QPR-11947 -- Create separate node for schedule-based exercise dates

Author: NathanielVolfango

Docs/UserGuide/tradecomponents/optiondata.tex

@@ -29,15 +29,14 @@ \subsubsection{Option Data}
     <ExerciseDate>2019-04-20</ExerciseDate>
     <ExerciseDate>2020-04-20</ExerciseDate>
   </ExerciseDates>
-  <!-- ExerciseDates alternative ScheduleData format -->
-  <ExerciseDates>
-    <Dates>
-      <Dates>
-        <Date>2019-04-20</Date>
-        <Date>2020-04-20</Date>
-      </Dates>
-    </Dates>
-  </ExerciseDates>
+  <!-- Alternative format for exercise dates using Schedule format -->
+  <ExerciseSchedule>
+    <Rules>
+      <StartDate>2019-04-20</StartDate>
+      <EndDate>2024-04-20</EndDate>
+      <Tenor>3M</Tenor>
+    </Rules>
+  </ExerciseSchedule>
   <Premiums>
     <Premium>
       <Amount>100000</Amount>
@@ -203,13 +202,17 @@ \subsubsection{Option Data}
   
   Allowable values: See Table \ref{tab:convention} Roll Convention.
 
-\item ExerciseDates: This node can either contain child elements of type
-  \lstinline!ExerciseDate!, or be specified in the same format as a Schedule
-  (see Section \ref{ss:schedule_data}). Options of style \emph{European} or
+\item ExerciseDates: This node contains child elements of type
+  \lstinline!ExerciseDate!. Options of style \emph{European} or
   \emph{American} require a single exercise date expressed by one
   single \lstinline!ExerciseDate! child element.  \emph{Bermudan}
   style options must have two or more \lstinline!ExerciseDate! child
-  elements.
+  elements. One can alternatively use \lstinline!ExerciseSchedule! to
+  specify the option exercise dates.
+
+\item ExerciseSchedule [Optional]: This node can be provided instead of \lstinline!ExerciseDates! and
+should be specified in the same format as a Schedule (see Section \ref{ss:schedule_data}), e.g.\ for
+a list of Bermudan exercise dates.
 
 \item Premiums [Optional]: Option premium amounts paid by the option buyer to the option seller.
 

OREData/ored/portfolio/optiondata.cpp

@@ -55,13 +55,15 @@ void OptionData::fromXML(XMLNode* node) {
     exerciseFeeSettlementConvention_ = XMLUtils::getChildValue(node, "ExerciseFeeSettlementConvention", false);
     exercisePrices_ = XMLUtils::getChildrenValuesAsDoubles(node, "ExercisePrices", "ExercisePrice", false);
 
-    if (XMLNode* n = XMLUtils::getChildNode(node, "ExerciseDates")) {
-        if (XMLUtils::getChildNode(n, "ExerciseDate")) {
-            // For backward compatibility
-            exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate");
-        } else {
-            exerciseDatesSchedule_.fromXML(n);
-        }
+    XMLNode* exDatesNode = XMLUtils::getChildNode(node, "ExerciseDates");
+    XMLNode* exScheduleNode = XMLUtils::getChildNode(node, "ExerciseSchedule");
+    QL_REQUIRE(!(exDatesNode && exScheduleNode),
+               "Cannot specify both ExerciseDates and ExerciseSchedule. Only one must be used.");
+    if (exDatesNode) {
+        exerciseDates_ = XMLUtils::getChildrenValues(node, "ExerciseDates", "ExerciseDate");
+    }
+    if (exScheduleNode) {
+        exerciseDatesSchedule_.fromXML(exScheduleNode);
     }
 
     automaticExercise_ = boost::none;
@@ -112,7 +114,14 @@ XMLNode* OptionData::toXML(XMLDocument& doc) {
     if (exerciseFeeSettlementConvention_ != "")
         XMLUtils::addChild(doc, node, "ExerciseFeeSettlementConvention", exerciseFeeSettlementConvention_);
     XMLUtils::addChildren(doc, node, "ExercisePrices", "ExercisePrice", exercisePrices_);
-    XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
+
+    if (exerciseDatesSchedule_.hasData()) {
+        XMLNode* scheduleDataNode = exerciseDatesSchedule_.toXML(doc);
+        XMLUtils::setNodeName(doc, scheduleDataNode, "ExerciseSchedule");
+        XMLUtils::appendNode(node, scheduleDataNode);
+    } else {
+        XMLUtils::addChildren(doc, node, "ExerciseDates", "ExerciseDate", exerciseDates_);
+    }
 
     if (automaticExercise_)
         XMLUtils::addChild(doc, node, "AutomaticExercise", *automaticExercise_);

xsd/instruments.xsd

@@ -317,13 +317,7 @@
       <xs:element type="xs:string" name="ExerciseFeeSettlementPeriod" minOccurs="0"/>
       <xs:element type="xs:string" name="ExerciseFeeSettlementCalendar" minOccurs="0"/>
       <xs:element type="xs:string" name="ExerciseFeeSettlementConvention" minOccurs="0"/>
-      <xs:element name="ExerciseDates" minOccurs="0">
-        <xs:complexType>
-          <xs:sequence>
-            <xs:element type="date" name="ExerciseDate" minOccurs="0" maxOccurs="unbounded"/>
-          </xs:sequence>
-        </xs:complexType>
-      </xs:element>
+      <xs:element ref="exerciseDatesGroup" minOccurs="0" />
       <xs:element type="bool" name="AutomaticExercise" minOccurs="0"/>
       <xs:element type="optionExerciseData" name="ExerciseData" minOccurs="0"/>
       <xs:element type="optionPaymentData" name="PaymentData" minOccurs="0"/>
@@ -416,6 +410,16 @@
     </xs:all>
   </xs:complexType>
 
+  <xs:element name="exerciseDatesGroup" abstract="true" />
+  <xs:element name="ExerciseDates" substitutionGroup="exerciseDatesGroup">
+    <xs:complexType>
+      <xs:sequence>
+        <xs:element type="date" name="ExerciseDate" minOccurs="0" maxOccurs="unbounded"/>
+      </xs:sequence>
+    </xs:complexType>
+  </xs:element>
+  <xs:element name="ExerciseSchedule" type="scheduleData" substitutionGroup="exerciseDatesGroup" />
+
   <xs:element name="legDataType" abstract="true"/>
   <xs:element name="CashflowData" substitutionGroup="legDataType">
     <xs:complexType>