Julien Musset

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

12

true how to reproduce: - change value date to any date strictly after after the last settlement date result: - cashflow table is empty expected result: - return the past...

in Scripted Trade, add the fixing date in the cashfow information

1

For scripted trades, it looks like the LOGPAY function does not report the fixing date is the cashflow information From my testing in in c++, the field cf.fixingDate is empty,...

I can successfully build ORE on mac with cmake and QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN=OFF. When QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN=ON, I am getting the following error: **In file included from /Users/quantthingy/SoftDev/ore_releases/Engine-1.8.12.1/QuantExt/qle/indexes/compoequityindex.cpp:19:** In file included from /Users/quantthingy/SoftDev/ore_releases/Engine-1.8.12.1/QuantExt/qle/indexes/compoequityindex.hpp:26: In...

Some small changes to make the PnL Explained report more inline with usual market practices in a multi asset environment: **Changes** - ScenarioPnl -> PnLExplained - move Theta into the...

How to reproduce: Version: master Create a Portfolio with one ScriptedTrade Product with 3 equities as underlyings. **When asking for "npv", the correlations are read correctly** NOTICE [2025-Aug-10 12:47:37.806521] (OREAnalytics/orea/app/reportwriter.cpp:70)...