QPR-13776 Scale RPA notional by participation Rate when IM Schedule

sebastien.bouvard · sebastien.bouvard · commit eae6d260fa9f · 2026-01-19T16:16:37.000Z
diff --git a/OREData/ored/portfolio/riskparticipationagreement.cpp b/OREData/ored/portfolio/riskparticipationagreement.cpp
@@ -192,6 +192,7 @@ void RiskParticipationAgreement::buildWithSwapUnderlying(const QuantLib::ext::sh
                                                          engineFactory->configuration(MarketContext::pricing))
                                                 ->value());
     }
+    notional_ = envelope().additionalField("im_model") == "Schedule" ? notional_ * participationRate_ : notional_;
     legs_ = underlyingLegs;
     legCurrencies_ = underlyingCcys;
     legPayers_ = underlyingPayer;
@@ -274,6 +275,7 @@ void RiskParticipationAgreement::buildWithTlockUnderlying(const QuantLib::ext::s
     }
 
     Date paymentDate = paymentCalendar.advance(terminationDate, paymentGap * Days);
+    std::cout<<"notional="<<notional_<<std::endl;
     auto qleInstr = QuantLib::ext::make_shared<QuantExt::RiskParticipationAgreementTLock>(
         bond, notional_, payer, referenceRate, dayCounter, terminationDate, paymentDate, protectionFeeLegs,
         protectionPayer.front(), protectionCcys, participationRate_, protectionStart_, protectionEnd_, settlesAccrual_,

Original file line number	Diff line number	Diff line change
`@@ -192,6 +192,7 @@ void RiskParticipationAgreement::buildWithSwapUnderlying(const QuantLib::ext::sh`
`192`	`192`	`engineFactory->configuration(MarketContext::pricing))`
`193`	`193`	`->value());`
`194`	`194`	`}`
	`195`	`+ notional_ = envelope().additionalField("im_model") == "Schedule" ? notional_ * participationRate_ : notional_;`
`195`	`196`	`legs_ = underlyingLegs;`
`196`	`197`	`legCurrencies_ = underlyingCcys;`
`197`	`198`	`legPayers_ = underlyingPayer;`
`@@ -274,6 +275,7 @@ void RiskParticipationAgreement::buildWithTlockUnderlying(const QuantLib::ext::s`
`274`	`275`	`}`
`275`	`276`
`276`	`277`	`Date paymentDate = paymentCalendar.advance(terminationDate, paymentGap * Days);`
	`278`	`+ std::cout<<"notional="<<notional_<<std::endl;`
`277`	`279`	`auto qleInstr = QuantLib::ext::make_shared<QuantExt::RiskParticipationAgreementTLock>(`
`278`	`280`	`bond, notional_, payer, referenceRate, dayCounter, terminationDate, paymentDate, protectionFeeLegs,`
`279`	`281`	`protectionPayer.front(), protectionCcys, participationRate_, protectionStart_, protectionEnd_, settlesAccrual_,`