Some issues with Pnl and PnlExplain

[noonediesalone]

Hi,

Here are issues found on PNL analytic when using OREApp from inputs:

• mporConventions is set when loading from parameters in OREAppInputParameters::loadParameters() but when loading from inputs they need to be restored in the singleton. A trivial patch is here 2ec67e1#diff-fc7fe4cb9eb88b19791d900766cf3d2572bb75d34e9f2af231d328fbb48f5b12, to make room for a Conventions and then set it from OREApp::initFromInputs();
• on fixings, this parameter fixingCutoff was introduced and is used in OREApp::buildCsvLoader , but is used only when having parameters. When using inputs, is using MarketDataInMemoryLoaderImpl which calls loadDataFromBuffers and eventually loads fixings up to today (date < today || (date == today && !implyTodaysFixings)) in contrast to CSVLoader::loadFile where we have this extra || (fixingCutOffDate_ != Date() && date <= fixingCutOffDate_). This is pretty relevant because we need fixings of the PNL period otherwise alert of missing fixing is emitted.

For PNL_EXPLAIN with PAR sensitivity. Using example in MarketRisk\Input\ore_pnlexplain_par.xml:

• The SensitivityAnalysis flag UseSpreadedTermStructures has to be enabled (in MarketRisk\Input\Pnl\sensitivity.xml). Otherwise we get alert addDifferenceToScenario(): second argument must be difference scenario which comes from this zeroScenarios->setGenerateDifferenceScenarios(t0SimMarket->useSpreadedTermStructures());
• The list of ShiftTenors (in sensitivity.xml) has to be identical to YieldCurves\Configuration\Tenors (in simulation.xml). For example, if we remove 30Y from simulation we get alert getDifferenceScenario(): scenario key sets are not compatible.. A workaround for this is to set in the simulation a separate list of tenors for each curve, e.g. <Configuration curve="USD-FedFunds"> <Tenors>2W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 15Y, 20Y, 30Y</Tenors> </Configuration>
• A similar issue would be when in sensitivity we have a scenario to which there is no computed sensitivity, e.g. a warning emitted like this Setting Diagonal Sensi DiscountCurve/EUR/2 w.r.t. DiscountCurve/EUR/2 to 0.01 (got 0) which will lead to the same alert getDifferenceScenario(): scenario key sets are not compatible.. There is no sensible workaround for this because you don't know in advance to which market factors you'll be sensitive.

Thank you,
Laurentiu.