Merge branch 'QPR-13367' into 'master'

QPR-13367 enable openEndDateReplacement for forward bonds

Closes QPR-13367

See merge request qs/oreplus!2757

Author: damienbarker

Docs/UserGuide/pricing/pricingengines.tex

@@ -81,6 +81,7 @@ \subsection{Product Type: Bond}
 The parameters have the following meaning:
 
 \begin{itemize}
+\item OpenEndDateReplacement: if end date is missing in bond schedule (perpetual bond), valuation date plus this period is used as a replacement date
 \item TimestepPeriod: discretization interval for zero bond pricing
 \item SensitivityTemplate [optional]: the sensitivity template to use 
 \item IncludePastCashflows [optional]: include past cashflows in the cashflow report, defaults to false (ignored in the DiscountingRiskyBondEngineMultiState)
@@ -90,7 +91,9 @@ \subsection{Product Type: Bond}
 \begin{minted}[fontsize=\footnotesize]{xml}
 <Product type="Bond">
     <Model>DiscountedCashflows</Model>
-    <ModelParameters/>
+    <ModelParameters>
+      <Parameter name="OpenEndDateReplacement">50Y</Parameter>
+    </ModelParameters>
     <Engine>DiscountingRiskyBondEngine</Engine>
     <EngineParameters>
         <Parameter name="TimestepPeriod">3M</Parameter>
@@ -3865,6 +3868,7 @@ \subsection{Product Type: ForwardBond}
 The parameters have the following meaning:
 
 \begin{itemize}
+\item OpenEndDateReplacement: if end date is missing in bond schedule (perpetual bond), valuation date plus this period is used as a replacement date
 \item TimestepPeriod: discretization interval for zero bond pricing
 \item SensitivityTemplate [optional]: the sensitivity template to use
 \item SpreadOnIncomeCurve [optional]: whether to apply the security spread on the income curve for compounding, default to false
@@ -3874,7 +3878,9 @@ \subsection{Product Type: ForwardBond}
 \begin{minted}[fontsize=\footnotesize]{xml}
 <Product type="ForwardBond">
     <Model>DiscountedCashflows</Model>
-    <ModelParameters/>
+    <ModelParameters>
+      <Parameter name="OpenEndDateReplacement">50Y</Parameter>
+    </ModelParameters>
     <Engine>DiscountingForwardBondEngine</Engine>
     <EngineParameters>
         <Parameter name="TimestepPeriod">3M</Parameter>

OREData/ored/portfolio/bondoption.cpp

@@ -58,6 +58,9 @@ void BondOption::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFac
     const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
     QuantLib::ext::shared_ptr<EngineBuilder> builder = engineFactory->builder("BondOption");
     bondData_ = originalBondData_;
+    auto bondType = getBondReferenceDatumType(bondData_.securityId(), engineFactory->referenceData());
+    QL_REQUIRE(bondType.empty() || bondType == BondReferenceDatum::TYPE,
+               "BondOption: bond type " << bondType << " is not supported.");
     bondData_.populateFromBondReferenceData(engineFactory->referenceData());
 
     Calendar calendar = parseCalendar(bondData_.calendar());

OREData/ored/portfolio/bondrepo.cpp

@@ -49,6 +49,9 @@ void BondRepo::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFacto
     // build security leg (as a bond)
 
     securityLegData_ = originalSecurityLegData_;
+    auto bondType = getBondReferenceDatumType(securityLegData_.securityId(), engineFactory->referenceData());
+    QL_REQUIRE(bondType.empty() || bondType == BondReferenceDatum::TYPE,
+               "BondRepo: bond type " << bondType << " is not supported.");
     securityLegData_.populateFromBondReferenceData(engineFactory->referenceData());
     securityLeg_ = QuantLib::ext::make_shared<ore::data::Bond>(Envelope(), securityLegData_);
     securityLeg_->id() = id() + "_SecurityLeg";

OREData/ored/portfolio/bondtotalreturnswap.cpp

@@ -59,6 +59,9 @@ void BondTRS::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFactor
     const QuantLib::ext::shared_ptr<Market> market = engineFactory->market();
     QuantLib::ext::shared_ptr<EngineBuilder> builder_trs = engineFactory->builder("BondTRS");
     bondData_ = originalBondData_;
+    auto bondType = getBondReferenceDatumType(bondData_.securityId(), engineFactory->referenceData());
+    QL_REQUIRE(bondType.empty() || bondType == BondReferenceDatum::TYPE,
+               "BondTRS: bond type " << bondType << " is not supported. Consider using TotalReturnSwap.");
     bondData_.populateFromBondReferenceData(engineFactory->referenceData());
 
     additionalData_["underlyingSecurityId"] = bondData_.securityId();

OREData/ored/portfolio/bondutils.cpp

@@ -19,6 +19,7 @@
 #include <ored/portfolio/bondutils.hpp>
 #include <ored/portfolio/structuredtradeerror.hpp>
 #include <ored/utilities/log.hpp>
+#include <ored/portfolio/convertiblebondreferencedata.hpp>
 
 namespace ore {
 namespace data {
@@ -139,5 +140,19 @@ Date getOpenEndDateReplacement(const std::string& replacementPeriodStr, const Ca
     return result;
 }
 
+std::string getBondReferenceDatumType(const std::string& id,
+                                      const QuantLib::ext::shared_ptr<ReferenceDataManager>& refData) {
+    if (refData == nullptr)
+        return std::string();
+
+    if (refData->hasData(BondReferenceDatum::TYPE, id)) {
+        return BondReferenceDatum::TYPE;
+    } else if (refData->hasData(ConvertibleBondReferenceDatum::TYPE, id)) {
+        return ConvertibleBondReferenceDatum::TYPE;
+    }
+
+    return std::string();
+}
+
 } // namespace data
 } // namespace ore

OREData/ored/portfolio/bondutils.hpp

@@ -58,5 +58,14 @@ void populateFromBondReferenceData(std::string& subType, std::string& issuerId,
 
 Date getOpenEndDateReplacement(const std::string& replacementPeriodStr, const Calendar& calendar = NullCalendar());
 
+/* Returns the type of the bond reference data
+
+   - BondReferenceDatum::TYPE             ("Bond")
+   - ConvertibleBondReferenceDatum:TYPE   ("ConvertibleBond")
+
+   or an empty string if no reference data was found. */
+std::string getBondReferenceDatumType(const std::string& id,
+                                      const QuantLib::ext::shared_ptr<ReferenceDataManager>& refData);
+
 } // namespace data
 } // namespace ore

OREData/ored/portfolio/forwardbond.cpp

@@ -17,6 +17,7 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
+#include <ored/portfolio/bondutils.hpp>
 #include <ored/portfolio/builders/bond.hpp>
 #include <ored/portfolio/builders/forwardbond.hpp>
 #include <ored/portfolio/fixingdates.hpp>
@@ -62,6 +63,9 @@ void ForwardBond::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFa
     QuantLib::ext::shared_ptr<EngineBuilder> builder_bd = engineFactory->builder("Bond");
 
     bondData_ = originalBondData_;
+    auto bondType = getBondReferenceDatumType(bondData_.securityId(), engineFactory->referenceData());
+    QL_REQUIRE(bondType.empty() || bondType == BondReferenceDatum::TYPE,
+               "ForwardBond: bond type " << bondType << " is not supported.");
     bondData_.populateFromBondReferenceData(engineFactory->referenceData());
 
     npvCurrency_ = currency_ = bondData_.coupons().front().currency();
@@ -76,6 +80,9 @@ void ForwardBond::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFa
     Calendar calendar = parseCalendar(bondData_.calendar());
     Natural settlementDays = boost::lexical_cast<Natural>(bondData_.settlementDays());
 
+    std::string openEndDateStr = builder_fwd->modelParameter("OpenEndDateReplacement", {}, false, "");
+    Date openEndDateReplacement = getOpenEndDateReplacement(openEndDateStr, calendar);
+
     Date fwdMaturityDate = parseDate(fwdMaturityDate_);
     Date fwdSettlementDate = fwdSettlementDate_.empty() ? fwdMaturityDate : parseDate(fwdSettlementDate_);
     bool isPhysicallySettled;
@@ -130,7 +137,7 @@ void ForwardBond::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFa
         auto configuration = builder_bd->configuration(MarketContext::pricing);
         auto legBuilder = engineFactory->legBuilder(bondData_.coupons()[i].legType());
         leg = legBuilder->buildLeg(bondData_.coupons()[i], engineFactory, requiredFixings_, configuration,
-                                   QuantLib::Date(), false, true, &productModelEngines);
+                                   openEndDateReplacement, false, true, &productModelEngines);
         separateLegs.push_back(leg);
         addProductModelEngine(productModelEngines);
     }