QPR-13614 make indexed coupon fixing optional when fixingDate==valuationDate

Damien Barker · Damien Barker · commit e838701db79a · 2025-11-27T09:57:51.000Z
diff --git a/OREData/ored/portfolio/fixingdates.cpp b/OREData/ored/portfolio/fixingdates.cpp
@@ -697,7 +697,7 @@ void FixingDateGetter::visit(IndexedCoupon& c) {
     // the coupon's index might be null if an initial fixing is provided
     if (c.index()) {
         bool isTodaysFixing = Settings::instance().evaluationDate() == c.fixingDate();
-        requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.index()->name()), c.date(), false, isTodaysFixing);
+        requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.index()->name()), c.date(), false, !isTodaysFixing);
     }
     QL_REQUIRE(c.underlying(), "FixingDateGetter::visit(IndexedCoupon): underlying() is null");
     c.underlying()->accept(*this);

Original file line number	Diff line number	Diff line change
`@@ -697,7 +697,7 @@ void FixingDateGetter::visit(IndexedCoupon& c) {`
`697`	`697`	`// the coupon's index might be null if an initial fixing is provided`
`698`	`698`	`if (c.index()) {`
`699`	`699`	`bool isTodaysFixing = Settings::instance().evaluationDate() == c.fixingDate();`
`700`		`- requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.index()->name()), c.date(), false, isTodaysFixing);`
	`700`	`+ requiredFixings_.addFixingDate(c.fixingDate(), IndexNameTranslator::instance().oreName(c.index()->name()), c.date(), false, !isTodaysFixing);`
`701`	`701`	`}`
`702`	`702`	`QL_REQUIRE(c.underlying(), "FixingDateGetter::visit(IndexedCoupon): underlying() is null");`
`703`	`703`	`c.underlying()->accept(*this);`