Merge branch 'feature/QPR-13466' into 'master'

QPR-13466: Added valuation dates to legs

Closes QPR-13466

See merge request qs/oreplus!2852

Author: damienbarker

OREData/ored/portfolio/legdata.cpp

@@ -223,19 +223,20 @@ class FloatingLegData : public LegAdditionalData {
                     QuantLib::Period lookback = 0 * Days, const Size rateCutoff = Null<Size>(),
                     bool localCapFloor = false, const QuantLib::ext::optional<Period>& lastRecentPeriod = QuantLib::ext::nullopt,
                     const std::string& lastRecentPeriodCalendar = std::string(), bool telescopicValueDates = false,
-                    const std::map<QuantLib::Date, double>& historicalFixings = {},
+                    const std::map<QuantLib::Date, double>& historicalFixings = {}, const ScheduleData& valuationSchedule = ScheduleData(),
                     const string& frontStubShortIndex = std::string(), const string& frontStubLongIndex = std::string(),
                     const string& frontStubRoundingType = std::string(), const string& frontStubRoundingPrecision = std::string(),
                     const string& backStubShortIndex = std::string(), const string& backStubLongIndex = std::string(),
                     const string& backStubRoundingType = std::string(), const string& backStubRoundingPrecision = std::string(),
                     bool stubUseOriginalCurve = false)
+
         : LegAdditionalData(LegType::Floating, true), index_(ore::data::internalIndexName(index)),
           fixingDays_(fixingDays), lookback_(lookback), rateCutoff_(rateCutoff), isInArrears_(isInArrears),
           isAveraged_(isAveraged), hasSubPeriods_(hasSubPeriods), includeSpread_(includeSpread), spreads_(spreads),
           spreadDates_(spreadDates), caps_(caps), capDates_(capDates), floors_(floors), floorDates_(floorDates),
           gearings_(gearings), gearingDates_(gearingDates), nakedOption_(nakedOption), localCapFloor_(localCapFloor),
           lastRecentPeriod_(lastRecentPeriod), lastRecentPeriodCalendar_(lastRecentPeriodCalendar),
-          telescopicValueDates_(telescopicValueDates), historicalFixings_(historicalFixings),
+          telescopicValueDates_(telescopicValueDates), historicalFixings_(historicalFixings), valuationSchedule_(valuationSchedule),
           frontStubShortIndex_(frontStubShortIndex), frontStubLongIndex_(frontStubLongIndex),
           frontStubRoundingType_(frontStubRoundingType), frontStubRoundingPrecision_(frontStubRoundingPrecision),
           backStubShortIndex_(backStubShortIndex), backStubLongIndex_(backStubLongIndex),
@@ -270,6 +271,7 @@ class FloatingLegData : public LegAdditionalData {
     ScheduleData fixingSchedule() const { return fixingSchedule_; }
     ScheduleData resetSchedule() const { return resetSchedule_; }
     const std::map<QuantLib::Date, double>& historicalFixings() const { return historicalFixings_; }
+    ScheduleData valuationSchedule() const { return valuationSchedule_; }
     const string& frontStubShortIndex() const { return frontStubShortIndex_; }
     const string& frontStubLongIndex() const { return frontStubLongIndex_; }
     const string& frontStubRoundingType() const { return frontStubRoundingType_; }
@@ -322,6 +324,7 @@ class FloatingLegData : public LegAdditionalData {
     ScheduleData fixingSchedule_;
     ScheduleData resetSchedule_;
     std::map<QuantLib::Date, double> historicalFixings_;
+    ScheduleData valuationSchedule_;
     string frontStubShortIndex_;
     string frontStubLongIndex_;
     string frontStubRoundingType_;
@@ -840,6 +843,7 @@ class EquityLegData : public LegAdditionalData {
     Real initialPrice() const { return initialPrice_; }
     Natural fixingDays() const { return fixingDays_; }
     ScheduleData valuationSchedule() const { return valuationSchedule_; }
+    ScheduleData paymentSchedule() const { return paymentSchedule_; }
     const string& eqCurrency() const { return eqCurrency_; }
     const string& fxIndex() const { return fxIndex_; }
     bool notionalReset() const { return notionalReset_; }
@@ -860,6 +864,7 @@ class EquityLegData : public LegAdditionalData {
     bool notionalReset_ = false;
     Natural fixingDays_ = 0;
     ScheduleData valuationSchedule_;
+    ScheduleData paymentSchedule_;
     string eqCurrency_ = "";
     string fxIndex_ = "";
     Real quantity_;
@@ -963,6 +968,7 @@ class LegData : public XMLSerializable {
     const ScheduleData& paymentSchedule() const { return paymentSchedule_; }
     bool strictNotionalDates() const { return strictNotionalDates_; }
     const bool isSimmPlainVanillaIrLeg() const { return concreteLegData_->isSimmPlainVanillaIrLeg(); };
+    const ScheduleData& valuationSchedule() const { return valuationSchedule_; }
     const string& settlementFxIndex() const { return settlementFxIndex_; }
     const string& settlementFxFixingDate() const { return settlementFxFixingDate_; }
     //@}
@@ -1021,6 +1027,7 @@ class LegData : public XMLSerializable {
     string lastPeriodDayCounter_;
     ScheduleData paymentSchedule_;
     bool strictNotionalDates_ = false;
+    ScheduleData valuationSchedule_;
     string settlementFxIndex_;
     string settlementFxFixingDate_;
 };

OREData/ored/portfolio/legdata.hpp

@@ -354,6 +354,11 @@ CPILeg& CPILeg::withSubtractInflationNominalAllCoupons(bool subtractInflationNom
     return *this;
 }
 
+CPILeg& CPILeg::withPaymentDates(const std::vector<QuantLib::Date>& paymentDates){
+    paymentDates_ = paymentDates;
+    return *this;
+}
+
 CPILeg::operator Leg() const {
 
     QL_REQUIRE(!notionals_.empty(), "no notional given");

QuantExt/qle/cashflows/cpicoupon.cpp

@@ -179,6 +179,7 @@ class CPILeg {
     CPILeg& withObservationLag(const Period& observationLag);
     CPILeg& withSubtractInflationNominalAllCoupons(bool subtractInflationNominalAllCoupons);
     CPILeg& withBaseDate(const Date& baseDate);
+    CPILeg& withPaymentDates(const std::vector<Date>& paymentDates);
     operator Leg() const;
 
 private:
@@ -208,7 +209,7 @@ class CPILeg {
     Date startDate_;
     // Needed if baseCPI is not given
     Date baseDate_;
-    
+    std::vector<Date> paymentDates_;
 };
 
 } // namespace QuantExt

QuantExt/qle/cashflows/cpicoupon.hpp

@@ -205,6 +205,11 @@ yoyInflationLeg& yoyInflationLeg::withInflationNotional(bool addInflationNotiona
     return *this;
 }
 
+yoyInflationLeg& yoyInflationLeg::withPaymentDates(const std::vector<QuantLib::Date>& paymentDates) {
+    paymentDates_ = paymentDates;
+    return *this;
+}
+
 yoyInflationLeg::operator Leg() const {
 
     Size n = schedule_.size() - 1;

QuantExt/qle/cashflows/yoyinflationcoupon.cpp

@@ -129,6 +129,7 @@ class yoyInflationLeg {
     yoyInflationLeg& withFloors(const std::vector<Rate>& floors);
     yoyInflationLeg& withRateCurve(const Handle<YieldTermStructure>& rateCurve);
     yoyInflationLeg& withInflationNotional(bool addInflationNotional_);
+    yoyInflationLeg& withPaymentDates(const std::vector<QuantLib::Date>& paymentDates);
     operator Leg() const;
 
 private:
@@ -146,6 +147,7 @@ class yoyInflationLeg {
     std::vector<Rate> caps_, floors_;
     Handle<YieldTermStructure> rateCurve_;
     bool addInflationNotional_;
+    std::vector<QuantLib::Date> paymentDates_;
 };
 } // namespace QuantExt
 #endif