QPR-11772 fixes

Author: pcaspers

OREData/ored/ored.hpp

@@ -130,6 +130,7 @@
 #include <ored/portfolio/builders/bondtotalreturnswap.hpp>
 #include <ored/portfolio/builders/cachingenginebuilder.hpp>
 #include <ored/portfolio/builders/capfloor.hpp>
+#include <ored/portfolio/builders/capflooredaveragebmacouponleg.hpp>
 #include <ored/portfolio/builders/capflooredaverageonindexedcouponleg.hpp>
 #include <ored/portfolio/builders/capflooredcpileg.hpp>
 #include <ored/portfolio/builders/capfloorediborleg.hpp>

OREData/ored/portfolio/builders/capflooredaveragebmacouponleg.cpp

@@ -29,8 +29,8 @@ namespace ore {
 namespace data {
 
 boost::shared_ptr<FloatingRateCouponPricer>
-CapFlooredOvernightIndexedCouponLegEngineBuilder::engineImpl(const std::string& index,
-                                                             const QuantLib::Period& rateComputationPeriod) {
+CapFlooredAverageBMACouponLegEngineBuilder::engineImpl(const std::string& index,
+                                                       const QuantLib::Period& rateComputationPeriod) {
     std::string ccyCode = parseIborIndex(index)->currency().code();
     Handle<YieldTermStructure> yts = market_->discountCurve(ccyCode, configuration(MarketContext::pricing));
     QL_REQUIRE(!yts.empty(), "engineFactory error: yield term structure not found for currency " << ccyCode);
@@ -51,8 +51,8 @@ CapFlooredOvernightIndexedCouponLegEngineBuilder::engineImpl(const std::string&
     return boost::make_shared<QuantExt::BlackAverageBMACouponPricer>(ovs);
 }
 
-string CapFlooredOvernightIndexedCouponLegEngineBuilder::keyImpl(const string& index,
-                                                                 const QuantLib::Period& rateComputationPeriod) {
+string CapFlooredAverageBMACouponLegEngineBuilder::keyImpl(const string& index,
+                                                           const QuantLib::Period& rateComputationPeriod) {
     return index + "_" + ore::data::to_string(rateComputationPeriod);
 }
 

OREData/ored/portfolio/builders/capflooredaveragebmacouponleg.hpp

@@ -35,10 +35,10 @@ namespace data {
 /*! The coupon pricers are cached by index / rate comp period
  \ingroup builders
  */
-class CapFlooredOvernightIndexedCouponLegEngineBuilder
+class CapFlooredAverageBMACouponLegEngineBuilder
     : public CachingCouponPricerBuilder<string, const std::string&, const QuantLib::Period&> {
 public:
-    CapFlooredOvernightIndexedCouponLegEngineBuilder()
+    CapFlooredAverageBMACouponLegEngineBuilder()
         : CachingEngineBuilder("BlackOrBachelier", "BlackOvernightIndexedCouponPricer",
                                {"CapFlooredOvernightIndexedCouponLeg"}) {}
 

QuantExt/qle/cashflows/cappedflooredaveragebmacoupon.hpp

@@ -89,7 +89,7 @@ class CappedFlooredAverageBMACoupon : public FloatingRateCoupon {
 class CapFlooredAverageBMACouponPricer : public FloatingRateCouponPricer {
 public:
     CapFlooredAverageBMACouponPricer(const Handle<OptionletVolatilityStructure>& v,
-                                     const bool effectiveVolatilityInput);
+                                     const bool effectiveVolatilityInput = false);
     Handle<OptionletVolatilityStructure> capletVolatility() const;
     bool effectiveVolatilityInput() const;
     Real effectiveCapletVolatility() const;   // only available after capletRate() was called

QuantExt/qle/termstructures/proxyoptionletvolatility.cpp

@@ -22,6 +22,7 @@
 #include <qle/utilities/cashflows.hpp>
 #include <qle/utilities/time.hpp>
 
+#include <ql/cashflows/avaeragebmacoupon.hpp>
 #include <ql/indexes/iborindex.hpp>
 #include <ql/termstructures/volatility/smilesection.hpp>
 

QuantExt/qle/utilities/cashflows.hpp

@@ -20,31 +20,30 @@
     \brief some cashflow related utilities.
 */
 
-#ifndef quantext_utilities_cashflows_hpp
-#define quantext_utilities_cashflows_hpp
+#pragma once
 
 #include <qle/cashflows/overnightindexedcoupon.hpp>
 #include <qle/utilities/time.hpp>
 
+#include <ql/cashflows/averagebmacoupon.hpp>
 
 namespace QuantExt {
 
 /*! Utility function for calculating the atm strike level to a given \p fixingDate based on a given ois index,
-    \p on, and a given irate computation period, \p rateComputationPeriod. 
+    \p on, and a given irate computation period, \p rateComputationPeriod.
 
 \ingroup utilities
 */
 
 Real getOisAtmLevel(const boost::shared_ptr<OvernightIndex>& on, const Date& fixingDate,
                     const Period& rateComputationPeriod);
-}
 
 /*! Utility function for calculating the atm strike level to a given \p fixingDate based on a given BMA index,
     \p on, and a given irate computation period, \p rateComputationPeriod.
 
 \ingroup utilities
 */
 Real getBMAAtmLevel(const boost::shared_ptr<BMAIndex>& bma, const Date& fixingDate,
-                    const Period& rateComputationPeriod) {
+                    const Period& rateComputationPeriod);
 
-#endif
+} // namespace QuantExt