Fix fixedLegBPS and fairRate for BRLCdiSwap

* fixedLegBPS sign was wrong
* fairRate has to be the same for Payer and Receiver swaps

Author: eltoder

QuantExt/qle/instruments/brlcdiswap.cpp

@@ -18,7 +18,6 @@
 
 #include <qle/instruments/brlcdiswap.hpp>
 
-#include <boost/assign/list_of.hpp>
 #include <ql/cashflows/overnightindexedcoupon.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
 #include <ql/time/daycounters/business252.hpp>
@@ -27,18 +26,15 @@
 #include <qle/cashflows/couponpricer.hpp>
 
 using namespace QuantLib;
-using boost::assign::list_of;
 using std::pow;
 using std::vector;
 
 namespace QuantExt {
 
-// Reason for use of convert_to_container:
-// https://stackoverflow.com/a/17805923/1771882
 BRLCdiSwap::BRLCdiSwap(Type type, Real nominal, const Date& startDate, const Date& endDate, Rate fixedRate,
                        const boost::shared_ptr<BRLCdi>& overnightIndex, Spread spread, bool telescopicValueDates)
     : OvernightIndexedSwap(type, nominal,
-                           Schedule(list_of(startDate)(endDate).convert_to_container<vector<Date> >(), NullCalendar(),
+                           Schedule({startDate, endDate}, NullCalendar(),
                                     QuantLib::Unadjusted, QuantLib::Unadjusted, 100 * Years),
                            fixedRate, overnightIndex->dayCounter(), overnightIndex, spread, 0, ModifiedFollowing,
                            overnightIndex->fixingCalendar(), telescopicValueDates),
@@ -68,9 +64,9 @@ Real BRLCdiSwap::fixedLegBPS() const {
 
     calculate();
 
-    static Spread basisPoint = 1.0e-4;
+    const Spread basisPoint = 1.0e-4;
     if (!close(endDiscounts_[0], 0.0) && endDiscounts_[0] != Null<DiscountFactor>()) {
-        DiscountFactor df = endDiscounts_[0];
+        DiscountFactor df = payer_[0] * endDiscounts_[0];
         Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
         legBPS_[0] = df * nominal() * (pow(1.0 + fixedRate() + basisPoint, dcf) - pow(1.0 + fixedRate(), dcf));
         return legBPS_[0];
@@ -84,7 +80,7 @@ Real BRLCdiSwap::fairRate() const {
     calculate();
 
     if (!close(endDiscounts_[0], 0.0) && endDiscounts_[0] != Null<DiscountFactor>()) {
-        DiscountFactor df = endDiscounts_[0];
+        DiscountFactor df = -payer_[0] * endDiscounts_[0];
         Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
         return pow(overnightLegNPV() / (nominal() * df) + 1.0, 1.0 / dcf) - 1.0;
     }