Merge branch 'feature/QPR-13659' into 'master'

Resolve QPR-13659 Start Delay for inflation swaps conventions

Closes QPR-13659

See merge request qs/oreplus!3096

Author: damienbarker

Docs/UserGuide/parameterisation/conventions.tex

@@ -641,6 +641,8 @@ \subsubsection{Inflation Swap Conventions}
   <AdjustInflationObservationDates>false</AdjustInflationObservationDates>
   <InflationCalendar>TARGET</InflationCalendar>
   <InflationConvention>MF</InflationConvention>
+  <StartDelay>2</StartDelay>
+  <StartDelayConvention>Following</StartDelayConvention>
 </InflationSwap>
 \end{minted}
 \caption{Inflation swap conventions}
@@ -659,6 +661,8 @@ \subsubsection{Inflation Swap Conventions}
 \item \lstinline!AdjustInflationObservationDates!: Flag indicating whether index observation dates should be adjusted or not.
 \item \lstinline!InflationCalendar!: The calendar for the inflation leg of the swap.
 \item \lstinline!InflationConvention!: The rolling convention for the inflation leg of the swap.
+\item \lstinline!StartDelay!: [Optional] The inflation swap starts n business days after today, defaults to zero if omitted.
+\item \lstinline!StartDelayConvention!: [Optional] BusinessDayConvention to adjust the start day, defaults to Following if omitted.
 
 \item \lstinline!PublicationRoll!:
 This is an optional node taking the values \lstinline!None!, \lstinline!OnPublicationDate! or \lstinline!AfterPublicationDate!. If omitted, the value \lstinline!None! is used. Currently, our only known use case for a value other than \lstinline!None! is for Australian zero coupon inflation indexed swaps (ZCIIS). Here, the index is published quarterly on the last Wednesday of the month following the end of the reference quarter. The start date and maturity date of the market quoted ZCIIS roll to the next quarterly date after the publication date of the index. For example, the AU CPI value for Q3 2020, i.e.\ 1 Jul 2020 to 30 Sep 2020 was released on 28 Oct 2020. On 27 Oct 2020, before the index publication date, the market 5Y ZCIIS would start on 15 Sep 2020 and end on 15 Sep 2025 and reference the Q2 inflation index value. On 29 Oct 2020, after the index publication date, the market 5Y ZCIIS would start on 15 Dec 2020 and end on 15 Dec 2025 and reference the Q3 inflation index value. On the release date, i.e. 28 Oct 2020, the market ZCIIS that is set up is determined by whether the \lstinline!PublicationRoll! value is \lstinline!OnPublicationDate! or \lstinline!AfterPublicationDate!. If it is set to \lstinline!OnPublicationDate!, the swap rolls on this date and hence the market 5Y ZCIIS would start on 15 Dec 2020 and end on 15 Dec 2025 and reference the Q3 inflation index value. If it is set to \lstinline!AfterPublicationDate!, the swap does not roll on the publication date and instead rolls on the next day, and hence the market 5Y ZCIIS would start on 15 Sep 2020 and end on 15 Sep 2025 and reference the Q2 inflation index value. The publication schedule for the index must be provided in the \lstinline!PublicationSchedule! node if \lstinline!PublicationRoll! is not \lstinline!None!. An example of the AU CPI conventions set up is given in Listing \ref{lst:aucpi_inflation_conventions}.

OREData/ored/configuration/conventions.cpp

@@ -1313,7 +1313,6 @@ void CdsConvention::fromXML(XMLNode* node) {
     strPaysAtDefaultTime_ = XMLUtils::getChildValue(node, "PaysAtDefaultTime", true);
     strUpfrontSettlementDays_ = XMLUtils::getChildValue(node, "UpfrontSettlementDays", false);
     strLastPeriodDayCounter_ = XMLUtils::getChildValue(node, "LastPeriodDayCounter", false);
-
     build();
 }
 
@@ -1366,6 +1365,8 @@ void InflationSwapConvention::build() {
     adjustInfObsDates_ = parseBool(strAdjustInfObsDates_);
     infCalendar_ = parseCalendar(strInfCalendar_);
     infConvention_ = parseBusinessDayConvention(strInfConvention_);
+    startDelayConvention_ =
+        strStartDelayConvention_.empty() ? Following : parseBusinessDayConvention(strStartDelayConvention_);
     if (publicationRoll_ != PublicationRoll::None) {
         QL_REQUIRE(publicationScheduleData_, "Publication roll is " << publicationRoll_ << " for " << id() <<
             " so expect non-null publication schedule data.");
@@ -1389,7 +1390,9 @@ void InflationSwapConvention::fromXML(XMLNode* node) {
     strAdjustInfObsDates_ = XMLUtils::getChildValue(node, "AdjustInflationObservationDates", true);
     strInfCalendar_ = XMLUtils::getChildValue(node, "InflationCalendar", true);
     strInfConvention_ = XMLUtils::getChildValue(node, "InflationConvention", true);
-
+    startDelay_ = XMLUtils::getChildValueAsInt(node, "StartDelay", false, 0);
+    strStartDelayConvention_ = XMLUtils::getChildValue(node, "StartDelayConvention", false);
+    
     publicationRoll_ = PublicationRoll::None;
     if (XMLNode* n = XMLUtils::getChildNode(node, "PublicationRoll")) {
         publicationRoll_ = parseInflationSwapPublicationRoll(XMLUtils::getNodeValue(n));
@@ -1419,7 +1422,12 @@ XMLNode* InflationSwapConvention::toXML(XMLDocument& doc) const {
     XMLUtils::addChild(doc, node, "AdjustInflationObservationDates", strAdjustInfObsDates_);
     XMLUtils::addChild(doc, node, "InflationCalendar", strInfCalendar_);
     XMLUtils::addChild(doc, node, "InflationConvention", strInfConvention_);
-
+    if (startDelay_ != 0) {
+        XMLUtils::addChild(doc, node, "StartDelay", startDelay_);
+    }
+    if (!strStartDelayConvention_.empty()) {
+        XMLUtils::addChild(doc, node, "StartDelayConvention", strStartDelayConvention_);
+    }
     if (publicationRoll_ != PublicationRoll::None) {
         XMLUtils::addChild(doc, node, "PublicationRoll", to_string(publicationRoll_));
         QL_REQUIRE(publicationScheduleData_, "PublicationRoll is " << publicationRoll_ << " for "

OREData/ored/configuration/conventions.hpp

@@ -1157,7 +1157,7 @@ class InflationSwapConvention : public Convention {
     InflationSwapConvention(const string& id, const string& strFixCalendar, const string& strFixConvention,
                             const string& strDayCounter, const string& strIndex, const string& strInterpolated,
                             const string& strObservationLag, const string& strAdjustInfObsDates,
-                            const string& strInfCalendar, const string& strInfConvention,
+                            const string& strInfCalendar, const string& strInfConvention, 
                             PublicationRoll publicationRoll = PublicationRoll::None,
                             const QuantLib::ext::shared_ptr<ScheduleData>& publicationScheduleData = nullptr);
 
@@ -1173,6 +1173,8 @@ class InflationSwapConvention : public Convention {
     BusinessDayConvention infConvention() const { return infConvention_; }
     PublicationRoll publicationRoll() const { return publicationRoll_; }
     const Schedule& publicationSchedule() const { return publicationSchedule_; }
+    int startDelay() const { return startDelay_; }
+    BusinessDayConvention startDelayConvention() const { return startDelayConvention_; }    
 
     virtual void fromXML(XMLNode* node) override;
     virtual XMLNode* toXML(XMLDocument& doc) const override;
@@ -1189,6 +1191,8 @@ class InflationSwapConvention : public Convention {
     Calendar infCalendar_;
     BusinessDayConvention infConvention_;
     Schedule publicationSchedule_;
+    int startDelay_ = 0;
+    BusinessDayConvention startDelayConvention_ = BusinessDayConvention::Following;
 
     // Store the inputs
     string strFixCalendar_;
@@ -1200,6 +1204,8 @@ class InflationSwapConvention : public Convention {
     string strAdjustInfObsDates_;
     string strInfCalendar_;
     string strInfConvention_;
+    string strStartDelayConvention_;
+    
     PublicationRoll publicationRoll_;
     QuantLib::ext::shared_ptr<ScheduleData> publicationScheduleData_;
 };

OREData/ored/utilities/inflationstartdate.cpp

@@ -27,24 +27,29 @@ using QuantLib::Days;
 std::pair<QuantLib::Date, QuantLib::Period> getStartAndLag(const QuantLib::Date& asof,
                                                            const InflationSwapConvention& conv) {
 
+    Date adjustedAsOf = asof;
+    if (conv.startDelay() != 0) {
+        adjustedAsOf = conv.fixCalendar().advance(asof, conv.startDelay() * Days, conv.startDelayConvention());
+    }
+
     using IPR = InflationSwapConvention::PublicationRoll;
 
     // If no roll schedule, just return (as of, convention's obs lag).
     if (conv.publicationRoll() == IPR::None) {
-        return make_pair(asof, Period());
+        return make_pair(adjustedAsOf, Period());
     }
 
     // If there is a publication roll, call getStart to retrieve the date.
-    Date d = getInflationSwapStart(asof, conv);
+    Date d = getInflationSwapStart(adjustedAsOf, conv);
 
     // Date in inflation period related to the inflation index value.
     Date dateInPeriod = d - Period(conv.index()->frequency());
 
-    // Find period between dateInPeriod and asof. This will be the inflation curve's obsLag.
-    QL_REQUIRE(dateInPeriod < asof, "InflationCurve: expected date in inflation period ("
-                                        << io::iso_date(dateInPeriod) << ") to be before the as of date ("
-                                        << io::iso_date(asof) << ").");
-    Period curveObsLag = (asof - dateInPeriod) * Days;
+    // Find period between dateInPeriod and adjustedAsOf. This will be the inflation curve's obsLag.
+    QL_REQUIRE(dateInPeriod < adjustedAsOf, "InflationCurve: expected date in inflation period ("
+                                                << io::iso_date(dateInPeriod) << ") to be before the as of date ("
+                                                << io::iso_date(adjustedAsOf) << ").");
+    Period curveObsLag = (adjustedAsOf - dateInPeriod) * Days;
 
     return make_pair(d, curveObsLag);
 }

OREData/ored/utilities/inflationstartdate.hpp

@@ -33,9 +33,8 @@ namespace data {
 // convention. In general, we take this simply to be (as of date, Period()). However, for AU CPI for
 // example, this is more complicated and we need to account for this here if the inflation swap conventions provide
 // us with a publication schedule and tell us to roll on that schedule.
-std::pair<QuantLib::Date, QuantLib::Period> getStartAndLag(const QuantLib::Date& asof,
-                                                           const InflationSwapConvention& conv);
-
+std::pair<QuantLib::Date, QuantLib::Period>
+getStartAndLag(const QuantLib::Date& asof, const InflationSwapConvention& conv);
 
 QuantLib::Date getInflationSwapStart(const QuantLib::Date& asof, const InflationSwapConvention& conv);
 

xsd/conventions.xsd

@@ -293,6 +293,8 @@
       <xs:element type="businessDayConvention" name="InflationConvention" minOccurs="1" maxOccurs="1"/>
       <xs:element type="publicationRoll" name="PublicationRoll" minOccurs="0" maxOccurs="1"/>
       <xs:element type="scheduleData" name="PublicationSchedule" minOccurs="0" maxOccurs="1"/>
+      <xs:element type="xs:string" name="StartDelay" minOccurs="0" maxOccurs="1"/>
+      <xs:element type="businessDayConvention" name="StartDelayConvention" minOccurs="0" maxOccurs="1"/>
     </xs:all>
   </xs:complexType>