Merge branch 'QPR-11822' into 'master'

Resolve QPR-11822

Closes QPR-11822

See merge request qs/oreswig!43

Author: damienbarker

Docker/Dockerfile-ORE

@@ -0,0 +1,60 @@
+# syntax = nexus3.acadiasoft.net:4445/docker/dockerfile:experimental
+ARG ore_version=latest
+FROM env_ore:${ore_version}
+
+MAINTAINER Quaternion Risk Management
+LABEL Description="Build OREPlus"
+
+# Argument for number of cores to use while building
+ARG num_cores
+
+# Install SWIG and python3
+RUN apt-get update && apt-get upgrade -y \
+  && apt-get install -f -y swig python3-dev \
+  && apt-get clean \
+  && rm -rf /var/lib/apt/lists/*
+
+WORKDIR /swig
+
+# Argument for number of cores to use while building
+ARG num_cores=1
+
+COPY ore/cmake ./cmake
+COPY oreswig/OREAnalytics-SWIG ./OREAnalytics-SWIG
+COPY oreswig/OREData-SWIG ./OREData-SWIG
+COPY oreswig/QuantExt-SWIG ./QuantExt-SWIG
+COPY oreswig/QuantLib-SWIG ./QuantLib-SWIG
+
+ENV PYTHON_LIBRARY=/usr/lib/x86_64-linux-gnu/ \
+    PYTHON_INCLUDE_DIR=/usr/include/x86_64-linux-gnu/python3.9
+
+RUN find -regex ".*\.\(sh\|in\|ac\|am\)" -exec dos2unix {} ';'
+WORKDIR /swig/OREAnalytics-SWIG/Python
+RUN mkdir build.release
+WORKDIR /swig/OREAnalytics-SWIG/Python/build.release
+RUN cmake -DORE=/swig ..
+RUN make -j ${num_cores}
+WORKDIR /
+RUN mkdir build
+RUN mv /swig/OREAnalytics-SWIG/Python/build.release/ORE.py build \
+  && mv /swig/OREAnalytics-SWIG/Python/build.release/_ORE.so build 
+
+ENV PYTHONPATH=/build
+
+RUN cd swig/QuantLib-SWIG/Python/test \
+  && python3 -c "import sys, ORE; sys.modules['QuantLib']=ORE;import QuantLibTestSuite;QuantLibTestSuite.test()" 
+RUN cd swig/QuantExt-SWIG/Python/test \
+  && python3 -c "import sys, ORE; sys.modules['QuantExt']=ORE;import QuantExtTestSuite;QuantExtTestSuite.test()" 
+RUN cd swig/OREData-SWIG/Python/test \
+  && python3 -c "import sys, ORE; sys.modules['OREData']=ORE;import OREDataTestSuite;OREDataTestSuite.test()"
+RUN cd swig/OREAnalytics-SWIG/Python/test \
+  && python3 -c "import sys, ORE; sys.modules['OREAnalytics']=ORE;import OREAnalyticsTestSuite;OREAnalyticsTestSuite.test()"
+RUN rm -rf /swig \
+  && cd /usr/local/include \
+  && rm -rf boost \
+  && rm -rf orea \
+  && rm -rf ored \
+  && rm -rf ql \
+  && rm -rf qle
+
+COPY oreswig/OREAnalytics-SWIG/Python/Examples ./Examples

Docker/Dockerfile-OREPlus

@@ -0,0 +1,3 @@
+#!/bin/sh
+
+docker-compose -f oreswig/Docker/docker-compose-oreswig.yml build || exit 1

Docker/Dockerfile-ORESWIG

@@ -0,0 +1,10 @@
+version: '3'
+
+services:
+  env_ore_plus_swig:
+    image: env_oreswig:${ORE_TAG}
+    build:
+      context: ../../
+      dockerfile: oreswig/Docker/Dockerfile-ORESWIG
+      args:
+        - ore_version=${ORE_TAG}

Docker/DockerfileRunORE.sh

@@ -17,7 +17,7 @@ def setUp(self):
         self.fixingDays=0
         self.sourceCurrency=USDCurrency()
         self.targetCurrency=JPYCurrency()
-        self.fixingCalendar=UnitedStates()
+        self.fixingCalendar=UnitedStates(UnitedStates.NYSE)
         self.todayDate=Date(5, January, 2016)
         self.tsDayCounter=Actual360()
         self.flatForwardUSD=FlatForward(self.todayDate, 0.005, self.tsDayCounter)
@@ -57,7 +57,7 @@ def setUp(self):
         self.fixingDays=2
         self.sourceCurrency=USDCurrency()
         self.targetCurrency=EURCurrency()
-        self.fixingCalendar=UnitedStates()
+        self.fixingCalendar=UnitedStates(UnitedStates.NYSE)
         self.todayDate=Date(11, November, 2018)
         self.tsDayCounter=Actual360()
         self.flatForwardUSD=FlatForward(self.todayDate, 0.005, self.tsDayCounter)

Docker/docker-compose-ore-plus.yml

@@ -249,7 +249,7 @@ def setUp(self):
         self.settlement_date = Date(6, October, 2018)
         self.swap_tenor = Period(10, Years)
         self.pay_tenor = Period(3, Months)
-        self.calendar = UnitedStates()
+        self.calendar = UnitedStates(UnitedStates.NYSE)
         self.pay_currency = USDCurrency()
         self.rec_currency = EURCurrency()
         self.maturity_date = self.calendar.advance(self.settlement_date, self.swap_tenor)
@@ -321,7 +321,7 @@ def setUp(self):
         self.settlement_date = Date(6, October, 2018)
         self.swap_tenor = Period(10, Years)
         self.pay_tenor = Period(3, Months)
-        self.calendar = UnitedStates()
+        self.calendar = UnitedStates(UnitedStates.NYSE)
         self.maturity_date = self.calendar.advance(self.settlement_date, self.swap_tenor)
         self.type = OvernightIndexedBasisSwap.Payer
         self.bdc = ModifiedFollowing
@@ -381,7 +381,7 @@ def setUp(self):
         self.settlement_date = Date(6, October, 2018)
         self.swap_tenor = Period(10, Years)
         self.pay_tenor = Period(6, Months)
-        self.calendar = UnitedStates()
+        self.calendar = UnitedStates(UnitedStates.NYSE)
         self.maturity_date = self.calendar.advance(self.settlement_date, self.swap_tenor)
         self.type = AverageOIS.Payer
         self.bdc = ModifiedFollowing

Docker/docker-compose-ore.yml

@@ -23,7 +23,7 @@ def setUp(self):
         self.swapTenor = Period(10,Years)
         self.fixedTenor = Period(3,Months)
         self.fixedDayCounter=Actual360()
-        self.fixedCalendar=UnitedStates()
+        self.fixedCalendar=UnitedStates(UnitedStates.NYSE)
         self.fixedConvention=Following
         self.fixedPaymentAdjustment=Following
         self.overnightIndex=Eonia()
@@ -48,7 +48,7 @@ def setUp(self):
         self.spreadQuote=QuoteHandle(SimpleQuote(0.05))
         self.spotFX=QuoteHandle(SimpleQuote(1.0))
         self.settlementDays=2
-        self.settlementCalendar=UnitedStates()
+        self.settlementCalendar=UnitedStates(UnitedStates.NYSE)
         self.swapTenor=Period(3,Months)
         self.rollConvention=Following 
         self.forecast_curve = RelinkableYieldTermStructureHandle()
@@ -104,7 +104,7 @@ def setUp(self):
         self.spread=QuoteHandle(SimpleQuote(0.02))
         self.swapTenor=Period(6,Months)
         self.fixedTenor=Period(6,Months)
-        self.fixedCalendar=UnitedStates()
+        self.fixedCalendar=UnitedStates(UnitedStates.NYSE)
         self.fixedDayCount=Actual360()
         self.fixedConvention=Following
         self.floatPayTenor=Period(6,Months)
@@ -147,7 +147,7 @@ def setUp(self):
         Settings.instance().setEvaluationDate(self.todays_date)
         self.spread=QuoteHandle(SimpleQuote(0.02))
         self.swapTenor=Period(6,Months)
-        self.calendar=UnitedStates()
+        self.calendar=UnitedStates(UnitedStates.NYSE)
         self.longFixedFrequency=Annual
         self.longFixedConvention=Following
         self.longFixedDayCount=Actual360()
@@ -215,7 +215,7 @@ def setUp(self):
         self.rate=QuoteHandle(SimpleQuote(0.02))
         self.spotFx=QuoteHandle(SimpleQuote(1.0))
         self.settlementDays=2
-        self.paymentCalendar=UnitedStates()
+        self.paymentCalendar=UnitedStates(UnitedStates.NYSE)
         self.paymentConvention=Following
         self.tenor=Period(6,Months)
         self.fixedCurrency=USDCurrency()