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QPR-11988 handle optional startdate
1 parent 82c61b1 commit ce98063

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Lines changed: 4 additions & 3 deletions

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OREData/ored/portfolio/builders/fxbarrieroption.cpp

Lines changed: 4 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -68,10 +68,10 @@ GenericBarrierOptionData parseFxBarrierOption(const ore::data::FxOptionWithBarri
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} else {
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QL_FAIL("FxBarrierOptionScriptedEngineBuilder: only single and double barriers are supported. Please check trade xml.");
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}
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std::string startDate = to_string(fxBarrierOption->startDate());
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Date today = Settings::instance().evaluationDate();
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auto start = fxBarrierOption->startDate();
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std::string startDate = start == Date() ? to_string(today) : to_string(start);
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std::string exerciseDate = data.optionData.exerciseDates().front();
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ScheduleRules rule(startDate, exerciseDate, "1D", fxBarrierOption->calendarStr(), "Following", "Unadjusted",
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"Backward");
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data.barrierMonitoringDates = ScheduleData(rule);
@@ -113,6 +113,7 @@ GenericBarrierOptionData parseFxKIKOBarrierOptionData(const ore::data::FxKIKOBar
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data.optionData = fxKiKoBarrierOption->option();
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std::string startDate = fxKiKoBarrierOption->startDate();
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startDate = startDate.empty() ? to_string(Settings::instance().evaluationDate()) : startDate;
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std::string exerciseDate = data.optionData.exerciseDates().front();
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ScheduleRules rule(startDate, exerciseDate, "1D", fxKiKoBarrierOption->calendar(), "Following", "Unadjusted",

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