QPR-12430 make calendar and bdc optional in conventions and default to the index values

Author: pcaspers

OREData/ored/configuration/conventions.cpp

@@ -474,11 +474,20 @@ IRSwapConvention::IRSwapConvention(const string& id, const string& fixedCalendar
 }
 
 void IRSwapConvention::build() {
-    fixedCalendar_ = parseCalendar(strFixedCalendar_);
     fixedFrequency_ = parseFrequency(strFixedFrequency_);
-    fixedConvention_ = parseBusinessDayConvention(strFixedConvention_);
     fixedDayCounter_ = parseDayCounter(strFixedDayCounter_);
-    parseIborIndex(strIndex_);
+    auto ind = parseIborIndex(strIndex_);
+
+    if (strFixedCalendar_.empty())
+        fixedCalendar_ = ind->fixingCalendar();
+    else
+        fixedCalendar_ = parseCalendar(strFixedCalendar_);
+
+    if (strFixedConvention_.empty())
+        fixedConvention_ = ind->businessDayConvention();
+    else
+        fixedConvention_ = parseBusinessDayConvention(strFixedConvention_);
+
     if (hasSubPeriod_) {
         floatFrequency_ = parseFrequency(strFloatFrequency_);
         subPeriodsCouponType_ = parseSubPeriodsCouponType(strSubPeriodsCouponType_);
@@ -495,13 +504,13 @@ void IRSwapConvention::fromXML(XMLNode* node) {
     id_ = XMLUtils::getChildValue(node, "Id", true);
 
     // Get string values from xml
-    strFixedCalendar_ = XMLUtils::getChildValue(node, "FixedCalendar", true);
     strFixedFrequency_ = XMLUtils::getChildValue(node, "FixedFrequency", true);
-    strFixedConvention_ = XMLUtils::getChildValue(node, "FixedConvention", true);
     strFixedDayCounter_ = XMLUtils::getChildValue(node, "FixedDayCounter", true);
     strIndex_ = XMLUtils::getChildValue(node, "Index", true);
 
     // optional
+    strFixedCalendar_ = XMLUtils::getChildValue(node, "FixedCalendar", false);
+    strFixedConvention_ = XMLUtils::getChildValue(node, "FixedConvention", false);
     strFloatFrequency_ = XMLUtils::getChildValue(node, "FloatFrequency", false);
     strSubPeriodsCouponType_ = XMLUtils::getChildValue(node, "SubPeriodsCouponType", false);
     hasSubPeriod_ = (strFloatFrequency_ != "");

xsd/conventions.xsd

@@ -111,9 +111,9 @@
   <xs:complexType name="swapType">
     <xs:all>
       <xs:element type="xs:string" name="Id" minOccurs="1" maxOccurs="1"/>
-      <xs:element type="xs:string" name="FixedCalendar" minOccurs="1" maxOccurs="1"/>
+      <xs:element type="xs:string" name="FixedCalendar" minOccurs="0" maxOccurs="1"/>
       <xs:element type="frequencyType" name="FixedFrequency" minOccurs="1" maxOccurs="1"/>
-      <xs:element type="businessDayConvention" name="FixedConvention" minOccurs="1" maxOccurs="1"/>
+      <xs:element type="businessDayConvention" name="FixedConvention" minOccurs="0" maxOccurs="1"/>
       <xs:element type="dayCounter" name="FixedDayCounter" minOccurs="1" maxOccurs="1"/>
       <xs:element type="xs:string" name="Index" minOccurs="1" maxOccurs="1"/>
       <xs:element type="frequencyType" name="FloatFrequency" minOccurs="0" maxOccurs="1"/>