Skip to content

mirror notional payment lag from coupon payment lag #277

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
Borgomi42 wants to merge 4 commits into
base: master
Choose a base branch
from
Open

mirror notional payment lag from coupon payment lag #277

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
4 commits
Select commit Hold shift + click to select a range
2670e86
added missing information on the curveID in the wildcarding as needed…
Oct 25, 2024
3822337
align the payment lag of the notional with the payment of the coupon …
Nov 1, 2024
ebb6480
adjust payment calendar to the schedule calendar to avoid the first b…
Nov 1, 2024
81bf79d
fixed the case with empty schedule rules
Nov 13, 2024
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
2 changes: 1 addition & 1 deletion OREData/ored/marketdata/yieldcurve.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -1118,7 +1118,7 @@ void YieldCurve::buildDiscountCurve() {
marketData = loader_.get(*wildcard, asofDate_);
} else {
std::ostringstream ss;
ss << MarketDatum::InstrumentType::DISCOUNT << "/" << MarketDatum::QuoteType::RATE << "/" << currency_ << "/*";
ss << MarketDatum::InstrumentType::DISCOUNT << "/" << MarketDatum::QuoteType::RATE << "/" << currency_ << "/" << curveConfig_->curveID() << "/*";
Wildcard w(ss.str());
marketData = loader_.get(w, asofDate_);
}
Expand Down
11 changes: 10 additions & 1 deletion OREData/ored/portfolio/legdata.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -764,7 +764,7 @@ void LegData::fromXML(XMLNode* node) {
dayCounter_ = XMLUtils::getChildValue(node, "DayCounter"); // optional
paymentConvention_ = XMLUtils::getChildValue(node, "PaymentConvention");
paymentLag_ = XMLUtils::getChildValue(node, "PaymentLag");
notionalPaymentLag_ = XMLUtils::getChildValue(node, "NotionalPaymentLag");
notionalPaymentLag_ = XMLUtils::getChildValue(node, "NotionalPaymentLag", false, paymentLag_);
paymentCalendar_ = XMLUtils::getChildValue(node, "PaymentCalendar", false);
// if not given, default of getChildValueAsBool is true, which fits our needs here
notionals_ = XMLUtils::getChildrenValuesWithAttributes<Real>(node, "Notionals", "Notional", "startDate",
Expand Down Expand Up @@ -813,6 +813,15 @@ void LegData::fromXML(XMLNode* node) {
if (auto tmp = XMLUtils::getChildNode(node, "ScheduleData"))
schedule_.fromXML(tmp);

// set payment calendar equal to the schedule calendar if the payment calendar not given
// otherwise the payment calendar is not set and payments of notional can happen before the interest payments
if (paymentCalendar_.empty() && !schedule_.rules().empty()) {
auto tmp = schedule_.rules().front().calendar();
if (!tmp.empty()) {
paymentCalendar_ = tmp;
}
}

paymentDates_ = XMLUtils::getChildrenValues(node, "PaymentDates", "PaymentDate", false);
if (!paymentDates_.empty()) {
WLOG("Usage of PaymentDates is deprecated, use PaymentSchedule instead.");
Expand Down