Merge branch 'QPR-11765' of gitlab.acadiasoft.net:qs/oreplus into QPR-11765

Author: pcaspers

OREData/ored/portfolio/legdata.cpp

@@ -1285,7 +1285,7 @@ Leg makeIborLeg(const LegData& data, const boost::shared_ptr<IborIndex>& index,
                                         resetSchedule.dates(), fixingDays, data.notionals(), notionalDatesAsDates,
                                         floatData->spreads(), spreadDatesAsDates, floatData->gearings(),
                                         gearingDatesAsDates, data.strictNotionalDates(), dc, paymentCalendar, bdc,
-                                        boost::apply_visitor(PaymentLagPeriod(), paymentLag));
+                                        boost::apply_visitor(PaymentLagPeriod(), paymentLag), isInArrears);
 
         isNonStandard = true;
     }

OREData/ored/portfolio/makenonstandardlegs.cpp

@@ -32,7 +32,7 @@ Leg makeNonStandardIborLeg(const boost::shared_ptr<IborIndex>& index, const std:
                            const std::vector<Real>& spreads, const std::vector<Date>& spreadDatesInput,
                            const std::vector<Real>& gearings, const std::vector<Date>& gearingDatesInput,
                            const bool strictNotionalDates, const DayCounter& dayCounter, const Calendar& payCalendar,
-                           const BusinessDayConvention payConv, const Period& payLag) {
+                           const BusinessDayConvention payConv, const Period& payLag, const bool isInArrears) {
 
     // checks
 
@@ -67,8 +67,8 @@ Leg makeNonStandardIborLeg(const boost::shared_ptr<IborIndex>& index, const std:
     if (resetDates.empty() && fixingDates.empty()) {
         for (Size i = 0; i < calcDates.size() - 1; ++i) {
             resetDates.push_back(calcDates[i]);
-            fixingDates.push_back(
-                index->fixingCalendar().advance(resetDates.back(), -static_cast<int>(fixingDays) * Days, Preceding));
+            fixingDates.push_back(index->fixingCalendar().advance(isInArrears ? calcDates[i + 1] : calcDates[i],
+                                                                  -static_cast<int>(fixingDays) * Days, Preceding));
         }
     } else if (resetDates.empty()) {
         for (Size i = 0; i < fixingDates.size(); ++i) {

OREData/ored/portfolio/makenonstandardlegs.hpp

@@ -28,16 +28,15 @@
 
 namespace ore::data {
 
-QuantLib::Leg
-makeNonStandardIborLeg(const boost::shared_ptr<QuantLib::IborIndex>& index,
-                       const std::vector<QuantLib::Date>& calcDates, const std::vector<QuantLib::Date>& payDates,
-                       const std::vector<QuantLib::Date>& fixingDates, const std::vector<QuantLib::Date>& resetDates,
-                       const QuantLib::Size fixingDays, const std::vector<QuantLib::Real>& notionals,
-                       const std::vector<QuantLib::Date>& notionalDates, const std::vector<QuantLib::Real>& spreads,
-                       const std::vector<QuantLib::Date>& spreadDates, const std::vector<QuantLib::Real>& gearings,
-                       const std::vector<QuantLib::Date>& gearingDates, const bool strictNotionalDates,
-                       const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& payCalendar,
-                       const QuantLib::BusinessDayConvention payConv, const QuantLib::Period& payLag);
+QuantLib::Leg makeNonStandardIborLeg(
+    const boost::shared_ptr<QuantLib::IborIndex>& index, const std::vector<QuantLib::Date>& calcDates,
+    const std::vector<QuantLib::Date>& payDates, const std::vector<QuantLib::Date>& fixingDates,
+    const std::vector<QuantLib::Date>& resetDates, const QuantLib::Size fixingDays,
+    const std::vector<QuantLib::Real>& notionals, const std::vector<QuantLib::Date>& notionalDates,
+    const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Date>& spreadDates,
+    const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Date>& gearingDates,
+    const bool strictNotionalDates, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& payCalendar,
+    const QuantLib::BusinessDayConvention payConv, const QuantLib::Period& payLag, const bool isInArrears);
 
 QuantLib::Leg makeNonStandardFixedLeg(const std::vector<QuantLib::Date>& calcDates,
                                       const std::vector<QuantLib::Date>& payDates,