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Handle missing base discount curve and log once#47

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oszette wants to merge 1 commit into
16-developmentfrom
dont-force-base-ccy-discountcurve
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Handle missing base discount curve and log once#47
oszette wants to merge 1 commit into
16-developmentfrom
dont-force-base-ccy-discountcurve

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@oszette

@oszette oszette commented Jun 12, 2026

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ORE v16 force you to send in a discount curve in base currency to generate flows.csv (in this commit). We could of course also change VL s.t. you always send in a base currency discount curve, but I guess that would need to be a hardcoded list per source per currency, or something.

Add robust handling for missing base discount curves during cashflow report generation. Both cashflowutils.cpp and trade.cpp now include the logging header and use a missingBaseDiscountCurveLogged flag to emit a single DLOG entry when the base discount curve cannot be retrieved. Retrievals of the base discount curve are wrapped in try/catch blocks so cashflow processing continues with null discount factors instead of throwing. Also add a pay-date null check before attempting base curve lookup and adjust the baseDiscountCurve type/usage when constructing indexed coupon objects.
@oszette oszette requested review from NickEU and gbfredrik June 12, 2026 13:56
@oszette oszette self-assigned this Jun 12, 2026
@oszette oszette requested a review from wilsoniumite June 12, 2026 13:57
@oszette oszette closed this Jun 12, 2026
@oszette oszette deleted the dont-force-base-ccy-discountcurve branch June 12, 2026 13:59
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