QPR-12469 ensure valid fixing date

pcaspers · jenkins · commit df5361415124 · 2024-04-24T16:14:18.000Z
diff --git a/OREData/ored/marketdata/genericyieldvolcurve.cpp b/OREData/ored/marketdata/genericyieldvolcurve.cpp
@@ -46,9 +46,9 @@ namespace {
 Rate atmStrike(const Date& optionD, const Period& swapTenor, const QuantLib::ext::shared_ptr<SwapIndex> swapIndexBase,
                const QuantLib::ext::shared_ptr<SwapIndex> shortSwapIndexBase) {
     if (swapTenor > shortSwapIndexBase->tenor()) {
-        return swapIndexBase->clone(swapTenor)->fixing(optionD);
+        return swapIndexBase->clone(swapTenor)->fixing(swapIndexBase->fixingCalendar().adjust(optionD));
     } else {
-        return shortSwapIndexBase->clone(swapTenor)->fixing(optionD);
+        return shortSwapIndexBase->clone(swapTenor)->fixing(shortSwapIndexBase->fixingCalendar().adjust(optionD));
     }
 }
 } // namespace

Original file line number	Diff line number	Diff line change
`@@ -46,9 +46,9 @@ namespace {`
`46`	`46`	`Rate atmStrike(const Date& optionD, const Period& swapTenor, const QuantLib::ext::shared_ptr<SwapIndex> swapIndexBase,`
`47`	`47`	`const QuantLib::ext::shared_ptr<SwapIndex> shortSwapIndexBase) {`
`48`	`48`	`if (swapTenor > shortSwapIndexBase->tenor()) {`
`49`		`- return swapIndexBase->clone(swapTenor)->fixing(optionD);`
	`49`	`+ return swapIndexBase->clone(swapTenor)->fixing(swapIndexBase->fixingCalendar().adjust(optionD));`
`50`	`50`	`} else {`
`51`		`- return shortSwapIndexBase->clone(swapTenor)->fixing(optionD);`
	`51`	`+ return shortSwapIndexBase->clone(swapTenor)->fixing(shortSwapIndexBase->fixingCalendar().adjust(optionD));`
`52`	`52`	`}`
`53`	`53`	`}`
`54`	`54`	`} // namespace`