QPR-11947 -- Convert ExerciseDates to ScheduleData format

Author: NathanielVolfango

OREData/ored/portfolio/optiondata.cpp

@@ -54,7 +54,15 @@ void OptionData::fromXML(XMLNode* node) {
     exerciseFeeSettlementCalendar_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementCalendar", false);
     exerciseFeeSettlementConvention_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementConvention", false);
     exercisePrices_ = XMLUtils::getChildrenValuesAsDoubles(node, "ExercisePrices", "ExercisePrice", false);
-    exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate", false);
+    
+    if (XMLNode* n = XMLUtils::getChildNode(node, "ExerciseDates")) {
+        if (XMLNode* ed = XMLUtils::getChildNode(n, "ExerciseDate")) {
+            // For backward compatibility
+            exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate");
+        } else {
+            exerciseDatesSchedule_.fromXML(n);
+        }
+    }
 
     automaticExercise_ = boost::none;
     if (XMLNode* n = XMLUtils::getChildNode(node, "AutomaticExercise"))
@@ -146,8 +154,14 @@ ExerciseBuilder::ExerciseBuilder(const OptionData& optionData, const std::vector
     // build vector of sorted exercise dates
 
     std::vector<QuantLib::Date> sortedExerciseDates;
-    for (auto const& d : optionData.exerciseDates())
-        sortedExerciseDates.push_back(parseDate(d));
+    if (optionData.exerciseDatesSchedule().hasData()) {
+        Schedule schedule = makeSchedule(optionData.exerciseDatesSchedule());
+        sortedExerciseDates = schedule.dates();
+    } else {
+        // For backward compatibility
+        for (auto const& d : optionData.exerciseDates())
+            sortedExerciseDates.push_back(parseDate(d));
+    }
     std::sort(sortedExerciseDates.begin(), sortedExerciseDates.end());
 
     // build vector of alive exercise dates and corresponding native dates

OREData/ored/portfolio/optiondata.hpp

@@ -74,6 +74,7 @@ class OptionData : public XMLSerializable {
     const string& style() const { return style_; }
     const bool& payoffAtExpiry() const { return payoffAtExpiry_; }
     const vector<string>& exerciseDates() const { return exerciseDates_; }
+    const ScheduleData& exerciseDatesSchedule() const { return exerciseDatesSchedule_; }
     const string& noticePeriod() const { return noticePeriod_; }
     const string& noticeCalendar() const { return noticeCalendar_; }
     const string& noticeConvention() const { return noticeConvention_; }
@@ -95,6 +96,7 @@ class OptionData : public XMLSerializable {
     //! \name Setters
     //@{
     void setExerciseDates(const std::vector<std::string>& exerciseDates) { exerciseDates_ = exerciseDates; }
+    void setExerciseDates(const ScheduleData& exerciseDatesSchedule) { exerciseDatesSchedule_ = exerciseDatesSchedule; }
     void setAutomaticExercise(bool automaticExercise) { automaticExercise_ = automaticExercise; }
     void setPaymentData(const OptionPaymentData& paymentData) { paymentData_ = paymentData; }
     void setCallPut(const string& callPut) { callPut_ = callPut; }
@@ -121,6 +123,7 @@ class OptionData : public XMLSerializable {
     string payoffType2_;  // Geometric, Arithmetic
     string style_;        // European, Bermudan, American
     bool payoffAtExpiry_; // Y or N
+    ScheduleData exerciseDatesSchedule_;
     vector<string> exerciseDates_;
     string noticePeriod_;
     string noticeCalendar_;