QPR-11772 fixes

Author: pcaspers

OREData/ored/marketdata/capfloorvolcurve.cpp

@@ -76,11 +76,6 @@ CapFloorVolCurve::CapFloorVolCurve(
     const bool buildCalibrationInfo)
     : spec_(spec) {
 
-    QL_REQUIRE(boost::dynamic_pointer_cast<BMAIndexWrapper>(iborIndex) == nullptr,
-               "CapFloorVolCurve: BMA/SIFMA index in '"
-                   << spec_.curveConfigID()
-                   << " not allowed  - vol surfaces for SIFMA can only be proxied from Ibor / OIS");
-
     try {
         // The configuration
         const boost::shared_ptr<CapFloorVolatilityCurveConfig>& config =
@@ -90,6 +85,11 @@ CapFloorVolCurve::CapFloorVolCurve(
             // handle proxy vol surfaces
             buildProxyCurve(*config, sourceIndex, targetIndex, requiredCapFloorVolCurves);
         } else {
+            QL_REQUIRE(boost::dynamic_pointer_cast<BMAIndexWrapper>(iborIndex) == nullptr,
+                       "CapFloorVolCurve: BMA/SIFMA index in '"
+                           << spec_.curveConfigID()
+                           << " not allowed  - vol surfaces for SIFMA can only be proxied from Ibor / OIS");
+
             // Read the shift early if the configured volatility type is shifted lognormal
             Real shift = 0.0;
             if (config->volatilityType() == CfgVolType::ShiftedLognormal) {

OREData/ored/portfolio/fixingdates.cpp

@@ -24,6 +24,7 @@
 
 #include <qle/cashflows/averageonindexedcoupon.hpp>
 #include <qle/cashflows/bondtrscashflow.hpp>
+#include <qle/cashflows/cappedflooredaveragebmacoupon.hpp>
 #include <qle/cashflows/cmbcoupon.hpp>
 #include <qle/cashflows/commodityindexedaveragecashflow.hpp>
 #include <qle/cashflows/commodityindexedcashflow.hpp>
@@ -501,6 +502,8 @@ void FixingDateGetter::visit(AverageBMACoupon& c) {
                                     c.date());
 }
 
+void FixingDateGetter::visit(CappedFlooredAverageBMACoupon& c) { c.underlying()->accept(*this); }
+
 void FixingDateGetter::visit(CmsSpreadCoupon& c) {
     // Enforce fixing to be added even if coupon pays on settlement.
     requiredFixings_.addFixingDate(c.fixingDate(),

OREData/ored/portfolio/fixingdates.hpp

@@ -49,6 +49,7 @@ class StrippedCappedFlooredCoupon;
 } // namespace QuantLib
 
 namespace QuantExt {
+class CappedFlooredAverageBMACoupon;
 class AverageONIndexedCoupon;
 class OvernightIndexedCoupon;
 class BondTRSCashFlow;
@@ -177,6 +178,7 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
                          public QuantLib::Visitor<QuantExt::OvernightIndexedCoupon>,
                          public QuantLib::Visitor<QuantExt::CappedFlooredOvernightIndexedCoupon>,
                          public QuantLib::Visitor<QuantLib::AverageBMACoupon>,
+                         public QuantLib::Visitor<QuantExt::CappedFlooredAverageBMACoupon>,
                          public QuantLib::Visitor<QuantLib::CmsSpreadCoupon>,
                          public QuantLib::Visitor<QuantLib::DigitalCoupon>,
                          public QuantLib::Visitor<QuantLib::StrippedCappedFlooredCoupon>,
@@ -217,6 +219,7 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
     void visit(QuantExt::OvernightIndexedCoupon& c) override;
     void visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) override;
     void visit(QuantLib::AverageBMACoupon& c) override;
+    void visit(QuantExt::CappedFlooredAverageBMACoupon& c) override;
     void visit(QuantLib::CmsSpreadCoupon& c) override;
     void visit(QuantLib::DigitalCoupon& c) override;
     void visit(QuantLib::StrippedCappedFlooredCoupon& c) override;

QuantExt/qle/utilities/cashflows.cpp

@@ -41,7 +41,7 @@ Real getOisAtmLevel(const boost::shared_ptr<OvernightIndex>& on, const Date& fix
 Real getBMAAtmLevel(const boost::shared_ptr<BMAIndex>& bma, const Date& fixingDate,
                     const Period& rateComputationPeriod) {
     Date today = Settings::instance().evaluationDate();
-    Date start = bma->valueDate(fixingDate);
+    Date start = bma->fixingCalendar().advance(fixingDate, 1 * Days);
     Date end = bma->fixingCalendar().advance(start, rateComputationPeriod);
     Date adjStart = std::max(start, today);
     Date adjEnd = std::max(adjStart + 1, end);