Account for payment lag in CPI coupons

Author: gbfredrik

OREData/ored/portfolio/legdata.cpp

@@ -1662,6 +1662,7 @@ Leg makeCPILeg(const LegData& data, const boost::shared_ptr<ZeroInflationIndex>&
     bool finalFlowCapFloor = cpiLegData->finalFlowCap() != Null<Real>() || cpiLegData->finalFlowFloor() != Null<Real>();
 
     applyAmortization(notionals, data, schedule, false);
+    PaymentLag paymentLag = parsePaymentLag(data.paymentLag());
 
     QuantExt::CPILeg cpiLeg =
         QuantExt::CPILeg(schedule, index,
@@ -1672,6 +1673,7 @@ Leg makeCPILeg(const LegData& data, const boost::shared_ptr<ZeroInflationIndex>&
             .withPaymentDayCounter(dc)
             .withPaymentAdjustment(bdc)
             .withPaymentCalendar(paymentCalendar)
+            .withPaymentLag(boost::apply_visitor(PaymentLagInteger(), paymentLag))
             .withFixedRates(rates)
             .withObservationInterpolation(interpolationMethod)
             .withSubtractInflationNominal(cpiLegData->subtractInflationNominal())

QuantExt/qle/cashflows/cpicoupon.cpp

@@ -277,6 +277,11 @@ CPILeg& CPILeg::withPaymentCalendar(const Calendar& cal) {
     return *this;
 }
 
+CPILeg& CPILeg::withPaymentLag(Natural lag) {
+    paymentLag_ = lag;
+    return *this;
+}
+
 CPILeg& CPILeg::withFixingDays(Natural fixingDays) {
     fixingDays_ = std::vector<Natural>(1, fixingDays);
     return *this;
@@ -366,7 +371,7 @@ CPILeg::operator Leg() const {
         for (Size i = 0; i < n; ++i) {
             refStart = start = schedule_.date(i);
             refEnd = end = schedule_.date(i + 1);
-            Date paymentDate = paymentCalendar_.adjust(end, paymentAdjustment_);
+            Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
 
             Date exCouponDate;
             if (exCouponPeriod_ != Period()) {
@@ -405,10 +410,13 @@ CPILeg::operator Leg() const {
     }
 
     // in CPI legs you always have a notional flow of some sort
-    Date paymentDate = paymentCalendar_.adjust(schedule_.date(n), paymentAdjustment_);
 
+    // Previous implementations didn't differentiate the observation and payment dates
+    Date observationDate = paymentCalendar_.adjust(schedule_.date(n), paymentAdjustment_);
+    Date paymentDate = paymentCalendar_.advance(schedule_.date(n), paymentLag_, Days, paymentAdjustment_);
+
     ext::shared_ptr<CPICashFlow> xnl = ext::make_shared<CPICashFlow>(
-        detail::get(notionals_, n, 0.0), index_, baseDate, baseCPI_, paymentDate, observationLag_,
+        detail::get(notionals_, n, 0.0), index_, baseDate, baseCPI_, observationDate, observationLag_,
         observationInterpolation_, paymentDate, subtractInflationNominal_);
 
     if (finalFlowCap_ == Null<Real>() && finalFlowFloor_ == Null<Real>()) {

QuantExt/qle/cashflows/cpicoupon.hpp

@@ -146,6 +146,7 @@ class CPILeg {
     CPILeg& withPaymentDayCounter(const DayCounter&);
     CPILeg& withPaymentAdjustment(BusinessDayConvention);
     CPILeg& withPaymentCalendar(const Calendar&);
+    CPILeg& withPaymentLag(Natural lag);
     CPILeg& withFixingDays(Natural fixingDays);
     CPILeg& withFixingDays(const std::vector<Natural>& fixingDays);
     CPILeg& withObservationInterpolation(CPI::InterpolationType);
@@ -176,6 +177,7 @@ class CPILeg {
     DayCounter paymentDayCounter_;
     BusinessDayConvention paymentAdjustment_;
     Calendar paymentCalendar_;
+    Natural paymentLag_;
     std::vector<Natural> fixingDays_;
     CPI::InterpolationType observationInterpolation_;
     bool subtractInflationNominal_;