merge master

rolandlichters · rolandlichters · commit 2de6d74d4491 · 2023-06-25T15:07:32.000+02:00
diff --git a/Docs/UserGuide/tradedata/fxforward.tex b/Docs/UserGuide/tradedata/fxforward.tex
@@ -97,7 +97,6 @@ \subsubsection{FX Average Forward}
             <ReferenceCurrency>EUR</ReferenceCurrency>
             <SettlementNotional>10000</SettlementNotional>
             <SettlementCurrency>USD</SettlementCurrency>
-            <Currency>USD</Currency>
             <FXIndex>FX-ECB-EUR-USD</FXIndex>
             <Settlement>Cash</Settlement>
         </FxAverageForwardData>
diff --git a/Docs/UserGuide/userguide.tex b/Docs/UserGuide/userguide.tex
@@ -699,7 +699,7 @@ \subsubsection*{Generate Visual Studio Projects with CMake}
 \item Open a Visual Studio Tools Command Prompt
 \begin{itemize}
 \item 32-bit: VS2022/x86 Native Tools Command Prompt for VS 2022
-\item 64-bit: VS2022/x64 Native Tools   Command Prompt for VS 2022
+\item 64-bit: VS2022/x64 Native Tools Command Prompt for VS 2022
 \end{itemize}
 \item Navigate to the ORE root directory
 \item Run CMake command:
@@ -718,6 +718,19 @@ \subsubsection*{Generate Visual Studio Projects with CMake}
 \item or open the MSVC solution file {\tt build{\bs}ORE.sln} and build the entire solution with Visual Studio (again, make sure to select the correct platform in the configuration manager first).
 \end{enumerate}
 
+\subsubsection*{Use Visual Studio's CMake capabilities}
+
+Alternatively, from Visual Studio 2015 onward, you can use Visual Studios capability to parse the CMakeLists.txt in the ORE root directory, by first setting the CMake BOOST variables in the environment:
+
+{\tt set BOOST_INCLUDE_DIR=} pointing to your boost directory, e.g {\tt C:{\bs}boost\_1\_72\_0}
+{\tt set BOOST_LIBRARYDIR=} pointing to your Win32 or x64 boost lib directory, e.g {\tt C:{\bs}boost\_1\_72\_0{\bs}lib32\-msvc\-14.0} or {\tt C:{\bs}boost\_1\_72\_0{\bs}lib64\-msvc\-14.0}
+{\tt set BOOST_ROOT=} pointing to your boost directory, e.g {\tt C:{\bs}boost\_1\_72\_0}
+
+Afterwards, start the development environment, e.g {\tt "C:\Program Files (x86)\Microsoft Visual Studio\2019\Community\Common7\IDE\devenv.exe"} and open the CMakeLists.txt file using File, Menu, CMake...
+Once the file has been parsed successfully and CMake generation has been finished (observable in the output window), you can switch in the solution explorer from the file view to the projects view, where the CMake Targets View can be selected. In this view, the various target projects can be seen below "ORE Project" and be used in a similar manner as the usual VS projects.
+
+The executables are built in the subfolder {\tt /build/TARGET/CONFIGURATION/EXECUTABLE}, e.g. {\tt /build/App/Release/ore.exe}, the debug and launch settings are set in launch.vs.json and not in the GUI.
+
 \subsubsection*{Unix}
 
 With the 5th release we have discontinued automake support so that ORE can only be built with CMake on Unix systems, as follows.
diff --git a/OREData/ored/marketdata/commodityvolcurve.cpp b/OREData/ored/marketdata/commodityvolcurve.cpp
@@ -190,7 +190,7 @@ CommodityVolCurve::CommodityVolCurve(const Date& asof, const CommodityVolatility
         dayCounter_ = parseDayCounter(config.dayCounter());
 
         // loop over the volatility configs attempting to build in the order provided
-        DLOG("CommodityVolCurve: Attempting to build equity vol curve from volatilityConfig, "
+        DLOG("CommodityVolCurve: Attempting to build commodity vol curve from volatilityConfig, "
              << config.volatilityConfig().size() << " volatility configs provided.");
         for (auto vc : config.volatilityConfig()) {
             try {
@@ -266,9 +266,9 @@ CommodityVolCurve::CommodityVolCurve(const Date& asof, const CommodityVolatility
             if (buildCalibrationInfo)
                     this->buildVolCalibrationInfo(asof, vc, curveConfigs, config);
             } catch (std::exception& e) {
-                DLOG("CommodityVolCurve: equity vol curve building failed :" << e.what());
+                DLOG("CommodityVolCurve: commodity vol curve building failed :" << e.what());
             } catch (...) {
-                DLOG("CommodityVolCurve: equity vol curve building failed: unknown error");
+                DLOG("CommodityVolCurve: commodity vol curve building failed: unknown error");
             }
         }
         QL_REQUIRE(volatility_ , "CommodityVolCurve: Failed to build commodity volatility structure from "
@@ -339,7 +339,7 @@ void CommodityVolCurve::buildVolatility(const QuantLib::Date& asof, const Commod
             if (!q)
                 continue;
             QL_REQUIRE(q->quoteType() == vcc.quoteType(),
-                "EquityOptionQuote type '" << q->quoteType() << "' <> VolatilityCurveConfig quote type '" << vcc.quoteType() << "'");
+                "CommodityOptionQuote type '" << q->quoteType() << "' <> VolatilityCurveConfig quote type '" << vcc.quoteType() << "'");
 
             TLOG("The quote " << q->name() << " matched the pattern");
 
diff --git a/OREData/ored/portfolio/asianoption.cpp b/OREData/ored/portfolio/asianoption.cpp
@@ -182,16 +182,15 @@ void AsianOption::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     notionalCurrency_ = currency_;
 
     // ISDA taxonomy
-    if (underlying_->type() == "EQ") {
+    if (underlying_->type() == "Equity") {
         additionalData_["isdaAssetClass"] = string("Equity");
         additionalData_["isdaBaseProduct"] = string("Option");
         additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");  
     } else if (underlying_->type() == "FX") {
         additionalData_["isdaAssetClass"] = string("Foreign Exchange");
         additionalData_["isdaBaseProduct"] = string("Vanilla Option");
         additionalData_["isdaSubProduct"] = string("");
-        
-    } else if (underlying_->type() == "COM") {
+    } else if (underlying_->type() == "Commodity") {
         // guessing that Commodities are treated like Equity
         additionalData_["isdaAssetClass"] = string("Commodity");
         additionalData_["isdaBaseProduct"] = string("Option");
diff --git a/OREData/ored/portfolio/builders/cdo.hpp b/OREData/ored/portfolio/builders/cdo.hpp
@@ -26,7 +26,6 @@
 #include <qle/pricingengines/midpointcdoengine.hpp>
 
 // avoid compile error from homogeneouspooldef.hpp
-#include <boost/bind.hpp>
 #include <boost/algorithm/string.hpp>
 
 #include <qle/models/homogeneouspooldef.hpp>
diff --git a/OREData/ored/portfolio/cliquetoption.cpp b/OREData/ored/portfolio/cliquetoption.cpp
@@ -95,12 +95,12 @@ void CliquetOption::build(const boost::shared_ptr<EngineFactory>& engineFactory)
     additionalData_["currency"] = currency_;
 
     // ISDA taxonomy
-    if (underlying_->type() == "EQ") {
+    if (underlying_->type() == "Equity") {
         additionalData_["isdaAssetClass"] = string("Equity");
         additionalData_["isdaBaseProduct"] = string("Other");
         additionalData_["isdaSubProduct"] = string("Price Return Basic Performance");  
     } 
-    else if (underlying_->type() == "COM") {
+    else if (underlying_->type() == "Commodity") {
         // assuming that Commoditiy is treated like Equity
         additionalData_["isdaAssetClass"] = string("Commodity");
         additionalData_["isdaBaseProduct"] = string("Other");
diff --git a/OREData/ored/portfolio/equityswap.cpp b/OREData/ored/portfolio/equityswap.cpp
@@ -37,7 +37,7 @@ void EquitySwap::checkEquitySwap(const vector<LegData>& legData) {
     for (Size i = 0; i < legData.size(); ++i) {
         if (legData[i].legType() == "Equity") {
             equityLegIndex_ = i;
-        } else if (legData[i].legType() == "Fixed" || legData[i].legType() == "Floating") {
+        } else {
             irLegIndex_ = i;
         }
     }
diff --git a/OREData/ored/utilities/currencyparser.cpp b/OREData/ored/utilities/currencyparser.cpp
@@ -167,25 +167,25 @@ void CurrencyParser::reset() {
 
     currencies_ = {{"AED", AEDCurrency()}, {"AOA", AOACurrency()}, {"ARS", ARSCurrency()}, {"ATS", ATSCurrency()},
                    {"AUD", AUDCurrency()}, {"BEF", BEFCurrency()}, {"BGN", BGNCurrency()}, {"BHD", BHDCurrency()},
-                   {"BRL", BRLCurrency()}, {"CAD", CADCurrency()}, {"CHF", CHFCurrency()}, {"CLF", CLFCurrency()},
-                   {"CLP", CLPCurrency()}, {"CNH", CNHCurrency()}, {"CNY", CNYCurrency()}, {"COP", COPCurrency()},
-                   {"COU", COUCurrency()}, {"CZK", CZKCurrency()}, {"DEM", DEMCurrency()}, {"DKK", DKKCurrency()},
-                   {"EGP", EGPCurrency()}, {"ESP", ESPCurrency()}, {"ETB", ETBCurrency()}, {"EUR", EURCurrency()},
-                   {"FIM", FIMCurrency()}, {"FRF", FRFCurrency()}, {"GBP", GBPCurrency()}, {"GEL", GELCurrency()},
-                   {"GHS", GHSCurrency()}, {"GRD", GRDCurrency()}, {"HKD", HKDCurrency()}, {"HRK", HRKCurrency()},
-                   {"HUF", HUFCurrency()}, {"IDR", IDRCurrency()}, {"IEP", IEPCurrency()}, {"ILS", ILSCurrency()},
-                   {"INR", INRCurrency()}, {"ISK", ISKCurrency()}, {"ITL", ITLCurrency()}, {"JOD", JODCurrency()},
-                   {"JPY", JPYCurrency()}, {"KES", KESCurrency()}, {"KRW", KRWCurrency()}, {"KWD", KWDCurrency()},
-                   {"KZT", KZTCurrency()}, {"LKR", LKRCurrency()}, {"LUF", LUFCurrency()}, {"MAD", MADCurrency()},
-                   {"MUR", MURCurrency()}, {"MXN", MXNCurrency()}, {"MXV", MXVCurrency()}, {"MYR", MYRCurrency()},
-                   {"NGN", NGNCurrency()}, {"NLG", NLGCurrency()}, {"NOK", NOKCurrency()}, {"NZD", NZDCurrency()},
-                   {"OMR", OMRCurrency()}, {"PEN", PENCurrency()}, {"PHP", PHPCurrency()}, {"PKR", PKRCurrency()},
-                   {"PLN", PLNCurrency()}, {"PTE", PTECurrency()}, {"QAR", QARCurrency()}, {"RON", RONCurrency()},
-                   {"RSD", RSDCurrency()}, {"RUB", RUBCurrency()}, {"SAR", SARCurrency()}, {"SEK", SEKCurrency()},
-                   {"SGD", SGDCurrency()}, {"THB", THBCurrency()}, {"TND", TNDCurrency()}, {"TRY", TRYCurrency()},
-                   {"TWD", TWDCurrency()}, {"UAH", UAHCurrency()}, {"UGX", UGXCurrency()}, {"USD", USDCurrency()},
-                   {"UYU", UYUCurrency()}, {"VND", VNDCurrency()}, {"XOF", XOFCurrency()}, {"ZAR", ZARCurrency()},
-                   {"ZMW", ZMWCurrency()}};
+                   {"BRL", BRLCurrency()}, {"BWP", BWPCurrency()}, {"CAD", CADCurrency()}, {"CHF", CHFCurrency()},
+                   {"CLF", CLFCurrency()}, {"CLP", CLPCurrency()}, {"CNH", CNHCurrency()}, {"CNY", CNYCurrency()},
+                   {"COP", COPCurrency()}, {"COU", COUCurrency()}, {"CZK", CZKCurrency()}, {"DEM", DEMCurrency()},
+                   {"DKK", DKKCurrency()}, {"EGP", EGPCurrency()}, {"ESP", ESPCurrency()}, {"ETB", ETBCurrency()},
+                   {"EUR", EURCurrency()}, {"FIM", FIMCurrency()}, {"FRF", FRFCurrency()}, {"GBP", GBPCurrency()},
+                   {"GEL", GELCurrency()}, {"GHS", GHSCurrency()}, {"GRD", GRDCurrency()}, {"HKD", HKDCurrency()},
+                   {"HRK", HRKCurrency()}, {"HUF", HUFCurrency()}, {"IDR", IDRCurrency()}, {"IEP", IEPCurrency()},
+                   {"ILS", ILSCurrency()}, {"INR", INRCurrency()}, {"ISK", ISKCurrency()}, {"ITL", ITLCurrency()},
+                   {"JOD", JODCurrency()}, {"JPY", JPYCurrency()}, {"KES", KESCurrency()}, {"KRW", KRWCurrency()},
+                   {"KWD", KWDCurrency()}, {"KZT", KZTCurrency()}, {"LKR", LKRCurrency()}, {"LUF", LUFCurrency()},
+                   {"MAD", MADCurrency()}, {"MUR", MURCurrency()}, {"MXN", MXNCurrency()}, {"MXV", MXVCurrency()},
+                   {"MYR", MYRCurrency()}, {"NGN", NGNCurrency()}, {"NLG", NLGCurrency()}, {"NOK", NOKCurrency()},
+                   {"NZD", NZDCurrency()}, {"OMR", OMRCurrency()}, {"PEN", PENCurrency()}, {"PHP", PHPCurrency()},
+                   {"PKR", PKRCurrency()}, {"PLN", PLNCurrency()}, {"PTE", PTECurrency()}, {"QAR", QARCurrency()},
+                   {"RON", RONCurrency()}, {"RSD", RSDCurrency()}, {"RUB", RUBCurrency()}, {"SAR", SARCurrency()},
+                   {"SEK", SEKCurrency()}, {"SGD", SGDCurrency()}, {"THB", THBCurrency()}, {"TND", TNDCurrency()},
+                   {"TRY", TRYCurrency()}, {"TWD", TWDCurrency()}, {"UAH", UAHCurrency()}, {"UGX", UGXCurrency()},
+                   {"USD", USDCurrency()}, {"UYU", UYUCurrency()}, {"VND", VNDCurrency()}, {"XOF", XOFCurrency()},
+                   {"ZAR", ZARCurrency()}, {"ZMW", ZMWCurrency()}};
 
     minorCurrencies_ = {{"GBp", GBPCurrency()}, {"GBX", GBPCurrency()}, {"ILa", ILSCurrency()}, {"ILX", ILSCurrency()},
                         {"KWf", KWDCurrency()}, {"ZAc", ZARCurrency()}, {"ZAC", ZARCurrency()}, {"ZAX", ZARCurrency()}};
diff --git a/OREData/ored/utilities/parsers.cpp b/OREData/ored/utilities/parsers.cpp
@@ -898,6 +898,10 @@ pair<string, string> parseBoostAny(const boost::any& anyType, Size precision) {
         std::ostringstream tmp;
         tmp << std::setprecision(precision) << r;
         oss << std::fixed << std::regex_replace(tmp.str(), pattern, std::string(""));
+    } else if (anyType.type() == typeid(QuantLib::Array)) {
+        resultType = "array";
+        QuantLib::Array r = boost::any_cast<QuantLib::Array>(anyType);
+        oss << std::fixed << std::setprecision(precision) << r;
     } else {
         ALOG("Unsupported Boost::Any type");
         resultType = "unsupported_type";
diff --git a/OREData/test/parser.cpp b/OREData/test/parser.cpp
@@ -1,5 +1,6 @@
 /*
  Copyright (C) 2016 Quaternion Risk Management Ltd
+ Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
@@ -1089,6 +1090,19 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
     checkCalendars(expectedHolidays, hol);
 }
 
+BOOST_AUTO_TEST_CASE(testParseBoostAny) {
+
+    BOOST_TEST_MESSAGE("Testing parsing of Boost::Any...");
+
+    // For QuantLib::Array
+    Array arr(5, 3);
+    boost::any any_array = boost::any_cast<Array>(arr);
+    std::pair<std::string, std::string> result;
+    BOOST_REQUIRE_NO_THROW(result = ore::data::parseBoostAny(any_array, 0));
+    BOOST_CHECK_EQUAL(result.first, "array");
+    BOOST_CHECK_EQUAL(result.second, "[ 3; 3; 3; 3; 3 ]");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()
diff --git a/QuantExt/qle/instruments/commodityforward.cpp b/QuantExt/qle/instruments/commodityforward.cpp
@@ -35,7 +35,7 @@ CommodityForward::CommodityForward(const boost::shared_ptr<CommodityIndex>& inde
       fxIndex_(fxIndex), fixingDate_(fixingDate) {
 
     QL_REQUIRE(quantity_ > 0, "Commodity forward quantity should be positive: " << quantity);
-    QL_REQUIRE(strike_ > 0, "Commodity forward strike should be positive: " << strike);
+    QL_REQUIRE(strike_ > 0 || close_enough(strike_, 0.0), "Commodity forward strike should be greater than or equal to 0: " << strike);
 
     if (physicallySettled_) {
         QL_REQUIRE(paymentDate_ == Date(), "CommodityForward: payment date (" << io::iso_date(paymentDate_) <<
@@ -85,7 +85,7 @@ void CommodityForward::setupArguments(PricingEngine::arguments* args) const {
 
 void CommodityForward::arguments::validate() const {
     QL_REQUIRE(quantity > 0, "quantity should be positive: " << quantity);
-    QL_REQUIRE(strike > 0, "strike should be positive: " << strike);
+    QL_REQUIRE(strike > 0 || close_enough(strike, 0.0), "strike should be greater than or equal to 0: " << strike);
 }
 
 } // namespace QuantExt
diff --git a/QuantExt/qle/models/crossassetanalyticsbase.hpp b/QuantExt/qle/models/crossassetanalyticsbase.hpp
@@ -24,6 +24,8 @@
 #ifndef quantext_crossasset_analytics_base_hpp
 #define quantext_crossasset_analytics_base_hpp
 
+#include <boost/bind/bind.hpp>
+
 #include <ql/types.hpp>
 
 #include <qle/models/crossassetmodel.hpp>
@@ -211,7 +213,7 @@ template <class E> inline Real integral_helper(const CrossAssetModel* x, const E
 }
 
 template <class E> inline Real integral(const CrossAssetModel* x, const E& e, const Real a, const Real b) {
-    return x->integrator()->operator()(boost::bind(&integral_helper<E>, x, e, _1), a, b);
+    return x->integrator()->operator()(boost::bind(&integral_helper<E>, x, e, boost::placeholders::_1), a, b);
 }
 
 /*! @} */
diff --git a/QuantExt/qle/models/crossassetmodel.hpp b/QuantExt/qle/models/crossassetmodel.hpp
@@ -47,8 +47,6 @@
 #include <ql/math/matrix.hpp>
 #include <ql/models/model.hpp>
 
-#include <boost/bind.hpp>
-
 namespace QuantExt {
 using namespace QuantLib;
 
diff --git a/QuantExt/qle/models/defaultprobabilitylatentmodel.hpp b/QuantExt/qle/models/defaultprobabilitylatentmodel.hpp
@@ -198,7 +198,7 @@ template <class copulaPolicy> class DefaultLatentModel : public LatentModel<copu
 
         return integratedExpectedValue(boost::function<Real(const std::vector<Real>& v1)>(
             boost::bind(&DefaultLatentModel<copulaPolicy>::conditionalDefaultProbabilityInvP, this,
-                        inverseCumulativeY(pUncond, iName), iName, _1)));
+                        inverseCumulativeY(pUncond, iName), iName, boost::placeholders::_1)));
     }
     /*! Pearsons' default probability correlation.
         Users should consider specialization on the copula type for specific
@@ -213,7 +213,7 @@ template <class copulaPolicy> class DefaultLatentModel : public LatentModel<copu
     */
     Probability probAtLeastNEvents(Size n, const Date& date) const {
         return integratedExpectedValue(boost::function<Real(const std::vector<Real>& v1)>(boost::bind(
-            &DefaultLatentModel<copulaPolicy>::conditionalProbAtLeastNEvents, this, n, boost::cref(date), _1)));
+            &DefaultLatentModel<copulaPolicy>::conditionalProbAtLeastNEvents, this, n, boost::cref(date), boost::placeholders::_1)));
     }
 };
 
@@ -235,7 +235,7 @@ template <class CP> Real DefaultLatentModel<CP>::defaultCorrelation(const Date&
     Real E1i1j; // joint default covariance term
     if (iNamei != iNamej) {
         E1i1j = integratedExpectedValue(boost::function<Real(const std::vector<Real>& v1)>(
-            boost::bind(&DefaultLatentModel<CP>::condProbProduct, this, invPi, invPj, iNamei, iNamej, _1)));
+            boost::bind(&DefaultLatentModel<CP>::condProbProduct, this, invPi, invPj, iNamei, iNamej, boost::placeholders::_1)));
     } else {
         E1i1j = pi;
     }
diff --git a/QuantExt/qle/models/gaussianlhplossmodel.hpp b/QuantExt/qle/models/gaussianlhplossmodel.hpp
@@ -29,7 +29,6 @@
 //#include <ql/experimental/credit/defaultlossmodel.hpp>
 #include <qle/models/defaultlossmodel.hpp>
 //#include <ql/experimental/credit/basket.hpp>
-#include <boost/bind.hpp>
 #include <boost/function.hpp>
 #include <numeric>
 #include <ql/experimental/math/latentmodel.hpp>
diff --git a/QuantExt/qle/pricingengines/analyticlgmcdsoptionengine.cpp b/QuantExt/qle/pricingengines/analyticlgmcdsoptionengine.cpp
@@ -16,6 +16,8 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
+#include <boost/bind/bind.hpp>
+
 #include <qle/pricingengines/analyticlgmcdsoptionengine.hpp>
 
 #include <ql/cashflows/fixedratecoupon.hpp>
@@ -96,7 +98,8 @@ void AnalyticLgmCdsOptionEngine::calculate() const {
     Brent b;
     Real lambdaStar;
     try {
-        lambdaStar = b.solve(boost::bind(&AnalyticLgmCdsOptionEngine::lambdaStarHelper, this, _1), 1.0E-6, 0.0, 0.01);
+        lambdaStar = b.solve(boost::bind(&AnalyticLgmCdsOptionEngine::lambdaStarHelper, this, boost::placeholders::_1),
+                             1.0E-6, 0.0, 0.01);
     } catch (const std::exception& e) {
         QL_FAIL("AnalyticLgmCdsOptionEngine, failed to compute lambdaStar, " << e.what());
     }
diff --git a/QuantExt/qle/pricingengines/analyticlgmswaptionengine.cpp b/QuantExt/qle/pricingengines/analyticlgmswaptionengine.cpp
@@ -22,7 +22,7 @@
 #include <ql/math/solvers1d/brent.hpp>
 #include <qle/pricingengines/analyticlgmswaptionengine.hpp>
 
-#include <boost/bind.hpp>
+#include <boost/bind/bind.hpp>
 
 #include <ostream>
 
@@ -263,7 +263,8 @@ void AnalyticLgmSwaptionEngine::calculate() const {
     Brent b;
     Real yStar;
     try {
-        yStar = b.solve(boost::bind(&AnalyticLgmSwaptionEngine::yStarHelper, this, _1), 1.0E-6, 0.0, 0.01);
+        yStar = b.solve(boost::bind(&AnalyticLgmSwaptionEngine::yStarHelper, this, boost::placeholders::_1), 1.0E-6,
+                        0.0, 0.01);
     } catch (const std::exception& e) {
         std::ostringstream os;
         os << "AnalyticLgmSwaptionEngine: failed to compute yStar (" << e.what() << "), parameter details: [";
diff --git a/QuantExt/qle/pricingengines/discountingcommodityforwardengine.cpp b/QuantExt/qle/pricingengines/discountingcommodityforwardengine.cpp
@@ -55,16 +55,20 @@ void DiscountingCommodityForwardEngine::calculate() const {
 
         Real buySell = arguments_.position == Position::Long ? 1.0 : -1.0;
         Real forwardPrice = index->fixing(maturity);
-        auto value = arguments_.quantity * buySell * (forwardPrice - arguments_.strike) *
-                     discountCurve_->discount(paymentDate) / discountCurve_->discount(npvDate);
+        Real discountPaymentDate = discountCurve_->discount(paymentDate);
+        auto value = arguments_.quantity * buySell * (forwardPrice - arguments_.strike) * discountPaymentDate /
+                     discountCurve_->discount(npvDate);
         if(arguments_.fxIndex && (arguments_.fixingDate!=Date()) && (arguments_.payCcy!=arguments_.currency)){ // NDF
             auto fxRate = arguments_.fxIndex->fixing(arguments_.fixingDate);
             value*=fxRate;
             results_.additionalResults["productCurrency"] = arguments_.currency;
             results_.additionalResults["settlementCurrency"] = arguments_.payCcy;
+            results_.additionalResults["fxRate"] = fxRate;
         }
         results_.value = value;
+        results_.additionalResults["forwardPrice"] = forwardPrice;
         results_.additionalResults["currentNotional"] = forwardPrice * arguments_.quantity;
+        results_.additionalResults["discountPaymentDate"] = discountPaymentDate;
     }
 }
 
diff --git a/QuantExt/qle/termstructures/capfloorhelper.cpp b/QuantExt/qle/termstructures/capfloorhelper.cpp
diff --git a/QuantExt/qle/termstructures/oiscapfloorhelper.cpp b/QuantExt/qle/termstructures/oiscapfloorhelper.cpp
diff --git a/QuantExt/qle/termstructures/strippedoptionletadapter.hpp b/QuantExt/qle/termstructures/strippedoptionletadapter.hpp
diff --git a/QuantLib b/QuantLib

Original file line number	Diff line number	Diff line change
`@@ -37,7 +37,7 @@ void EquitySwap::checkEquitySwap(const vector<LegData>& legData) {`
`37`	`37`	`for (Size i = 0; i < legData.size(); ++i) {`
`38`	`38`	`if (legData[i].legType() == "Equity") {`
`39`	`39`	`equityLegIndex_ = i;`
`40`		`- } else if (legData[i].legType() == "Fixed" \|\| legData[i].legType() == "Floating") {`
	`40`	`+ } else {`
`41`	`41`	`irLegIndex_ = i;`
`42`	`42`	`}`
`43`	`43`	`}`