Merge branch 'QPR-13366' into 'master'

mgroncki · jenkins · commit 71106d61395a · 2025-06-18T13:00:50.000Z
QPR-13366: included BD Conventions in advance

Closes QPR-13366

See merge request qs/oreplus!2745
diff --git a/OREData/ored/utilities/conventionsbasedfutureexpiry.cpp b/OREData/ored/utilities/conventionsbasedfutureexpiry.cpp
@@ -206,7 +206,8 @@ Date ConventionsBasedFutureExpiry::expiry(Day dayOfMonth, Month contractMonth, Y
         }
 
         // Apply offset adjustments if necessary. A negative integer indicates that we move forward that number of days.
-        expiry = convention_.expiryCalendar().advance(expiry, -convention_.offsetDays(), Days);
+        expiry = convention_.expiryCalendar().advance(expiry, -convention_.offsetDays(), Days,
+                                                      convention_.businessDayConvention());
     }
 
     // If we want the option contract expiry, do the extra work here.

Original file line number	Diff line number	Diff line change
`@@ -206,7 +206,8 @@ Date ConventionsBasedFutureExpiry::expiry(Day dayOfMonth, Month contractMonth, Y`
`206`	`206`	`}`
`207`	`207`
`208`	`208`	`// Apply offset adjustments if necessary. A negative integer indicates that we move forward that number of days.`
`209`		`- expiry = convention_.expiryCalendar().advance(expiry, -convention_.offsetDays(), Days);`
	`209`	`+ expiry = convention_.expiryCalendar().advance(expiry, -convention_.offsetDays(), Days,`
	`210`	`+ convention_.businessDayConvention());`
`210`	`211`	`}`
`211`	`212`
`212`	`213`	`// If we want the option contract expiry, do the extra work here.`