QPR-11923 only add leg initial fixing id a notional resetting swap with no quantity

Author: damienbarker

QuantExt/qle/cashflows/equitycoupon.cpp

@@ -112,8 +112,8 @@ void EquityCoupon::setPricer(const boost::shared_ptr<EquityCouponPricer>& pricer
 Real EquityCoupon::quantity() const {
     if (notionalReset_ && quantity_ == Null<Real>()) {
         QL_REQUIRE(legInitialNotional_ != Null<Real>() && legFixingDate_ != Date(),
-		   "leg initial notional and fixing date required to compute the missing quantity in case of a resetting equity leg");
-	    quantity_ = legInitialNotional_ / equityCurve_->fixing(legFixingDate_, false, false);
+           "leg initial notional and fixing date required to compute the missing quantity in case of a resetting equity leg");
+        quantity_ = legInitialNotional_ / equityCurve_->fixing(legFixingDate_, false, false);
     }
     return quantity_;
 }
@@ -169,7 +169,9 @@ std::vector<Date> EquityCoupon::fixingDates() const {
 
     fixingDates.push_back(fixingStartDate_);
     fixingDates.push_back(fixingEndDate_);
-    if (initialPrice_ == Null<Real>())
+    // We may need a fixing date at the leg start date if it a notionalReset and the quantity is null
+    // Quantity is null if no initial price was given for the Swap
+    if (notionalReset_ && quantity_ == Null<Real>())
         fixingDates.push_back(legFixingDate_);
     return fixingDates;
 };
@@ -289,29 +291,29 @@ EquityLeg::operator Leg() const {
             quantity = quantity_;
             QL_REQUIRE(notionals_.empty(), "EquityLeg: notional and quantity are given at the same time");
         } else {
-	    // If we have a notional, but no quantity is given:
-	    // a) Compute quantity from notional and initial price
-	    // b) If initial price is missing, leave quantity undefined here:
-	    //    The coupon will compute it from legInitialNotional=notional and legFixingDate
-	    QL_REQUIRE(!notionals_.empty(), "EquityLeg: can not compute qunantity, since no notional is given");
-	    QL_REQUIRE(fxIndex_ == nullptr || initialPriceIsInTargetCcy_,
-                       "EquityLeg: can not compute quantity from nominal when fx conversion is required");
-	    notional = notionals_.front();
-	    legInitialNotional = notional;
-	    if (initialPrice_ != Null<Real>())
-	        quantity = (initialPrice_ == 0) ? notional : notional / initialPrice_;
-	}
+            // If we have a notional, but no quantity is given:
+            // a) Compute quantity from notional and initial price
+            // b) If initial price is missing, leave quantity undefined here:
+            //    The coupon will compute it from legInitialNotional=notional and legFixingDate
+            QL_REQUIRE(!notionals_.empty(), "EquityLeg: can not compute qunantity, since no notional is given");
+            QL_REQUIRE(fxIndex_ == nullptr || initialPriceIsInTargetCcy_,
+                           "EquityLeg: can not compute quantity from nominal when fx conversion is required");
+            notional = notionals_.front();
+            legInitialNotional = notional;
+            if (initialPrice_ != Null<Real>())
+                quantity = (initialPrice_ == 0) ? notional : notional / initialPrice_;
+        }
     } else {
         if (!notionals_.empty()) {
             QL_REQUIRE(quantity_ == Null<Real>(), "EquityLeg: notional and quantity are given at the same time");
             // notional is determined below in the loop over the periods
-	    legInitialNotional = notionals_.front();
+            legInitialNotional = notionals_.front();
         } else {
-	    QL_REQUIRE(initialPrice_ != Null<Real>(), "EquityLeg: can not compute notional, since no intialPrice is given");
-            QL_REQUIRE(quantity_ != Null<Real>(), "EquityLeg: can not compute notional, since no quantity is given");
-	    QL_REQUIRE(fxIndex_ == nullptr || initialPriceIsInTargetCcy_,
-                       "EquityLeg: can not compute notional from quantity when fx conversion is required");
-            notional = (initialPrice_ == 0) ? quantity_ : quantity_ * initialPrice_;
+            QL_REQUIRE(initialPrice_ != Null<Real>(), "EquityLeg: can not compute notional, since no intialPrice is given");
+                QL_REQUIRE(quantity_ != Null<Real>(), "EquityLeg: can not compute notional, since no quantity is given");
+            QL_REQUIRE(fxIndex_ == nullptr || initialPriceIsInTargetCcy_,
+                           "EquityLeg: can not compute notional from quantity when fx conversion is required");
+                notional = (initialPrice_ == 0) ? quantity_ : quantity_ * initialPrice_;
         }
     }