git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "49a38159a6"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "c78cfbc2b0"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docs/UserGuide/parameterisation/curveconfig.tex

@@ -309,8 +309,9 @@ \subsubsection{Equity Curve Structures}
       <!-- See Table \ref{tab:allow_interp_methods} for allowed interpolation methods -->
       <InterpolationMethod>Linear</InterpolationMethod>
     </DividendInterpolation>
-    <!-- Optional node, defaults to true -->
-    <Extrapolation>True</Extrapolation>
+    <DividendExtrapolation>False</DividendExtrapolation>
+    <!-- Optional node, defaults to false -->
+    <Extrapolation>False</Extrapolation>
     <DayCounter>A365</DayCounter>
   </EquityCurve>
   <EquityCurve>
@@ -336,7 +337,8 @@ \subsubsection{Equity Curve Structures}
 \item Quotes [Optional]: Market datum IDs/names to be used in building the curve structure.
 \item DayCounter [Optional]: The term structure's day counter used in date to time conversions. Defaults to {\tt A365F}.
 \item DividendInterpolation [Optional]: This node contains an \lstinline!InterpolationVariable! and \lstinline!InterpolationMethod! sub-node, which define the variable on which the interpolation is performed and the interpolation method for the dividend curve, respectively. The allowable values are found in Table \ref{tab:allow_interp_variables} and Table \ref{tab:allow_interp_methods}, respectively. This should not be provided if \lstinline!Type! is {\tt NoDividends}.
-\item Extrapolation [Optional]: Boolean flag indicating whether extrapolation is allowed. Defaults to {\tt True}.
+\item DividendExtrapolation [Optional]: Boolean flag indicating whether extrapolation in the dividend curve is allowed. If True the dividend curve is extrapolated forward at the risk free rate beyond the last date of the curve - this is only considered when \lstinline!Extrapolation! is False. Defaults to {\tt False}.
+\item Extrapolation [Optional]: Boolean flag indicating whether extrapolation in the forward price is allowed. Defaults to {\tt False}.
 \end{itemize}
 
 The equity curves here consists of a spot equity price, as well as a set of either forward prices or else dividend 
@@ -358,6 +360,7 @@ \subsubsection{Equity Volatility Structures}
 \begin{itemize}
 \item CurveId: Unique identifier for the curve.
 \item CurveDescription [Optional]: A description of the curve. This field may be left blank.
+\item EquityId: [Optional] Identifies the underlying equity name, this is used in the construction of the \lstinline!Quote! strings. If omitted the \lstinline!CurveId! is used instead.
 \item Currency: Currency of the equity.
 \item Calendar [Optional]: allowable value is any valid calendar. Defaults to \lstinline!NullCalendar!.
 \item DayCounter [Optional]: allowable value is any valid day counter. Defaults to \lstinline!A365!.
@@ -374,10 +377,11 @@ \subsubsection{Equity Volatility Structures}
   <EquityVolatility>
     <CurveId>SP5</CurveId>
     <CurveDescription>Lognormal option implied vols for SP 500</CurveDescription>
+    <EquityId>RIC:.SP5</EquityId>
     <Currency>USD</Currency>
     <DayCounter>Actual/365 (Fixed)</DayCounter>
     <Constant>
-      <Quote>EQUITY_OPTION/RATE_LNVOL/SP5/USD/5Y/ATMF</Quote>
+      <Quote>EQUITY_OPTION/RATE_LNVOL/RIC:.SP5/USD/5Y/ATMF</Quote>
     </Constant>
   </EquityVolatility>
   <EquityVolatility>
@@ -398,13 +402,14 @@ \subsubsection{Equity Volatility Structures}
   <EquityVolatility>
     <CurveId>SP5</CurveId>
     <CurveDescription>Lognormal option implied vols for SP 500</CurveDescription>
+    <EquityId>RIC:.SP5</EquityId>
     <Currency>USD</Currency>
     <DayCounter>Actual/365 (Fixed)</DayCounter>
     <Curve>
       <QuoteType>ImpliedVolatility</QuoteType>
       <VolatilityType>Lognormal</VolatilityType>
       <Quotes>
-        <Quote>EQUITY_OPTION/RATE_LNVOL/SP5/USD/*</Quote>
+        <Quote>EQUITY_OPTION/RATE_LNVOL/RIC:.SP5/USD/*</Quote>
       </Quotes>
       <Interpolation>LinearFlat</Interpolation>
       <Extrapolation>Flat</Extrapolation>
@@ -463,6 +468,7 @@ \subsubsection{Equity Volatility Structures}
   <EquityVolatility>
     <CurveId>SP5</CurveId>
     <CurveDescription>Lognormal option implied vols for SP 500</CurveDescription>
+    <EquityId>RIC:.SP5</EquityId>
     <Currency>USD</Currency>
     <DayCounter>Actual/365 (Fixed)</DayCounter>
     <StrikeSurface>
@@ -509,6 +515,7 @@ \subsubsection{Equity Volatility Structures}
   <EquityVolatility>
     <CurveId>SP5</CurveId>
     <CurveDescription>Lognormal option implied vols for SP 500</CurveDescription>
+    <EquityId>RIC:.SP5</EquityId>
     <Currency>USD</Currency>
     <DayCounter>Actual/365 (Fixed)</DayCounter>
     <MoneynessSurface>
@@ -542,6 +549,7 @@ \subsubsection{Equity Volatility Structures}
   <EquityVolatility>
     <CurveId>ABC</CurveId>
     <CurveDescription>Lognormal option implied vols for APC - proxied from SP5</CurveDescription>
+    <EquityId>RIC:.SP5</EquityId>
     <Currency>USD</Currency>
     <DayCounter>Actual/365 (Fixed)</DayCounter>
     <ProxySurface>

OREAnalytics/orea/app/inputparameters.hpp

@@ -631,7 +631,7 @@ class InputParameters {
     bool outputCurves_ = false;
     std::string curvesMarketConfig_ = Market::defaultConfiguration;
     std::string curvesGrid_ = "240,1M";
-    bool outputTodaysMarketCalibration_ = false;
+    bool outputTodaysMarketCalibration_ = true;
 
     /***********************************
      * CASHFLOW and CASHFLOWNPV analytic

OREData/ored/configuration/conventions.cpp

@@ -71,7 +71,7 @@ Convention::Convention(const string& id, Type type) : type_(type), id_(id) {}
 
 const boost::shared_ptr<ore::data::Conventions>& InstrumentConventions::conventions(QuantLib::Date d) const {
     QL_REQUIRE(!conventions_.empty(), "InstrumentConventions: No conventions provided.");
-    std::shared_lock<std::shared_mutex> lock(mutex_);
+    boost::shared_lock<boost::shared_mutex> lock(mutex_);
     Date dt = d == Date() ? Settings::instance().evaluationDate() : d;
     auto it = conventions_.lower_bound(dt);
     if(it != conventions_.end() && it->first == dt)
@@ -91,7 +91,7 @@ const boost::shared_ptr<ore::data::Conventions>& InstrumentConventions::conventi
 
 void InstrumentConventions::setConventions(
     const boost::shared_ptr<ore::data::Conventions>& conventions, QuantLib::Date d) {
-    std::unique_lock<std::shared_mutex> lock(mutex_);
+    boost::unique_lock<boost::shared_mutex> lock(mutex_);
     conventions_[d] = conventions;
 }
 
@@ -2467,7 +2467,7 @@ void Conventions::fromXML(XMLNode* node) {
 }
 
 XMLNode* Conventions::toXML(XMLDocument& doc) {
-    std::unique_lock<std::shared_mutex> lock(mutex_);
+    boost::unique_lock<boost::shared_mutex> lock(mutex_);
 
     XMLNode* conventionsNode = doc.allocNode("Conventions");
 
@@ -2480,7 +2480,7 @@ XMLNode* Conventions::toXML(XMLDocument& doc) {
 }
 
 void Conventions::clear() const {
-    std::unique_lock<std::shared_mutex> lock(mutex_);
+    boost::unique_lock<boost::shared_mutex> lock(mutex_);
     data_.clear();
 }
 
@@ -2509,7 +2509,7 @@ std::string flip(const std::string& id, const std::string& sep = "-") {
 boost::shared_ptr<Convention> Conventions::get(const string& id) const {
 
     {
-        std::shared_lock<std::shared_mutex> lock(mutex_);
+        boost::shared_lock<boost::shared_mutex> lock(mutex_);
         if (auto it = data_.find(id); it != data_.end()) {
             used_.insert(id);
             return it->second;
@@ -2522,7 +2522,7 @@ boost::shared_ptr<Convention> Conventions::get(const string& id) const {
 
     std::string type, unparsed;
     {
-        std::unique_lock<std::shared_mutex> lock(mutex_);
+        boost::unique_lock<boost::shared_mutex> lock(mutex_);
         if (auto it = unparsed_.find(id); it != unparsed_.end()) {
             std::tie(type, unparsed) = it->second;
             unparsed_.erase(id);
@@ -2597,7 +2597,7 @@ boost::shared_ptr<Convention> Conventions::get(const string& id) const {
 }
 
 boost::shared_ptr<Convention> Conventions::getFxConvention(const string& ccy1, const string& ccy2) const {
-    std::shared_lock<std::shared_mutex> lock(mutex_);
+    boost::shared_lock<boost::shared_mutex> lock(mutex_);
     for (auto c : data_) {
         auto fxCon = boost::dynamic_pointer_cast<FXConvention>(c.second);
         if (fxCon) {
@@ -2629,7 +2629,7 @@ std::set<boost::shared_ptr<Convention>> Conventions::get(const Convention::Type&
     std::set<std::string> unparsedIds;
     std::string typeStr = ore::data::to_string(type);
     {
-        std::shared_lock<std::shared_mutex> lock(mutex_);
+        boost::shared_lock<boost::shared_mutex> lock(mutex_);
         for (auto const& d : data_) {
             if (d.second->type() == type) {
                 used_.insert(d.first);
@@ -2653,7 +2653,7 @@ bool Conventions::has(const string& id) const {
     } catch (const std::exception& e) {
         return false;
     }
-    std::shared_lock<std::shared_mutex> lock(mutex_);
+    boost::shared_lock<boost::shared_mutex> lock(mutex_);
     return data_.find(id) != data_.end() || unparsed_.find(id) != unparsed_.end() ||
            data_.find(flip(id)) != data_.end() || unparsed_.find(flip(id)) != unparsed_.end();
 }
@@ -2663,7 +2663,7 @@ bool Conventions::has(const std::string& id, const Convention::Type& type) const
 }
 
 void Conventions::add(const boost::shared_ptr<Convention>& convention) const {
-    std::unique_lock<std::shared_mutex> lock(mutex_);
+    boost::unique_lock<boost::shared_mutex> lock(mutex_);
     const string& id = convention->id();
     QL_REQUIRE(data_.find(id) == data_.end(), "Convention already exists for id " << id);
     data_[id] = convention;

OREData/ored/configuration/conventions.hpp

@@ -36,8 +36,8 @@
 #include <qle/indexes/bmaindexwrapper.hpp>
 #include <qle/indexes/commodityindex.hpp>
 
-#include <shared_mutex>
-
+#include <boost/thread/shared_mutex.hpp>
+#include <boost/thread/lock_types.hpp>
 
 namespace ore {
 namespace data {
@@ -154,7 +154,7 @@ class Conventions : public XMLSerializable {
     mutable map<string, boost::shared_ptr<Convention>> data_;
     mutable map<string, std::pair<string, string>> unparsed_;
     mutable std::set<string> used_;
-    mutable std::shared_mutex mutex_;
+    mutable boost::shared_mutex mutex_;
 };
 
 //! Singleton to hold conventions
@@ -166,7 +166,7 @@ class InstrumentConventions : public QuantLib::Singleton<InstrumentConventions,
     InstrumentConventions() { conventions_[Date()] = boost::make_shared<ore::data::Conventions>(); }
 
     mutable std::map<QuantLib::Date, boost::shared_ptr<ore::data::Conventions>> conventions_;
-    mutable std::shared_mutex mutex_;
+    mutable boost::shared_mutex mutex_;
     mutable std::size_t numberOfEmittedWarnings_ = 0;
 
 public:

OREData/ored/configuration/curveconfigurations.cpp

@@ -135,7 +135,7 @@ void CurveConfigurations::parseNode(const CurveSpec::CurveType& type, const stri
                 configs_[type][curveId] = config;
                 unparsed_.at(type).erase(curveId);
             } catch (std::exception& ex) {
-                string err = "Curve config under node '" + to_string(type) + "was requested, but could not be parsed.";
+                string err = "Curve config under node '" + to_string(type) + " was requested, but could not be parsed.";
                 ALOG(StructuredCurveErrorMessage(curveId, err, ex.what()));
                 QL_FAIL(err);
             }

OREData/ored/configuration/equitycurveconfig.cpp

@@ -31,11 +31,12 @@ EquityCurveConfig::EquityCurveConfig(const string& curveID, const string& curveD
                                      const EquityCurveConfig::Type& type, const string& equitySpotQuote,
                                      const vector<string>& fwdQuotes, const string& dayCountID,
                                      const string& dividendInterpVariable, const string& dividendInterpMethod,
-                                     bool extrapolation, const QuantLib::Exercise::Type& exerciseStyle)
+                                     const bool dividendExtrapolation, const bool extrapolation,
+                                     const QuantLib::Exercise::Type& exerciseStyle)
     : CurveConfig(curveID, curveDescription), fwdQuotes_(fwdQuotes), forecastingCurve_(forecastingCurve),
-      currency_(currency), calendar_(calendar), type_(type), equitySpotQuoteID_(equitySpotQuote), dayCountID_(dayCountID),
-      divInterpVariable_(dividendInterpVariable), divInterpMethod_(dividendInterpMethod), extrapolation_(extrapolation),
-      exerciseStyle_(exerciseStyle) {
+      currency_(currency), calendar_(calendar), type_(type), equitySpotQuoteID_(equitySpotQuote), dayCountID_(dayCountID), 
+      divInterpVariable_(dividendInterpVariable), divInterpMethod_(dividendInterpMethod), dividendExtrapolation_(dividendExtrapolation), 
+      extrapolation_(extrapolation), exerciseStyle_(exerciseStyle) {
     quotes_ = fwdQuotes;
     quotes_.insert(quotes_.begin(), equitySpotQuote);
     populateRequiredCurveIds();
@@ -72,8 +73,8 @@ void EquityCurveConfig::fromXML(XMLNode* node) {
         divInterpVariable_ = "Zero";
         divInterpMethod_ = divInterpVariable_ == "Zero" ? "Linear" : "LogLinear";
     }
-
-    extrapolation_ = XMLUtils::getChildValueAsBool(node, "Extrapolation"); // defaults to true
+    dividendExtrapolation_ = XMLUtils::getChildValueAsBool(node, "DividendExtrapolation", false, false);
+    extrapolation_ = XMLUtils::getChildValueAsBool(node, "Extrapolation", false, false);
 
     if (type_ == Type::NoDividends) {
         QL_REQUIRE(fwdQuotes_.size() == 0,
@@ -105,6 +106,7 @@ XMLNode* EquityCurveConfig::toXML(XMLDocument& doc) {
         XMLUtils::addChild(doc, divInterpNode, "InterpolationVariable", divInterpVariable_);
         XMLUtils::addChild(doc, divInterpNode, "InterpolationMethod", divInterpMethod_);
     }
+    XMLUtils::addChild(doc, node, "DividendExtrapolation", dividendExtrapolation_);
     XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
 
     return node;

OREData/ored/configuration/equitycurveconfig.hpp

@@ -56,7 +56,7 @@ class EquityCurveConfig : public CurveConfig {
                       const string& currency, const string& calendar, const Type& type, const string& equitySpotQuote,
                       const vector<string>& quotes, const string& dayCountID = "",
                       const string& dividendInterpVariable = "Zero", const string& dividendInterpMethod = "Linear",
-                      bool extrapolation = true,
+                      const bool dividendExtrapolation = false, const bool extrapolation = false,
                       const QuantLib::Exercise::Type& exerciseStyle = QuantLib::Exercise::Type::European);
     //! Default constructor
     EquityCurveConfig() {}
@@ -78,6 +78,7 @@ class EquityCurveConfig : public CurveConfig {
     const string& dayCountID() const { return dayCountID_; }
     const string& dividendInterpolationVariable() const { return divInterpVariable_; }
     const string& dividendInterpolationMethod() const { return divInterpMethod_; }
+    bool dividendExtrapolation() const { return dividendExtrapolation_; }
     bool extrapolation() const { return extrapolation_; }
     const QuantLib::Exercise::Type exerciseStyle() const { return exerciseStyle_; }
     const vector<string>& fwdQuotes() { return fwdQuotes_; }
@@ -91,6 +92,7 @@ class EquityCurveConfig : public CurveConfig {
     string& dayCountID() { return dayCountID_; }
     string& dividendInterpolationVariable() { return divInterpVariable_; }
     string& dividendInterpolationMethod() { return divInterpMethod_; }
+    bool& dividendExtrapolation() { return dividendExtrapolation_; }
     bool& extrapolation() { return extrapolation_; }
     QuantLib::Exercise::Type& exerciseStyle() { return exerciseStyle_; }
 
@@ -110,6 +112,7 @@ class EquityCurveConfig : public CurveConfig {
     string dayCountID_;
     string divInterpVariable_;
     string divInterpMethod_;
+    bool dividendExtrapolation_;
     bool extrapolation_;
     QuantLib::Exercise::Type exerciseStyle_;
 };

OREData/ored/configuration/equityvolcurveconfig.cpp

@@ -29,27 +29,27 @@ namespace data {
 
 EquityVolatilityCurveConfig::EquityVolatilityCurveConfig(
     const string& curveID, const string& curveDescription, const string& currency,
-    const vector<boost::shared_ptr<VolatilityConfig>>& volatilityConfig, const string& dayCounter,
-    const string& calendar, const OneDimSolverConfig& solverConfig, const boost::optional<bool>& preferOutOfTheMoney)
+    const vector<boost::shared_ptr<VolatilityConfig>>& volatilityConfig, const string& equityId, 
+    const string& dayCounter, const string& calendar, const OneDimSolverConfig& solverConfig, 
+    const boost::optional<bool>& preferOutOfTheMoney)
     : CurveConfig(curveID, curveDescription), ccy_(currency), volatilityConfig_(volatilityConfig),
-      dayCounter_(dayCounter), calendar_(calendar), solverConfig_(solverConfig),
+      equityId_(equityId), dayCounter_(dayCounter), calendar_(calendar), solverConfig_(solverConfig),
       preferOutOfTheMoney_(preferOutOfTheMoney) {
     populateQuotes();
     populateRequiredCurveIds();
 }
 
-EquityVolatilityCurveConfig::EquityVolatilityCurveConfig(const string& curveID, const string& curveDescription,
-                                                         const string& currency,
-                                                         const boost::shared_ptr<VolatilityConfig>& volatilityConfig,
-                                                         const string& dayCounter, const string& calendar,
-                                                         const OneDimSolverConfig& solverConfig,
-                                                         const boost::optional<bool>& preferOutOfTheMoney)
+EquityVolatilityCurveConfig::EquityVolatilityCurveConfig(
+    const string& curveID, const string& curveDescription, const string& currency,
+    const boost::shared_ptr<VolatilityConfig>& volatilityConfig, const string& equityId,
+    const string& dayCounter, const string& calendar, const OneDimSolverConfig& solverConfig,
+    const boost::optional<bool>& preferOutOfTheMoney)
     : EquityVolatilityCurveConfig(curveID, curveDescription, currency,
-                                  std::vector<boost::shared_ptr<VolatilityConfig>>{volatilityConfig}, dayCounter,
-                                  calendar, solverConfig, preferOutOfTheMoney) {}
+        std::vector<boost::shared_ptr<VolatilityConfig>>{volatilityConfig}, equityId, dayCounter, 
+        calendar, solverConfig, preferOutOfTheMoney) {}
 
 const string EquityVolatilityCurveConfig::quoteStem(const string& volType) const {
-    return "EQUITY_OPTION/" + volType + "/" + curveID_ + "/" + ccy_ + "/";
+    return "EQUITY_OPTION/" + volType + "/" + equityId() + "/" + ccy_ + "/";
 }
 
 void EquityVolatilityCurveConfig::populateQuotes() {
@@ -97,6 +97,7 @@ void EquityVolatilityCurveConfig::fromXML(XMLNode* node) {
 
     curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
     curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
+    equityId_ = XMLUtils::getChildValue(node, "EquityId", false);
     ccy_ = XMLUtils::getChildValue(node, "Currency", true);
 
     calendar_ = XMLUtils::getChildValue(node, "Calendar", false);
@@ -138,13 +139,13 @@ void EquityVolatilityCurveConfig::fromXML(XMLNode* node) {
                        "Dimension ATM, but multiple strikes provided for EquityVolatility " << curveID_);
             // if ATM create VolatilityCurveConfig which requires quotes to be provided
             vector<string> quotes(expiries.size());
-            string quoteStem = "EQUITY_OPTION/RATE_LNVOL/" + curveID_ + "/" + ccy_ + "/";
+            string stem = quoteStem("RATE_LNVOL");
             if (expiries.size() == 1 && expiries.front() == "*") {
-                quotes[0] = (quoteStem + "*");
+                quotes[0] = (stem + "*");
             } else {
                 Size i = 0;
                 for (auto ex : expiries) {
-                    quotes[i] = (quoteStem + ex + "/ATMF");
+                    quotes[i] = (stem + ex + "/ATMF");
                     i++;
                 }
             }
@@ -178,6 +179,7 @@ XMLNode* EquityVolatilityCurveConfig::toXML(XMLDocument& doc) {
 
     XMLUtils::addChild(doc, node, "CurveId", curveID_);
     XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
+    XMLUtils::addChild(doc, node, "EquityId", equityId_);
     XMLUtils::addChild(doc, node, "Currency", ccy_);
     XMLUtils::addChild(doc, node, "DayCounter", dayCounter_);