::MarginType::AdditionalIM || mt == SimmConfiguration::MarginType::All))
-        QL_REQUIRE(im >= 0.0, "Cannot add negative IM " << im << " result to SimmResults for RiskClass=" << rc
-                                                        << ", MarginType=" << mt << ", and Bucket=" << b);
-
-    const auto key = make_tuple(pc, rc, mt, b);
-    const bool hasResults = data_.find(key) != data_.end();
-    if (hasResults && !overwrite)
-        data_[key] += im;
-    else
-        data_[key] = im;
+        const auto key = make_tuple(pc, rc, mt, b);
+        add(key, im, resultCurrency, calculationCurrency, overwrite);
 }
 
+
+void SimmResults::add(const SimmResults::Key& key, QuantLib::Real im, const std::string& resultCurrency,
+                      const std::string& calculationCurrency, const bool overwrite) {
+        // Add the value as long as the currencies are matching. If the SimmResults container does not yet have
+        // a currency, we set it to be that of the incoming value
+        if (resultCcy_.empty())
+            resultCcy_ = resultCurrency;
+        else
+            QL_REQUIRE(resultCurrency == resultCcy_,
+                       "Cannot add value to SimmResults with a different result currency ("
+                           << resultCurrency << "). Expected " << resultCcy_ << ".");
+
+        if (calcCcy_.empty())
+            calcCcy_ = calculationCurrency;
+        else
+            QL_REQUIRE(calculationCurrency == calcCcy_,
+                       "Cannot add value to SimmResults in a different calculation currency ("
+                           << calculationCurrency << "). Expected " << calcCcy_ << ".");
+
+        const bool hasResults = data_.find(key) != data_.end();
+        if (hasResults && !overwrite)
+            data_[key] += im;
+        else
+            data_[key] = im;
+ }
+
+
 void SimmResults::convert(const QuantLib::ext::shared_ptr<ore::data::Market>& market, const string& currency) {
     // Get corresponding FX spot rate
     Real fxSpot = market->fxRate(resultCcy_ + currency)->value();

OREAnalytics/orea/simm/simmresults.hpp

@@ -56,6 +56,9 @@ class SimmResults {
              const SimmConfiguration::MarginType& mt, const std::string& b, QuantLib::Real im,
              const std::string& resultCurrency, const std::string& calculationCurrency, const bool overwrite);
 
+    void add(const Key& key, QuantLib::Real im, const std::string& resultCurrency,
+             const std::string& calculationCurrency, const bool overwrite);
+
     //! Convert SIMM amounts to a different currency
     void convert(const QuantLib::ext::shared_ptr<ore::data::Market>& market, const std::string& currency);
     void convert(QuantLib::Real fxSpot, const std::string& currency);

Tools/PythonTools/comparison_config.json

@@ -636,7 +636,8 @@
               "GreenUpTo",
               "AmberUpTo",
               "Zone",
-              "Currency",
+              "DiscountingCurrency",
+              "SIMMResultCurrency",
               "SIMMCalculationCurrency"
             ],
             "abs_tol": null,