QPR-13768 use forward schedule, fix settlement days default

Author: pcaspers

QuantExt/qle/instruments/makeoiscapfloor.cpp

@@ -26,7 +26,7 @@ MakeOISCapFloor::MakeOISCapFloor(CapFloor::Type type, const Period& tenor, const
                                  const Period& rateComputationPeriod, Rate strike,
                                  const QuantLib::Handle<QuantLib::YieldTermStructure>& discountCurve)
     : type_(type), tenor_(tenor), index_(index), rateComputationPeriod_(rateComputationPeriod), strike_(strike),
-      nominal_(1.0), settlementDays_(2), calendar_(index->fixingCalendar()), convention_(ModifiedFollowing),
+      nominal_(1.0), settlementDays_(0), calendar_(index->fixingCalendar()), convention_(ModifiedFollowing),
       rule_(DateGeneration::Backward), dayCounter_(index->dayCounter()), telescopicValueDates_(false),
       discountCurve_(discountCurve) {}
 
@@ -43,8 +43,8 @@ MakeOISCapFloor::operator Leg() const {
 
     Date endDate = calendar.adjust(startDate + tenor_, ModifiedFollowing);
 
-    Schedule schedule(startDate, endDate, rateComputationPeriod_, calendar, ModifiedFollowing, ModifiedFollowing,
-                      DateGeneration::Backward, false);
+    Schedule schedule(startDate, endDate, rateComputationPeriod_, calendar, ModifiedFollowing, ModifiedFollowing, rule_,
+                      false);
 
     // determine atm strike if required
     Real effectiveStrike = strike_;

QuantExt/qle/termstructures/oiscapfloorhelper.cpp

@@ -77,10 +77,12 @@ void OISCapFloorHelper::initializeDates() {
         Rate dummyStrike = strike_ == Null<Real>() ? 0.01 : strike_;
         capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, dummyStrike)
                         .withEffectiveDate(effectiveDate_)
-                        .withTelescopicValueDates(true);
+                        .withTelescopicValueDates(true)
+                        .withRule(DateGeneration::Rule::Forward);
         capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, dummyStrike)
                             .withEffectiveDate(effectiveDate_)
-                            .withTelescopicValueDates(true);
+                            .withTelescopicValueDates(true)
+                            .withRule(DateGeneration::Rule::Forward);
 
         QL_REQUIRE(!capFloor_.empty(), "OISCapFloorHelper: got empty leg.");
 
@@ -108,10 +110,12 @@ void OISCapFloorHelper::setTermStructure(OptionletVolatilityStructure* ovts) {
         CapFloor::Type capFloorType = type_ == CapFloorHelper::Cap ? CapFloor::Cap : CapFloor::Floor;
         capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, atm)
                         .withTelescopicValueDates(true)
-                        .withEffectiveDate(effectiveDate_);
+                        .withEffectiveDate(effectiveDate_)
+                        .withRule(DateGeneration::Rule::Forward);
         capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, atm)
-                        .withTelescopicValueDates(true)
-                            .withEffectiveDate(effectiveDate_);
+                            .withTelescopicValueDates(true)
+                            .withEffectiveDate(effectiveDate_)
+                            .withRule(DateGeneration::Rule::Forward);
     } else if (type_ == CapFloorHelper::Automatic && quoteType_ != CapFloorHelper::Premium) {
         // If the helper is set to automatically choose the underlying instrument type, do it now based on the ATM rate
         Rate atm = CashFlows::atmRate(getOisCapFloorUnderlying(capFloor_), **discountHandle_, false);
@@ -121,7 +125,9 @@ void OISCapFloorHelper::setTermStructure(OptionletVolatilityStructure* ovts) {
                         .withEffectiveDate(effectiveDate_);
         capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, strike_)
                             .withTelescopicValueDates(true)
-                            .withEffectiveDate(effectiveDate_);
+                            .withEffectiveDate(effectiveDate_)
+                            .withRule(DateGeneration::Rule::Forward);
+
         for (auto const& c : capFloor_) {
 	    auto cpn = QuantLib::ext::dynamic_pointer_cast<Coupon>(c);
         }