From 6569bae1aac84dbb4fc6917d29acb2ab65818dd7 Mon Sep 17 00:00:00 2001
From: Zetterberg <119352036+oszette@users.noreply.github.com>
Date: Fri, 12 Jun 2026 15:50:40 +0200
Subject: [PATCH] Handle missing base discount curve and log once

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.
---
 OREData/ored/portfolio/cashflowutils.cpp | 20 ++++++++++++++++----
 OREData/ored/portfolio/trade.cpp         | 20 ++++++++++++++++----
 2 files changed, 32 insertions(+), 8 deletions(-)

diff --git a/OREData/ored/portfolio/cashflowutils.cpp b/OREData/ored/portfolio/cashflowutils.cpp
index 963d67a0b1..61a3deac1c 100644
--- a/OREData/ored/portfolio/cashflowutils.cpp
+++ b/OREData/ored/portfolio/cashflowutils.cpp
@@ -23,6 +23,7 @@
 
 #include <ored/portfolio/cashflowutils.hpp>
 #include <ored/utilities/indexnametranslator.hpp>
+#include <ored/utilities/log.hpp>
 #include <ored/utilities/to_string.hpp>
 
 #include <qle/cashflows/averageonindexedcoupon.hpp>
@@ -62,6 +63,7 @@ void populateReportDataFromAdditionalResults(std::vector<TradeCashflowReportData
                                              const std::string& configuration, const bool includePastCashflows) {
 
     Date asof = Settings::instance().evaluationDate();
+    bool missingBaseDiscountCurveLogged = false;
 
     // ensures all cashFlowResults from composite trades are being accounted for
     auto lower = addResults.lower_bound("cashFlowResults");
@@ -107,10 +109,20 @@ void populateReportDataFromAdditionalResults(std::vector<TradeCashflowReportData
                     specificDiscountCurve.empty() ? market->discountCurve(ccy, configuration) : specificDiscountCurve;
                 discountFactor = cf.payDate < asof ? 0.0 : discountCurve->discount(cf.payDate);
             }
-            if (ccy != baseCurrency) {                
-                auto baseDiscountCurve = specificDiscountCurve.empty() ? market->discountCurve(baseCurrency, configuration) : specificDiscountCurve;
-                discountFactorBase = cf.payDate < asof ? 0.0 : baseDiscountCurve->discount(cf.payDate);
-            } 
+            if (ccy != baseCurrency && cf.payDate != Null<Date>()) {
+                try {
+                    auto baseDiscountCurve =
+                        specificDiscountCurve.empty() ? market->discountCurve(baseCurrency, configuration) : specificDiscountCurve;
+                    discountFactorBase = cf.payDate < asof ? 0.0 : baseDiscountCurve->discount(cf.payDate);
+                } catch (std::exception& e) {
+                    if (!missingBaseDiscountCurveLogged) {
+                        DLOG("Could not retrieve base discount curve for cashflow report (base currency "
+                             << baseCurrency << ", configuration " << configuration
+                             << "). DiscountFactor(Base) will be left null. Details: " << e.what());
+                        missingBaseDiscountCurveLogged = true;
+                    }
+                }
+            }
             if (cf.presentValue != Null<Real>()) {
                 presentValue = cf.presentValue * multiplier;
             } else if (effectiveAmount != Null<Real>() && discountFactor != Null<Real>()) {
diff --git a/OREData/ored/portfolio/trade.cpp b/OREData/ored/portfolio/trade.cpp
index 6e0a1a39bf..e195aa457f 100644
--- a/OREData/ored/portfolio/trade.cpp
+++ b/OREData/ored/portfolio/trade.cpp
@@ -19,6 +19,7 @@
 #include <ored/portfolio/structuredtradewarning.hpp>
 #include <ored/portfolio/trade.hpp>
 #include <ored/utilities/indexnametranslator.hpp>
+#include <ored/utilities/log.hpp>
 #include <ored/utilities/marketdata.hpp>
 #include <ored/utilities/to_string.hpp>
 #include <ored/portfolio/cashflowutils.hpp>
@@ -449,6 +450,7 @@ std::vector<TradeCashflowReportData> Trade::cashflows(const std::string& baseCur
     // add cashflows from trade legs, if no cashflows were added so far or if a leg is marked as mandatory for cashflows
 
     bool haveEngineCashflows = !result.empty();
+    bool missingBaseDiscountCurveLogged = false;
     for (size_t i = 0; i < legs().size(); i++) {
         Trade::LegCashflowInclusion cashflowInclusion = Trade::LegCashflowInclusion::IfNoEngineCashflows;
         if (auto incl = legCashflowInclusion().find(i); incl != legCashflowInclusion().end()) {
@@ -465,10 +467,20 @@ std::vector<TradeCashflowReportData> Trade::cashflows(const std::string& baseCur
         string ccy = legCurrencies()[i];
 
         Handle<YieldTermStructure> discountCurve = specificDiscountCurve;
-        if (discountCurve.empty()) 
+        if (discountCurve.empty())
             discountCurve = market->discountCurve(ccy, configuration);
-            
-        Handle<YieldTermStructure> baseDiscountCurve = market->discountCurve(baseCurrency, configuration);
+
+        QuantLib::ext::shared_ptr<YieldTermStructure> baseDiscountCurve;
+        try {
+            baseDiscountCurve = *market->discountCurve(baseCurrency, configuration);
+        } catch (std::exception& e) {
+            if (!missingBaseDiscountCurveLogged) {
+                DLOG("Could not retrieve base discount curve for cashflow report (base currency "
+                     << baseCurrency << ", configuration " << configuration
+                     << "). Base discount factor column will be left null where required. Details: " << e.what());
+                missingBaseDiscountCurveLogged = true;
+            }
+        }
 
         auto fxRateCcyBase = market->fxRate(npvCurrency_ + baseCurrency, configuration)->value();
         auto fxRateLocalCcy = market->fxRate(ccy + npvCurrency_, configuration)->value();
@@ -487,7 +499,7 @@ std::vector<TradeCashflowReportData> Trade::cashflows(const std::string& baseCur
                     [&market, &configuration](const std::string qualifier) {
                         return *market->capFloorVol(qualifier, configuration);
                     },
-                    std::string(), Null<Real>(), *baseDiscountCurve));
+                    std::string(), Null<Real>(), baseDiscountCurve));
                 result.back().cashflowNo = j + 1;
                 result.back().legNo = i + legNoOffset;
             }