QPR-12180 add vol to cf report for duration adjusted cms coupon

Author: pcaspers

OREAnalytics/orea/app/reportwriter.cpp

@@ -38,6 +38,7 @@
 #include <qle/cashflows/equitycoupon.hpp>
 #include <qle/currencies/currencycomparator.hpp>
 #include <qle/instruments/cashflowresults.hpp>
+#include <qle/cashflows/durationadjustedcmscoupon.hpp>
 
 #include <ql/cashflows/averagebmacoupon.hpp>
 #include <ql/cashflows/indexedcashflow.hpp>
@@ -401,7 +402,11 @@ void ReportWriter::writeCashflow(ore::data::Report& report, const std::string& b
                                         swaptionTenor = cms->swapIndex()->tenor();
                                         qlIndexName = cms->swapIndex()->iborIndex()->name();
                                         usesSwaptionVol = true;
-                                    } else if (auto ibor = QuantLib::ext::dynamic_pointer_cast<IborCoupon>(tmp->underlying())) {
+                                    }else if(auto cms = boost::dynamic_pointer_cast<DurationAdjustedCmsCoupon>(tmp->underlying())) {
+                                        swaptionTenor = cms->swapIndex()->tenor();
+                                        qlIndexName = cms->swapIndex()->iborIndex()->name();
+                                        usesSwaptionVol = true;
+                                    }else if (auto ibor = QuantLib::ext::dynamic_pointer_cast<IborCoupon>(tmp->underlying())) {
                                         qlIndexName = ibor->index()->name();
                                         usesCapVol = true;
                                     }

OREData/ored/portfolio/swap.cpp

@@ -328,7 +328,8 @@ std::string isdaSubProductSwap(const std::string& tradeId, const vector<LegData>
         std::string type = legData[i].legType();
         if (type == "Fixed" ||
             type == "ZeroCouponFixed" ||
-            type == "Cashflow")
+            type == "Cashflow"||
+            type == "CommodityFixed")
             nFixed++;
         else if (type == "Floating" ||
                  type == "CPI" ||
@@ -338,7 +339,11 @@ std::string isdaSubProductSwap(const std::string& tradeId, const vector<LegData>
                  type == "CMSSpread" ||
                  type == "DigitalCMSSpread" ||
                  type == "CMB" ||
-                 type == "Equity")
+                 type == "Equity"||
+                 type == "DurationAdjustedCMS"||
+                 type == "FormulaBased"||
+                 type =="CommodityFloating"||
+                 type =="EquityMargin")
             nFloating++;
         else {
             ALOG("leg type " << type << " not mapped for trade " << tradeId);