Merge branch 'feature/QPR-13744b' into 'master'

Resolve QPR-13744 unit test fixes

Closes QPR-13744

See merge request qs/oreplus!3125

Author: farahkhashman

OREAnalytics/test/testmarket.cpp

@@ -210,7 +210,7 @@ parRateCurve(const Date& asof, const vector<QuantLib::ext::shared_ptr<QuantExt::
 TestMarket::TestMarket(Date asof, bool swapVolCube) : MarketImpl(false) {
 
     TestConfigurationObjects::setConventions();
-    
+
     asof_ = asof;
 
     // build discount
@@ -356,7 +356,7 @@ TestMarket::TestMarket(Date asof, bool swapVolCube) : MarketImpl(false) {
     recoveryRates_[make_pair(Market::defaultConfiguration, "dc2")] =
         Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.4));
     recoveryRates_[make_pair(Market::defaultConfiguration, "BondIssuer0")] =
-        Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0)); 
+        Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0));
     recoveryRates_[make_pair(Market::defaultConfiguration, "BondIssuer1")] =
         Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.4));
 
@@ -384,15 +384,15 @@ TestMarket::TestMarket(Date asof, bool swapVolCube) : MarketImpl(false) {
 
     cdsVols_[make_pair(Market::defaultConfiguration, "dc")] =
         Handle<QuantExt::CreditVolCurve>(QuantLib::ext::make_shared<QuantExt::CreditVolCurveWrapper>(flatRateFxv(0.12)));
-    
+
     Handle<IborIndex> hGBP(ore::data::parseIborIndex(
         "GBP-LIBOR-6M", yieldCurves_[make_tuple(Market::defaultConfiguration, YieldCurveType::Discount, "GBP")]));
     // FIXME: We have defined that above already
     iborIndices_[make_pair(Market::defaultConfiguration, "GBP-LIBOR-6M")] = hGBP;
 
     // Some test cases need a different definition of UKRPI index, curve and vol structure
     // We there fore added the new UKROi as UKRP1 and keep the "original" below.
-    
+
     // build inflation indices
     auto zeroIndex = Handle<ZeroInflationIndex>(QuantLib::ext::make_shared<UKRPI>(flatZeroInflationCurve(0.02, 0.01)));
     zeroInflationIndices_[make_pair(Market::defaultConfiguration, "UKRP1")] = zeroIndex;
@@ -436,23 +436,12 @@ TestMarket::TestMarket(Date asof, bool swapVolCube) : MarketImpl(false) {
         euii->addFixing(fixingDatesEUHICPXT[i], fixingRatesEUHICPXT[i], true);
     };
 
-    vector<Date> datesZCII = {asof_,
-                              asof_ + 1 * Years,
-                              asof_ + 2 * Years,
-                              asof_ + 3 * Years,
-                              asof_ + 4 * Years,
-                              asof_ + 5 * Years,
-                              asof_ + 6 * Years,
-                              asof_ + 7 * Years,
-                              asof_ + 8 * Years,
-                              asof_ + 9 * Years,
-                              asof_ + 10 * Years,
-                              asof_ + 12 * Years,
-                              asof_ + 15 * Years,
+    vector<Date> datesZCII = {asof_ + 1 * Years, asof_ + 2 * Years,  asof_ + 3 * Years,  asof_ + 4 * Years,
+                              asof_ + 5 * Years, asof_ + 6 * Years,  asof_ + 7 * Years,  asof_ + 8 * Years,
+                              asof_ + 9 * Years, asof_ + 10 * Years, asof_ + 12 * Years, asof_ + 15 * Years,
                               asof_ + 20 * Years};
 
-    vector<Rate> ratesZCII = {2.825, 2.9425, 2.975,  2.983, 3.0,  3.01,  3.008,
-                              3.009, 3.013,  3.0445, 3.044, 3.09, 3.109, 3.108};
+    vector<Rate> ratesZCII = {2.9425, 2.975, 2.983, 3.0, 3.01, 3.008, 3.009, 3.013, 3.0445, 3.044, 3.09, 3.109, 3.108};
 
     zeroInflationIndices_[make_pair(Market::defaultConfiguration, "EUHICPXT")] =
         makeZeroInflationIndex("EUHICPXT", datesZCII, ratesZCII, euii,
@@ -555,7 +544,7 @@ Handle<CPICapFloorTermPriceSurface> TestMarket::flatRateCps(Handle<ZeroInflation
                 cPrice, fPrice));
     return Handle<CPICapFloorTermPriceSurface>(ts);
 }
-    
+
 Handle<QuantLib::CPIVolatilitySurface> TestMarket::flatCpiVolSurface(Volatility v) {
     Natural settleDays = 0;
     Calendar cal = TARGET();
@@ -578,9 +567,19 @@ Handle<ZeroInflationIndex> TestMarket::makeZeroInflationIndex(string index, vect
     vector<QuantLib::ext::shared_ptr<BootstrapHelper<ZeroInflationTermStructure>>> instruments;
     for (Size i = 0; i < dates.size(); i++) {
         Handle<Quote> quote(QuantLib::ext::shared_ptr<Quote>(new SimpleQuote(rates[i] / 100.0)));
-        QuantLib::ext::shared_ptr<BootstrapHelper<ZeroInflationTermStructure>> anInstrument(new ZeroCouponInflationSwapHelper(
-            quote, Period(2, Months), dates[i], TARGET(), ModifiedFollowing, ActualActual(ActualActual::ISDA), ii, CPI::AsIndex, yts));
-        anInstrument->unregisterWith(Settings::instance().evaluationDate());
+        QuantLib::ext::shared_ptr<BootstrapHelper<ZeroInflationTermStructure>> anInstrument(
+            new ZeroCouponInflationSwapHelper(quote, Period(2, Months), dates[i], TARGET(), ModifiedFollowing,
+                                              ActualActual(ActualActual::ISDA), ii, CPI::AsIndex, yts, asof_));
+
+        // Remove the helper's observation of the inflation index. This has the effect that the
+        // PiecewiseZeroInflationCurve created below will also not observe the index. It will only get recalculated
+        // if the initial market quotes change or if the initial nominal yield curve changes. Observation of the index
+        // was interfering with scenario generation. The PiecewiseZeroInflationCurve was getting recalculated on the
+        // first time grid date t_1 i.e. was not using the t_0 calculated curve.
+        anInstrument->unregisterWithAll();
+        anInstrument->registerWith(yts);
+        anInstrument->registerWith(quote);
+
         instruments.push_back(anInstrument);
     };
     // we can use historical or first ZCIIS for this
@@ -607,9 +606,25 @@ Handle<YoYInflationIndex> TestMarket::makeYoYInflationIndex(string index, vector
     for (Size i = 0; i < dates.size(); i++) {
         Handle<Quote> quote(QuantLib::ext::shared_ptr<Quote>(new SimpleQuote(rates[i] / 100.0)));
         QL_DEPRECATED_DISABLE_WARNING
-        QuantLib::ext::shared_ptr<BootstrapHelper<YoYInflationTermStructure>> anInstrument(new YearOnYearInflationSwapHelper(
-            quote, Period(2, Months), dates[i], TARGET(), ModifiedFollowing, ActualActual(ActualActual::ISDA), ii, yts));
+        QuantLib::ext::shared_ptr<BootstrapHelper<YoYInflationTermStructure>> anInstrument(
+            new YearOnYearInflationSwapHelper(quote, Period(2, Months), dates[i], TARGET(), ModifiedFollowing,
+                                              ActualActual(ActualActual::ISDA), ii, yts, asof_));
         QL_DEPRECATED_ENABLE_WARNING
+
+        // Remove the helper's observation of the inflation index. This has the effect that the
+        // PiecewiseYoYInflationCurve created below will also not observe the index. It will only get recalculated
+        // if the initial market quotes change or if the initial nominal yield curve changes.
+        // Note: QuantLib needs a change so that if swap start is provided in the helper above then updateDates_ on
+        //       the RelativeDateBootstrapHelper should be false and hence the helper does not observe Settings
+        //       evaluationDate. Without this fix, the unregister here does this also.
+        // These changes are needed to allow ObservationModeTest/testDefer to pass. Without them
+        // YearOnYearInflationSwapHelper::initializeDates() gets called due to evaluation date changes, the yyiis_
+        // member gets reassigned but the original value is still in the deferredObervers_. The testDefer test then
+        // crashes when deferredObserver->update(); is called in ObservableSettings::enableUpdates() with
+        // deferredObserver null.
+        anInstrument->unregisterWithAll();
+        anInstrument->registerWith(yts);
+        anInstrument->registerWith(quote);
         instruments.push_back(anInstrument);
     };
     // we can use historical or first ZCIIS for this
@@ -702,7 +717,7 @@ TestMarketParCurves::TestMarketParCurves(const Date& asof) : MarketImpl(false) {
         vector<Real> parRates(parInst.size(), parRate);
         createDiscountCurve(ccy, parInst, parTenor, parRates);
     }
-        
+
     // add fx rates
     // add fx rates
     std::map<std::string, QuantLib::Handle<QuantLib::Quote>> quotes;
@@ -1127,7 +1142,7 @@ void TestMarketParCurves::createZeroInflationIndex(const string& idxName, const
             yieldCurve(YieldCurveType::Discount, ccy, Market::defaultConfiguration)));
     }
     QuantLib::ext::shared_ptr<ZeroInflationTermStructure> zeroCurve;
-    
+
     Date baseDate = QuantExt::ZeroInflation::curveBaseDate(false, asof_, conv->observationLag(), zii->frequency(), zii);
     zeroCurve = QuantLib::ext::shared_ptr<PiecewiseZeroInflationCurve<Linear>>(
         new PiecewiseZeroInflationCurve<Linear>(asof_, baseDate, conv->observationLag(), zii->frequency(), conv->dayCounter(), instruments));
@@ -1784,7 +1799,7 @@ TestConfigurationObjects::setupSensitivityScenarioData(bool hasSwapVolCube, bool
     return sensiData;
 };
 
-    
+
 QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> TestConfigurationObjects::setupSimMarketData2() {
     QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> simMarketData(
         new ore::analytics::ScenarioSimMarketParameters());

OREData/ored/marketdata/inflationcurve.cpp

@@ -307,7 +307,12 @@ InflationCurve::CurveBuildResults
                     zcq->quote(), convention->observationLag(), maturity, convention->fixCalendar(),
                     convention->fixConvention(), convention->dayCounter(), index, observationInterpolation, nominalTs,
                     swapStart);
-                instrument->unregisterWith(Settings::instance().evaluationDate());
+
+                // Unregister with inflation index. See PR #326 on github for details.
+                instrument->unregisterWithAll();
+                instrument->registerWith(nominalTs);
+                instrument->registerWith(zcq->quote());
+
                 helpers.push_back(instrument);
                 results.pillarDates.push_back(instrument->pillarDate());
                 results.mdQuoteLabels.push_back(md->name());
@@ -413,7 +418,12 @@ InflationCurve::CurveBuildResults
             auto instrument = QuantLib::ext::make_shared<YearOnYearInflationSwapHelper>(
                 quote, convention->observationLag(), maturity, convention->fixCalendar(), convention->fixConvention(),
                 convention->dayCounter(), index, nominalTs, swapStart);
-            instrument->unregisterWith(Settings::instance().evaluationDate());
+
+            // Unregister with inflation index (and evaluationDate). See PR #326 on github for details.
+            instrument->unregisterWithAll();
+            instrument->registerWith(nominalTs);
+            instrument->registerWith(quote);
+
             results.pillarDates.push_back(instrument->pillarDate());
             helpers.push_back(instrument);
             results.mdQuoteLabels.push_back(md->name());

OREData/ored/utilities/xmlutils.cpp

@@ -452,6 +452,15 @@ vector<XMLNode*> XMLUtils::getChildrenNodes(XMLNode* node, const string& name) {
     return res;
 }
 
+vector<XMLNode*> XMLUtils::getAnyChildrenNodes(XMLNode* node, const std::vector<string>& names) {
+    vector<XMLNode*> res;
+    for (auto const& n : names) {
+        auto tmp = getChildrenNodes(node, n);
+        res.insert(res.end(), tmp.begin(), tmp.end());
+    }
+    return res;
+}
+
 vector<XMLNode*> XMLUtils::getChildrenNodesWithAttributes(XMLNode* parent, const string& names, const string& name,
                                                           const string& attrName, vector<string>& attrs,
                                                           bool mandatory) {

OREData/ored/utilities/xmlutils.hpp

@@ -252,6 +252,7 @@ class XMLUtils {
     //! Returns all the children with a given name
     // To get all children, set name equal to ""
     static vector<XMLNode*> getChildrenNodes(XMLNode* node, const string& name);
+    static vector<XMLNode*> getAnyChildrenNodes(XMLNode* node, const std::vector<string>& names);
 
     static vector<XMLNode*> getChildrenNodesWithAttributes(XMLNode* node, const string& names, const string& name,
                                                            const string& attrName, vector<string>& attrs,

OREData/test/localvol.cpp

@@ -75,7 +75,7 @@ void testCalibrationInstrumentRepricing(const Model::Type type, const std::vecto
     params.regressionOrder = 1;
     auto localVol = QuantLib::ext::make_shared<BlackScholes>(
         type, size, "EUR", process->riskFreeRate(), "EQ-DUMMY", "EUR", builder.model(), simDates,
-        QuantLib::ext::make_shared<IborFallbackConfig>(IborFallbackConfig::defaultConfig()), "LocalVol",
+        QuantLib::ext::make_shared<IborFallbackConfig>(IborFallbackConfig::defaultConfig()), "Smile",
         std::vector<Real>{}, params);
 
     // loop over the calibration options and price them in the local vol model using MC
@@ -205,8 +205,8 @@ BOOST_AUTO_TEST_CASE(testSabrVols) {
 
     auto process = QuantLib::ext::make_shared<GeneralizedBlackScholesProcess>(spot, q, r, vol);
 
-    testCalibrationInstrumentRepricing(Model::Type::MC, expiries, moneyness, process, 20, 10000, 0.30);
-    testCalibrationInstrumentRepricing(Model::Type::FD, expiries, moneyness, process, 20, 100, 0.30);
+    testCalibrationInstrumentRepricing(Model::Type::MC, expiries, moneyness, process, 20, 10000, 0.35);
+    testCalibrationInstrumentRepricing(Model::Type::FD, expiries, moneyness, process, 20, 100, 0.35);
 }
 
 BOOST_AUTO_TEST_SUITE_END()

QuantExt/qle/termstructures/averageoisratehelper.cpp

@@ -59,8 +59,9 @@ AverageOISRateHelper::AverageOISRateHelper(
 
 void AverageOISRateHelper::initializeDates() {
 
-    averageOIS_ = MakeAverageOIS(swapTenor_, overnightIndex_, onTenor_, quote().empty() ? 0.0 : quote()->value(),
-                                 fixedTenor_, fixedDayCounter_, spotLagTenor_)
+    averageOIS_ = MakeAverageOIS(swapTenor_, overnightIndex_, onTenor_,
+                                 quote().empty() || !quote()->isValid() ? 0.0 : quote()->value(), fixedTenor_,
+                                 fixedDayCounter_, spotLagTenor_)
                       .withFixedCalendar(fixedCalendar_)
                       .withFixedConvention(fixedConvention_)
                       .withFixedTerminationDateConvention(fixedConvention_)

QuantExt/qle/termstructures/basistwoswaphelper.cpp

@@ -75,7 +75,8 @@ void BasisTwoSwapHelper::initializeDates() {
        of the atm swap rate in MakeVanillaSwap operator ...(). If it is
        Null, you get an exception because the discountRelinkableHandle_
        is initially empty. */
-    longSwap_ = MakeVanillaSwap(swapTenor_, longIndex_, quote().empty() || !longMinusShort_ ? 0.0 : quote()->value())
+    longSwap_ = MakeVanillaSwap(swapTenor_, longIndex_,
+                                quote().empty() || !quote()->isValid() || !longMinusShort_ ? 0.0 : quote()->value())
                     .withDiscountingTermStructure(discountRelinkableHandle_)
                     .withFixedLegDayCount(longFixedDayCount_)
                     .withFixedLegTenor(Period(longFixedFrequency_))
@@ -84,7 +85,8 @@ void BasisTwoSwapHelper::initializeDates() {
                     .withFixedLegCalendar(calendar_)
                     .withFloatingLegCalendar(calendar_);
 
-    shortSwap_ = MakeVanillaSwap(swapTenor_, shortIndex_, quote().empty() || longMinusShort_ ? 0.0 : quote()->value())
+    shortSwap_ = MakeVanillaSwap(swapTenor_, shortIndex_,
+                                 quote().empty() || !quote()->isValid() || longMinusShort_ ? 0.0 : quote()->value())
                      .withDiscountingTermStructure(discountRelinkableHandle_)
                      .withFixedLegDayCount(shortFixedDayCount_)
                      .withFixedLegTenor(Period(shortFixedFrequency_))

QuantExt/qle/termstructures/brlcdiratehelper.cpp

@@ -64,8 +64,8 @@ void BRLCdiRateHelper::initializeDates() {
 
     // Create the BRL CDI swap
     swap_ = QuantLib::ext::make_shared<BRLCdiSwap>(OvernightIndexedSwap::Payer, 1.0, startDate, endDate,
-                                                   quote().empty() ? 0.01 : quote()->value(), brlCdiIndex_, 0.0,
-                                                   telescopicValueDates_);
+                                                   quote().empty() || !quote()->isValid() ? 0.01 : quote()->value(),
+                                                   brlCdiIndex_, 0.0, telescopicValueDates_);
 
     // Set the pricing engine
     swap_->setPricingEngine(QuantLib::ext::make_shared<DiscountingSwapEngine>(discountRelinkableHandle_));

QuantExt/qle/termstructures/crossccybasismtmresetswaphelper.cpp

@@ -155,8 +155,9 @@ void CrossCcyBasisMtMResetSwapHelper::initializeDates() {
 
     swap_ = QuantLib::ext::make_shared<CrossCcyBasisMtMResetSwap>(
         foreignNominal, foreignCurrency_, foreignLegSchedule, foreignCcyIndex_,
-        !spreadOnForeignCcy_ || quote().empty() ? 0.0 : quote()->value(), domesticCurrency_, domesticLegSchedule,
-        domesticCcyIndex_, spreadOnForeignCcy_ || quote().empty() ? 0.0 : quote()->value(), fxIdx, true,
+        !spreadOnForeignCcy_ || quote().empty() || !quote()->isValid() ? 0.0 : quote()->value(), domesticCurrency_,
+        domesticLegSchedule, domesticCcyIndex_,
+        spreadOnForeignCcy_ || quote().empty() || !quote()->isValid() ? 0.0 : quote()->value(), fxIdx, true,
         foreignPaymentLag_, domesticPaymentLag_, foreignIncludeSpread_, foreignLookback_, foreignFixingDays_,
         foreignRateCutoff_, foreignIsAveraged_, domesticIncludeSpread_, domesticLookback_, domesticFixingDays_,
         domesticRateCutoff_, domesticIsAveraged_, telescopicValueDates_);

QuantExt/qle/termstructures/crossccybasisswaphelper.cpp

@@ -147,10 +147,11 @@ void CrossCcyBasisSwapHelper::initializeDates() {
 
     /* Arbitrarily set the spread leg as the pay leg */
     swap_ = QuantLib::ext::make_shared<CrossCcyBasisSwap>(
-        spreadLegNominal, spreadLegCurrency_, spreadLegSchedule, spreadIndex_, quote().empty() ? 0.0 : quote()->value(),
-        spreadGearing_, flatLegNominal, flatLegCurrency_, flatLegSchedule, flatIndex_, spreadOnFlatLeg_, flatGearing_,
-        paymentLag_, flatPaymentLag_, includeSpread_, lookback_, fixingDays_, rateCutoff_, isAveraged_,
-        flatIncludeSpread_, flatLookback_, flatFixingDays_, flatRateCutoff_, flatIsAveraged_, telescopicValueDates_);
+        spreadLegNominal, spreadLegCurrency_, spreadLegSchedule, spreadIndex_,
+        quote().empty() || !quote()->isValid() ? 0.0 : quote()->value(), spreadGearing_, flatLegNominal,
+        flatLegCurrency_, flatLegSchedule, flatIndex_, spreadOnFlatLeg_, flatGearing_, paymentLag_, flatPaymentLag_,
+        includeSpread_, lookback_, fixingDays_, rateCutoff_, isAveraged_, flatIncludeSpread_, flatLookback_,
+        flatFixingDays_, flatRateCutoff_, flatIsAveraged_, telescopicValueDates_);
 
     QuantLib::ext::shared_ptr<PricingEngine> engine;
     if (flatIsDomestic_) {