QPR-12221 fix null calendar in fxkiko

Author: mgroncki

OREData/ored/marketdata/market.cpp

@@ -21,6 +21,7 @@
 #include <ored/utilities/indexparser.hpp>
 #include <ored/utilities/log.hpp>
 #include <ored/utilities/parsers.hpp>
+#include <ored/utilities/marketdata.hpp>
 
 #include <qle/indexes/fxindex.hpp>
 #include <qle/termstructures/blackinvertedvoltermstructure.hpp>
@@ -190,17 +191,13 @@ QuantLib::Handle<QuantExt::FxIndex> Market::fxIndex(const string& fxIndex, const
             Calendar calendar = NullCalendar();
 
             if (source != target) {
-                const boost::shared_ptr<Conventions>& conventions = InstrumentConventions::instance().conventions();
-                // first check if we have a convention specific to the pair (e.g. XAUUSD), otherwise use
                 try {
-                    auto comCon =
-                        boost::dynamic_pointer_cast<data::CommodityForwardConvention>(conventions->get(fxIndex));
-                    calendar = comCon->advanceCalendar();
+                    auto [sDays, cal, _] = getFxIndexConventions(fxIndex);
+                    calendar = cal;
                 } catch (...) {
-                    WLOG("Market::fxIndex Cannot find commodity conventions for " << fxIndex);
+                    WLOG("Market::fxIndex Cannot find commodity conventions for " << fxIndex);   
                 }
             }
-
             fxInd = Handle<QuantExt::FxIndex>(boost::make_shared<QuantExt::FxIndex>(
                 fxIndexBase->familyName(), spotDays, fxIndexBase->sourceCurrency(), fxIndexBase->targetCurrency(),
                 calendar, spot, sorTS, tarTS));

OREData/ored/portfolio/fxkikobarrieroption.cpp

@@ -120,8 +120,13 @@ void FxKIKOBarrierOption::build(const boost::shared_ptr<EngineFactory>& engineFa
     Handle<Quote> spot = market->fxSpot(boughtCurrency_ + soldCurrency_);
 
     boost::shared_ptr<QuantExt::FxIndex> fxIndex;
-    if (!fxIndex_.empty())
-        fxIndex = parseFxIndex(fxIndex_);
+    if (!fxIndex_.empty()) {
+        auto fxi = market->fxIndex(fxIndex_);
+        if (!fxi.empty()) {
+            fxIndex = fxi.currentLink();
+        }
+    }
+        
 
     // checking fixings
     if (startDate_ != "" && parseDate(startDate()) < today) {

OREData/ored/utilities/marketdata.cpp

@@ -187,6 +187,11 @@ std::tuple<Natural, Calendar, BusinessDayConvention> getFxIndexConventions(const
         TLOG("getFxIndexConvention(" << index << "): " << fxCon->spotDays() << " / " << fxCon->advanceCalendar().name()
                                      << " from convention.");
         return std::make_tuple(fxCon->spotDays(), fxCon->advanceCalendar(), fxCon->convention());
+    } else if (auto comCon = boost::dynamic_pointer_cast<CommodityForwardConvention>(con); comCon !=nullptr
+               && (isPseudoCurrency(ccy1) || isPseudoCurrency(ccy2))) {
+        TLOG("getFxIndexConvention(" << index << "): " << fxCon->spotDays() << " / " << fxCon->advanceCalendar().name()
+                                     << " from convention.");
+        return std::make_tuple(0, comCon->advanceCalendar(), comCon->bdc());
     }
 
     // default calendar for pseudo currencies is USD