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Handle missing base discount curve and log once #47

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Handle missing base discount curve and log once #47

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20 changes: 16 additions & 4 deletions OREData/ored/portfolio/cashflowutils.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -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>
Expand Down Expand Up @@ -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");
Expand Down Expand Up @@ -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>()) {
Expand Down
20 changes: 16 additions & 4 deletions OREData/ored/portfolio/trade.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -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>
Expand Down Expand Up @@ -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()) {
Expand All @@ -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();
Expand All @@ -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;
}
Expand Down