git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "0085d00d15"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "05779607f9"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

OREData/ored/portfolio/builders/capfloorediborleg.cpp

@@ -17,6 +17,7 @@
 */
 
 #include <ored/portfolio/builders/capfloorediborleg.hpp>
+#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
 #include <ored/utilities/log.hpp>
 
 #include <boost/make_shared.hpp>
@@ -28,7 +29,13 @@ boost::shared_ptr<FloatingRateCouponPricer> CapFlooredIborLegEngineBuilder::engi
 
     std::string ccyCode = parseIborIndex(index)->currency().code();
     Handle<YieldTermStructure> yts = market_->discountCurve(ccyCode, configuration(MarketContext::pricing));
-    Handle<OptionletVolatilityStructure> ovs = market_->capFloorVol(index, configuration(MarketContext::pricing));
+    Handle<OptionletVolatilityStructure> ovs;
+    if (parseBool(engineParameter("ZeroVolatility", {}, false, "false"))) {
+        ovs = Handle<OptionletVolatilityStructure>(boost::make_shared<ConstantOptionletVolatility>(
+            0, NullCalendar(), Unadjusted, 0.0, Actual365Fixed(), Normal));
+    } else {
+        ovs = market_->capFloorVol(index, configuration(MarketContext::pricing));
+    }
     BlackIborCouponPricer::TimingAdjustment timingAdjustment = BlackIborCouponPricer::Black76;
     boost::shared_ptr<SimpleQuote> correlation = boost::make_shared<SimpleQuote>(1.0);
     // for backwards compatibility we do not require the additional timing adjustment fields

OREData/ored/portfolio/makenonstandardlegs.cpp

@@ -156,12 +156,15 @@ Leg makeNonStandardIborLeg(const boost::shared_ptr<IborIndex>& index, const std:
     for (auto const& d : calcDates)
         effCalcDates.insert(d);
 
-    for (auto const& d : resetDates)
-        effCalcDates.insert(d);
+    for (auto const& d : resetDates) {
+        if (d >= calcDates.front() && d < calcDates.back())
+            effCalcDates.insert(d);
+    }
 
     if (strictNotionalDates) {
         for (auto const& d : notionalDates) {
-            effCalcDates.insert(d);
+            if (d >= calcDates.front() && d < calcDates.back())
+                effCalcDates.insert(d);
         }
     }
 
@@ -279,7 +282,8 @@ Leg makeNonStandardFixedLeg(const std::vector<Date>& calcDates, const std::vecto
 
     if (strictNotionalDates)
         for (auto const& d : notionalDates) {
-            effCalcDates.insert(d);
+            if (d >= calcDates.front() && d < calcDates.back())
+                effCalcDates.insert(d);
         }
 
     // build coupons