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Commit bbcd391

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author
sebastien.bouvard
committed
QPR-11556 Resolve fixing issue
1 parent 6840c20 commit bbcd391

1 file changed

Lines changed: 3 additions & 3 deletions

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OREData/ored/portfolio/fixingdates.cpp

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -645,9 +645,9 @@ void FixingDateGetter::visit(QuantExt::CappedFlooredOvernightIndexedCoupon& c) {
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if(pov){
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QuantLib::ext::shared_ptr<QuantLib::IborIndex> baseIndex = pov->getBaseIndex();
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// Create a window of fixings [min, max_] to cover all potential fixings
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auto test = c.underlying()->fixingDates();
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std::sort(test.begin(), test.end());
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QuantLib::Date minDate = test.front() > Settings::instance().evaluationDate()?Settings::instance().evaluationDate():test.front();
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auto fixingDates = c.underlying()->fixingDates();
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std::sort(fixingDates.begin(), fixingDates.end());
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QuantLib::Date minDate = fixingDates.front() > Settings::instance().evaluationDate()?Settings::instance().evaluationDate():fixingDates.front();
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std::vector<QuantLib::Date> businessDates;
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for (QuantLib::Date d = minDate; d <= max_; d = d + 1) {
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if (baseIndex->fixingCalendar().isBusinessDay(d)) {

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