Merge remote-tracking branch 'origin/master' into QPR-11995

Author: damienbarker

OREAnalytics-SWIG/SWIG/orea_app.i

@@ -268,7 +268,9 @@ class OREApp {
     std::vector<std::string> getErrors();
 
     Real getRunTime();
- };
+
+    std::string version();
+};
 
 %shared_ptr(Analytic)
 class Analytic {

OREData-SWIG/SWIG/ored.i

@@ -41,14 +41,15 @@
 %}
 
 
+%include ored_calendarAdjustmentConfig.i
 %include ored_conventions.i
-%include ored_parsers.i
-%include ored_market.i
-%include ored_portfolio.i
-%include ored_log.i
 %include ored_loader.i
+%include ored_log.i
+%include ored_market.i
 %include ored_marketdatum.i
+%include ored_parsers.i
+%include ored_portfolio.i
 %include ored_reports.i
-%include ored_calendarAdjustmentConfig.i
+%include ored_volcurves.i
 
 #endif

OREData-SWIG/SWIG/ored_volcurves.i

@@ -19,12 +19,19 @@
 #ifndef ored_volcurves_i
 #define ored_volcurves_i
 
+%include std_set.i
+
 %{
-using ore::data::GenerticYieldVolCurve
-using ore::data::SwaptionVolCurve
+using ore::data::GenericYieldVolCurve;
+using ore::data::SwaptionVolCurve;
+using ore::data::BlackScholesModelBuilderBase;
+using ore::data::LocalVolModelBuilder;
 using namespace std;
 %}
 
+%template(DateSet) std::set<Date>;
+
+/*
 %shared_ptr(GenericYieldVolCurve)
 class GenericYieldVolCurve {
 	public:
@@ -50,5 +57,33 @@ class SwaptionVolCurve : public GenericYieldVolCurve {
         const SwaptionVolatilityCurveSpec& spec() const;  
 
 };
+*/
+
+%template(GeneralizedBlackScholesProcessVector) std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> >;
+
+%shared_ptr(LocalVolModelBuilder)
+class LocalVolModelBuilder : public BlackScholesModelBuilderBase {
+    public:
+         enum class Type { Dupire, DupireFloored, AndreasenHuge };
+         LocalVolModelBuilder(const std::vector<Handle<YieldTermStructure>>& curves,
+                              const std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess>>& processes,
+                              const std::set<Date>& simulationDates = {},
+                              const std::set<Date>& addDates = {},
+                              const Size timeStepsPerYear = 1,
+                              const Type lvType = Type::Dupire,
+                              const std::vector<Real>& calibrationMoneyness = { -2.0, -1.0, 0.0, 1.0, 2.0 },
+                              const bool dontCalibrate = false);
+         LocalVolModelBuilder(const Handle<YieldTermStructure>& curve,
+                              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
+                              const std::set<Date>& simulationDates = {},
+                              const std::set<Date>& addDates = {},
+                              const Size timeStepsPerYear = 1,
+                              const Type lvType = Type::Dupire,
+                              const std::vector<Real>& calibrationMoneyness = { -2.0, -1.0, 0.0, 1.0, 2.0 },
+                              const bool dontCalibrate = false);
+             
+         std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess>> getCalibratedProcesses() const override;
+};
 
 
+#endif

QuantExt-SWIG/SWIG/qle_indexes.i

@@ -288,7 +288,6 @@ class Name : public OvernightIndex {
 };
 %enddef
 
-qle_export_xibor_instance(AUDbbsw);
 qle_export_xibor_instance(CZKPribor);
 qle_export_xibor_instance(DEMLibor);
 qle_export_xibor_instance(DKKCibor);
@@ -302,8 +301,6 @@ qle_export_xibor_instance(MYRKlibor);
 qle_export_xibor_instance(NOKNibor);
 qle_export_xibor_instance(NZDBKBM);
 qle_export_xibor_instance(PHPPhiref);
-qle_export_xibor_instance(PLNWibor);
-qle_export_xibor_instance(RUBMosprime);
 qle_export_xibor_instance(SEKStibor);
 qle_export_xibor_instance(SGDSibor);
 qle_export_xibor_instance(SGDSor);

QuantExt-SWIG/SWIG/qle_instruments.i

@@ -43,6 +43,8 @@ using QuantExt::OvernightIndexedBasisSwap;
 using QuantExt::Deposit;
 using QuantExt::DepositEngine;
 using QuantExt::DiscountingSwapEngineMultiCurve;
+using QuantExt::VarianceSwap2;
+using QuantExt::GeneralisedReplicatingVarianceSwapEngine;
 %}
 
 
@@ -247,4 +249,40 @@ public:
     QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve();
 };
 
+
+%shared_ptr(VarianceSwap2)
+class VarianceSwap2 : public Instrument {
+public:
+    VarianceSwap2(Position::Type position, Real strike, Real notional,
+                  const Date& startDate, const Date& maturityDate,
+                  const Calendar& calendar, bool addPastDividends);
+};
+
+%shared_ptr(GeneralisedReplicatingVarianceSwapEngine)
+class GeneralisedReplicatingVarianceSwapEngine : public PricingEngine {
+public:
+    class VarSwapSettings {
+    public:
+        enum class Scheme { GaussLobatto, Segment };
+        enum class Bounds { Fixed, PriceThreshold };
+        VarSwapSettings() {}
+        Scheme scheme = Scheme::GaussLobatto;
+        Bounds bounds = Bounds::PriceThreshold;
+        Real accuracy = 1E-5;
+        Size maxIterations = 1000;
+        Size steps = 100;
+        Real priceThreshold = 1E-10;
+        Size maxPriceThresholdSteps = 100;
+        Real priceThresholdStep = 0.1;
+        Real fixedMinStdDevs = -5.0;
+        Real fixedMaxStdDevs = 5.0;
+    };
+
+    GeneralisedReplicatingVarianceSwapEngine(const ext::shared_ptr<QuantLib::Index>& index,
+                                             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
+                                             const Handle<YieldTermStructure>& discountingTS,
+                                             const VarSwapSettings settings = VarSwapSettings(),
+                                             const bool staticTodaysSpot = true);
+ };
+
 #endif