QPR-12236 add requiredFixings for notional resets

if payment dates of the funding and return leg aren't exact matching

Author: mgroncki

OREData/ored/portfolio/trs.cpp

@@ -572,15 +572,36 @@ void TRS::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
     DLOG("add required fixings for fundings legs with daily resets (if any)");
 
     for (Size i = 0; i < fundingLegs.size(); ++i) {
-        if (fundingNotionalTypes[i] != TRS::FundingData::NotionalType::DailyReset)
-            continue;
-        for (auto const& c : fundingLegs[i]) {
-            if (auto cpn = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
-                QL_REQUIRE(boost::dynamic_pointer_cast<QuantLib::FixedRateCoupon>(c),
-                           "daily reset funding legs support fixed rate coupons only");
-                for (QuantLib::Date d = cpn->accrualStartDate(); d < cpn->accrualEndDate(); ++d) {
+        if (fundingNotionalTypes[i] == TRS::FundingData::NotionalType::DailyReset) {
+            for (auto const& c : fundingLegs[i]) {
+                if (auto cpn = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
+                    QL_REQUIRE(boost::dynamic_pointer_cast<QuantLib::FixedRateCoupon>(c),
+                               "daily reset funding legs support fixed rate coupons only");
+                    for (QuantLib::Date d = cpn->accrualStartDate(); d < cpn->accrualEndDate(); ++d) {
+                        for (Size j = 0; j < underlying_.size(); ++j) {
+                            Date fixingDate = underlyingIndex[j]->fixingCalendar().adjust(d, Preceding);
+                            for (auto const& [n, _] : indexNamesAndQty)
+                                requiredFixings_.addFixingDate(fixingDate, n, cpn->date());
+                            for (auto const& n : fxIndices) {
+                                requiredFixings_.addFixingDate(n.second->fixingCalendar().adjust(fixingDate, Preceding),
+                                                               n.first, cpn->date());
+                            }
+                        }
+                    }
+                }
+            }
+        }  else if (fundingNotionalTypes[i] == TRS::FundingData::NotionalType::PeriodReset) {
+            for (auto const& c : fundingLegs[i]) {
+                if (auto cpn = boost::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
                     for (Size j = 0; j < underlying_.size(); ++j) {
-                        Date fixingDate = underlyingIndex[j]->fixingCalendar().adjust(d, Preceding);
+                        Date fundingStartDate = cpn->accrualStartDate();
+                        Size currentIdx = std::distance(valuationDates.begin(),
+                                            std::upper_bound(valuationDates.begin(),
+                                                             valuationDates.end(),
+                                                             fundingStartDate + fundingData_.fundingResetGracePeriod()));
+                        if (currentIdx > 0)
+                            --currentIdx;
+                        Date fixingDate = valuationDates[currentIdx];
                         for (auto const& [n, _] : indexNamesAndQty)
                             requiredFixings_.addFixingDate(fixingDate, n, cpn->date());
                         for (auto const& n : fxIndices) {