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Dear All!
As I'm using the alerts to signal/notify immediately actionable issues with the calculation run (results are wrong/not as expected), I'd like to ask for a change of this ALOG to WLOG, as in my opinion this doesn't constitute a condition that leads to wrong/unexpected results.
The removal is expectable (and reasonable!), so it should only be a warning.
void Portfolio::removeMatured(const Date& asof) {
for (auto it = trades_.begin(); it != trades_.end(); /* manual */) {
if ((*it).second->maturity() <= asof) {
ALOG(StructuredTradeErrorMessage((*it).second, "", "Trade is Matured"));
it=trades_.erase(it);
} else {
++it;
}
}
}
Also in OREAnalytics\orea\scenario\scenariosimmarketparameters.cpp please also change the ALOGs to WLOGs
if(!ccys.empty()) {
keys.insert(keys.end(), ccys.begin(), ccys.end());
ALOG("ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.");
}
....
if (!ccyAttr.empty()) {
key = ccyAttr;
ALOG("ScenarioSimMarketParameters: SwaptionVolatilities/Expiries: 'ccy' attribute is deprecated, "
"use 'key' instead.");
}
Please also add information that not only the "Currencies" element should be changed to "Keys" but also the contained "Currency" elements to "Key", e.g. WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Currencies/Currency is deprecated, use SwaptionVolatilities/Keys/Key instead.");
This avoids some irritation.
In OREAnalytics\orea\app\analytics\xvaanalytic.cpp the alert also should regard the number of removed matured trades, as this is only useful to warn from accidental "losses" (by errors in trades):
if (newPortfolio->size() < inputs_->portfolio()->size()) {
ALOG("input portfolio size is " << inputs_->portfolio()->size() <<
", but we have built only " << newPortfolio->size() << " trades");
}
-regards,
Roland
The text was updated successfully, but these errors were encountered:
rkapl123
changed the title
change ALOG to WLOG in Portfolio::removeMatured
change ALOG to WLOG in some places
Jan 22, 2024
I've created a PR for that in #216 . Concerning the trade removal message, I'm not sure, this is now a StructuredTradeErrorMessage, being thus on the same level with failed parsing from XML. I still don't think that this deserves such a strong error message, but removing trades needs other treatment as well (see above).
I've also changed the structured trade error to a warning now as I think this doesn't deserve an alert. There is still the alert at the end of the analyses, when the portfolio sizes are compared, but this is more complicated.
Dear All!
As I'm using the alerts to signal/notify immediately actionable issues with the calculation run (results are wrong/not as expected), I'd like to ask for a change of this ALOG to WLOG, as in my opinion this doesn't constitute a condition that leads to wrong/unexpected results.
The removal is expectable (and reasonable!), so it should only be a warning.
Also in OREAnalytics\orea\scenario\scenariosimmarketparameters.cpp please also change the ALOGs to WLOGs
Please also add information that not only the "Currencies" element should be changed to "Keys" but also the contained "Currency" elements to "Key", e.g.
WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Currencies/Currency is deprecated, use SwaptionVolatilities/Keys/Key instead.");
This avoids some irritation.
In OREAnalytics\orea\app\analytics\xvaanalytic.cpp the alert also should regard the number of removed matured trades, as this is only useful to warn from accidental "losses" (by errors in trades):
-regards,
Roland
The text was updated successfully, but these errors were encountered: