QPR-11556 Resolve fixing issue

Author: sebastien.bouvard

OREAnalytics/orea/scenario/scenariosimmarket.cpp

@@ -59,7 +59,6 @@
 #include <qle/termstructures/interpolateddiscountcurve2.hpp>
 #include <qle/termstructures/pricecurve.hpp>
 #include <qle/termstructures/pricetermstructureadapter.hpp>
-#include <qle/termstructures/proxyoptionletvolatility.hpp>
 #include <qle/termstructures/proxyswaptionvolatility.hpp>
 #include <qle/termstructures/spreadedblackvolatilitycurve.hpp>
 #include <qle/termstructures/spreadedblackvolatilitysurfacemoneyness.hpp>
@@ -1207,13 +1206,8 @@ ScenarioSimMarket::ScenarioSimMarket(
                             string decayModeString = parameters->capFloorVolDecayMode();
                             ReactionToTimeDecay decayMode = parseDecayMode(decayModeString);
 
-                            auto proxyVolConfig = QuantLib::ext::dynamic_pointer_cast<ProxyOptionletVolatility>(*wrapper);
-                            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol = nullptr;
-                            if(proxyVolConfig){
-                                capletVol = QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, NullCalendar(), decayMode);
-                            }else{
-                                capletVol = QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(), decayMode);
-                            }
+                            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol = 
+                                    QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(), decayMode);
 
                             hCapletVol = Handle<OptionletVolatilityStructure>(capletVol);
                         }

OREData/ored/portfolio/capfloor.cpp

@@ -548,7 +548,7 @@ void CapFloor::build(const QuantLib::ext::shared_ptr<EngineFactory>& engineFacto
         QuantLib::ext::make_shared<VanillaInstrument>(qlInstrument, multiplier, additionalInstruments, additionalMultipliers);
 
     // axdd required fixings
-    auto fdg = QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_, engineFactory->market());
+    auto fdg = QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings_, engineFactory->market(), maturity_);
     for (auto const& l : legs_)
         addToRequiredFixings(l, fdg);
 

OREData/ored/portfolio/fixingdates.cpp

@@ -644,7 +644,17 @@ void FixingDateGetter::visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) {
             QuantLib::ext::shared_ptr<QuantExt::ProxyOptionletVolatility> pov = QuantLib::ext::dynamic_pointer_cast<QuantExt::ProxyOptionletVolatility>(source);
             if(pov){
                 QuantLib::ext::shared_ptr<QuantLib::IborIndex> baseIndex = pov->getBaseIndex();
-                requiredFixings_.addFixingDates(c.underlying()->fixingDates(), IndexNameTranslator::instance().oreName(baseIndex->name()), c.date());
+                // Create a window of fixings [min, max_] to cover all potential fixings
+                auto test = c.underlying()->fixingDates();
+                std::sort(test.begin(), test.end());
+                QuantLib::Date minDate = test.front() > Settings::instance().evaluationDate()?Settings::instance().evaluationDate():test.front();
+                std::vector<QuantLib::Date> businessDates;
+                for (QuantLib::Date d = minDate; d <= max_; d = d + 1) {
+                    if (baseIndex->fixingCalendar().isBusinessDay(d)) {
+                        businessDates.push_back(d);
+                    }
+                }
+                requiredFixings_.addFixingDates(businessDates, IndexNameTranslator::instance().oreName(baseIndex->name()), c.date());
             }
         }
     }

OREData/ored/portfolio/fixingdates.hpp

@@ -276,8 +276,8 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
 
 public:
     //! Constructor
-    FixingDateGetter(RequiredFixings& requiredFixings, const QuantLib::ext::shared_ptr<ore::data::Market>& market = nullptr) : 
-                        requiredFixings_(requiredFixings), market_(market) {}
+    FixingDateGetter(RequiredFixings& requiredFixings, const QuantLib::ext::shared_ptr<ore::data::Market>& market = nullptr, const QuantLib::Date& maturity = Null<Date>()) : 
+                        requiredFixings_(requiredFixings), market_(market), max_(maturity) {}
 
     //! \name Visitor interface
     //@{
@@ -329,6 +329,7 @@ class FixingDateGetter : public QuantLib::AcyclicVisitor,
 private:
     // flag to indicate if coupon start date fixings are always required, even if initial prices provided
     bool requireFixingStartDates_ = false;
+    QuantLib::Date max_;
     // We may need fixings for an additional FX Index at every fixing date
     QuantLib::ext::shared_ptr<QuantExt::FxIndex> additionalFxIndex_;
 };

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.cpp

@@ -30,17 +30,6 @@ DynamicOptionletVolatilityStructure::DynamicOptionletVolatilityStructure(
     enableExtrapolation(source->allowsExtrapolation());
 }
 
-DynamicOptionletVolatilityStructure::DynamicOptionletVolatilityStructure(
-    const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source, const Calendar& calendar,
-    ReactionToTimeDecay decayMode)
-    : OptionletVolatilityStructure(source->referenceDate(), calendar, source->businessDayConvention(), source->dayCounter()),
-      source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()),
-      volatilityType_(source->volatilityType()), displacement_(source->displacement()) {
-    QL_REQUIRE(decayMode_ != ForwardForwardVariance,
-               "ForwardVariance not yet supported for DynamicOptionletVolatilityStructure");
-    enableExtrapolation(source->allowsExtrapolation());
-}
-
 Rate DynamicOptionletVolatilityStructure::minStrike() const { return source_->minStrike(); }
 
 Rate DynamicOptionletVolatilityStructure::maxStrike() const { return source_->maxStrike(); }

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.hpp

@@ -46,10 +46,6 @@ class DynamicOptionletVolatilityStructure : public OptionletVolatilityStructure
     DynamicOptionletVolatilityStructure(const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source,
                                         Natural settlementDays, const Calendar& calendar,
                                         ReactionToTimeDecay decayMode = ConstantVariance);
-    // Constructor to initialize with a fixed reference date
-    DynamicOptionletVolatilityStructure(const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source,
-                                        const Calendar& calendar,
-                                        ReactionToTimeDecay decayMode = ConstantVariance);
 
     QuantLib::ext::shared_ptr<OptionletVolatilityStructure> getSource() { return source_; }