Merge branch 'master' into 'master'

update from master

See merge request qs/ore-github!11

Author: pcaspers

.github/workflows/linux_build.yaml

@@ -31,7 +31,7 @@ jobs:
     - name: Set up Boost
       run: |
         sudo apt update
-        sudo apt install -y libboost-all-dev libboost-test-dev
+        sudo apt install -y libboost-all-dev libboost-test-dev ninja-build
     - name: cmake configure
       run : mkdir build; cd build; cmake -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -G "Ninja" ..
     - name: cmake build

Docs/UserGuide/userguide.tex

@@ -17,3 +17,4 @@
 5) Run Example
 
    python run.py
+

Examples/Example_8/Readme.txt

@@ -36,7 +36,12 @@ def __init__(self, dry=False):
         self.dry = dry
         self.ax = None
         self.plot_name = ""
-        self._locate_ore_exe()
+        if 'ORE_EXAMPLES_USE_PYTHON' in os.environ.keys():
+            self.use_python = os.environ['ORE_EXAMPLES_USE_PYTHON']=="1"
+            self.ore_exe = ""
+        else:
+            self.use_python = False
+            self._locate_ore_exe()
 
     def _locate_ore_exe(self):
         if os.name == 'nt':
@@ -262,7 +267,11 @@ def save_plot_to_file(self, subdir="Output"):
 
     def run(self, xml):
         if not self.dry:
-            if subprocess.call([self.ore_exe, xml]) != 0:
+            if(self.use_python):
+                res = subprocess.call([sys.executable, os.path.join(os.pardir, "ore_wrapper.py"), xml])
+            else:
+                res = subprocess.call([self.ore_exe, xml])
+            if res != 0:
                 raise Exception("Return Code was not Null.")
 
     def run_plus(self, xml):

Examples/ore_examples_helper.py

@@ -0,0 +1,22 @@
+"""
+ Copyright (C) 2023 Quaternion Risk Management Ltd
+ All rights reserved.
+"""
+
+import os
+import argparse
+import ORE
+
+if __name__ == "__main__":
+    print("ORE Python Interface")
+    parser = argparse.ArgumentParser(prog="ORE Python interface")
+    parser.add_argument('path_to_ore_xml', default=".\Input\ore.xml")
+    args = parser.parse_args()
+    print ("Loading parameters...")
+    params = ORE.Parameters()
+    params.fromFile(args.path_to_ore_xml)
+    print ("Creating OREApp...")
+    ore = ORE.OREApp(params, True)
+    print ("Running ORE process...");
+    ore.run()
+    print ("Running ORE process done");

Examples/ore_wrapper.py

@@ -175,6 +175,10 @@ void CrifLoader::add(CrifRecord cr, const bool onDiffAmountCcy) {
                     it->amount += cr.amount;
                     updated = true;
                 }
+                if (cr.hasAmountResultCcy() && cr.hasResultCcy() && it->resultCurrency == cr.resultCurrency) {
+                    it->amountResultCcy += cr.amountResultCcy;
+                    updated = true;
+                }
                 if (updated)
                     DLOG("Updated net CRIF records: " << cr);
             } else if (it->riskType == RiskType::AddOnNotionalFactor ||
@@ -210,6 +214,10 @@ void CrifLoader::add(CrifRecord cr, const bool onDiffAmountCcy) {
                 it->amount += cr.amount;
                 updated = true;
             }
+            if (cr.hasAmountResultCcy() && cr.hasResultCcy() && it->resultCurrency == cr.resultCurrency) {
+                it->amountResultCcy += cr.amountResultCcy;
+                updated = true;
+            }
             if (updated)
                 DLOG("Updated net CRIF records: " << cr);
         } else {
@@ -559,7 +567,9 @@ void CrifLoader::fillAmountUsd(const boost::shared_ptr<ore::data::Market> market
                 if (!cr.hasAmount() || !cr.hasAmountCcy()) {
                     WLOG(ore::data::StructuredTradeWarningMessage(
                         cr.tradeId, cr.tradeType, "Populating CRIF amount USD",
-                        "CRIF record is missing one of Amount and AmountCurrency: " + to_string(cr)));
+                        "CRIF record is missing one of Amount and AmountCurrency, and there is no amountUsd value to "
+                        "fall back to: " +
+                            to_string(cr)));
                 } else {
                     Real usdSpot = market->fxRate(cr.amountCurrency + "USD")->value();
                     cr.amountUsd = cr.amount * usdSpot;

OREAnalytics/orea/simm/crifloader.cpp

@@ -57,6 +57,10 @@ struct CrifRecord {
     std::string amountCurrency;
     mutable QuantLib::Real amount = QuantLib::Null<QuantLib::Real>();
     mutable QuantLib::Real amountUsd = QuantLib::Null<QuantLib::Real>();
+    
+    // additional fields used exclusively by the SIMM calculator for handling amounts converted in a given result ccy
+    std::string resultCurrency;
+    mutable QuantLib::Real amountResultCcy = QuantLib::Null<QuantLib::Real>();
 
     // optional data
     std::string tradeType;
@@ -102,6 +106,8 @@ struct CrifRecord {
     bool hasAmountCcy() const { return !amountCurrency.empty(); }
     bool hasAmount() const { return amount != QuantLib::Null<QuantLib::Real>(); }
     bool hasAmountUsd() const { return amountUsd != QuantLib::Null<QuantLib::Real>(); }
+    bool hasResultCcy() const { return !resultCurrency.empty(); }
+    bool hasAmountResultCcy() const { return amountResultCcy != QuantLib::Null<QuantLib::Real>(); }
 
     // We use (and require) amountUsd for all risk types except for SIMM parameters AddOnNotionalFactor and
     // ProductClassMultiplier as these are multipliers and not amounts denominated in the amountCurrency