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Add support for SubPeriodsCoupons (IborIndex only) in AMC #165

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Merged
pcaspers merged 1 commit into from
Jul 12, 2023
Merged

Add support for SubPeriodsCoupons (IborIndex only) in AMC #165

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12 changes: 12 additions & 0 deletions QuantExt/qle/pricingengines/mcmultilegbaseengine.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -19,6 +19,7 @@
#include <qle/cashflows/averageonindexedcoupon.hpp>
#include <qle/cashflows/indexedcoupon.hpp>
#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/cashflows/subperiodscoupon.hpp>
#include <qle/pricingengines/mcmultilegbaseengine.hpp>

#include <ql/cashflows/averagebmacoupon.hpp>
Expand Down Expand Up @@ -646,6 +647,17 @@ void McMultiLegBaseEngine::calculate() const {
bmaIndex->forwardingTermStructure()),
bma->gearing(), bma->spread(), bma->referencePeriodStart(), bma->referencePeriodEnd(),
bma->dayCounter(), false, Date());
} else if (auto spc = boost::dynamic_pointer_cast<QuantExt::SubPeriodsCoupon1>(cpn)) {
auto iborIndex = boost::dynamic_pointer_cast<IborIndex>(spc->index());
QL_REQUIRE(iborIndex, "McMultiLegBaseEngine: SubPeriodsCoupon with non-ibor index is not supported.");
flr = boost::make_shared<IborCoupon>(
spc->date(), spc->nominal(), spc->accrualStartDate(), spc->accrualEndDate(), spc->fixingDays(),
boost::make_shared<IborIndex>(
"proxy-ibor", (spc->accrualEndDate() - spc->accrualStartDate()) * Days, spc->fixingDays(),
iborIndex->currency(), iborIndex->fixingCalendar(), Following, false, spc->dayCounter(),
iborIndex->forwardingTermStructure()),
spc->gearing(), spc->spread(), spc->referencePeriodStart(), spc->referencePeriodEnd(),
spc->dayCounter(), false, Date());
}

// in arrears?
Expand Down