QPR-11772 build cap / floors on BMA correctly

Author: pcaspers

OREData/ored/portfolio/capfloor.cpp

@@ -89,14 +89,11 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
 
         bool isBmaIndex = boost::dynamic_pointer_cast<QuantExt::BMAIndexWrapper>(index) != nullptr;
 
-        if (!isBmaIndex && !floatData->hasSubPeriods()) {
+        if (!floatData->hasSubPeriods()) {
             // For the cases where we support caps and floors in the regular way, we build a floating leg with
             // the nakedOption flag set to true, this avoids maintaining all features in legs with associated
             // coupon pricers and at the same time in the QuaantLib::CapFloor instrument and pricing engine.
-            // Supported cases are
-            // - Ibor coupon without sub periods (hasSubPeriods = false)
-            // - compounded ON coupon, averaged ON coupon
-            // The other cases are handled below.
+            // The only remaining unsupported case are ibor coupons with sub periods
             LegData tmpLegData = legData_;
             boost::shared_ptr<FloatingLegData> tmpFloatData = boost::make_shared<FloatingLegData>(*floatData);
             tmpFloatData->floors() = floors_;
@@ -124,12 +121,11 @@ void CapFloor::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
             maturity_ = CashFlows::maturityDate(legs_.front());
         } else {
             // For the cases where we don't have regular cap / floor support we treat the index approximately as an Ibor
-            // index and build an QuantLib::CapFloor with associated pricing engine. These cases comprise:
-            // - BMA coupons
-            // - Ibor coupons with sub periods (hasSubPeriods = true)
+            // index and build an QuantLib::CapFloor with associated pricing engine. The only remaining case where this
+            // is done are Ibor subperiod coupons
 
-            ALOG("CapFloor trade " << id() << " on a) BMA or b) sub periods Ibor (index = '" << underlyingIndex
-                                   << "') built, will treat the index approximately as an ibor index");
+            ALOG("CapFloor trade " << id() << " on sub periods Ibor (index = '" << underlyingIndex
+                                   << "') built, will ignore sub periods feature");
             builder = engineFactory->builder(tradeType_);
             legs_.push_back(makeIborLeg(legData_, index, engineFactory));