Merge pull request #1256.

Check for ex-trading date in `Coupon::accruedPeriod`
lballabio · Dec 2, 2021 · 38a6c45 · 38a6c45
2 parents eaf0315 + 44fd1a8
commit 38a6c45
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Showing 4 changed files with 7 additions and 27 deletions.
diff --git a/ql/cashflows/coupon.cpp b/ql/cashflows/coupon.cpp
@@ -57,6 +57,9 @@ namespace QuantLib {
     Time Coupon::accruedPeriod(const Date& d) const {
         if (d <= accrualStartDate_ || d > paymentDate_) {
             return 0.0;
+        } else if (tradingExCoupon(d)) {
+            return -dayCounter().yearFraction(d, std::max(d, accrualEndDate_),
+                                              refPeriodStart_, refPeriodEnd_);
         } else {
             return dayCounter().yearFraction(accrualStartDate_,
                                              std::min(d, accrualEndDate_),

diff --git a/ql/cashflows/floatingratecoupon.cpp b/ql/cashflows/floatingratecoupon.cpp
@@ -70,17 +70,8 @@ namespace QuantLib {
         if (d <= accrualStartDate_ || d > paymentDate_) {
             // out of coupon range
             return 0.0;
-        } else if (tradingExCoupon(d)) {
-            return -nominal() * rate() *
-                   dayCounter().yearFraction(d, std::max(d, accrualEndDate_),
-                                             refPeriodStart_, refPeriodEnd_);
         } else {
-            // usual case
-            return nominal() * rate() *
-                dayCounter().yearFraction(accrualStartDate_,
-                                          std::min(d, accrualEndDate_),
-                                          refPeriodStart_,
-                                          refPeriodEnd_);
+            return nominal() * rate() * accruedPeriod(d);
         }
     }
 

diff --git a/ql/cashflows/inflationcoupon.cpp b/ql/cashflows/inflationcoupon.cpp
@@ -73,20 +73,8 @@ namespace QuantLib {
     Real InflationCoupon::accruedAmount(const Date& d) const {
         if (d <= accrualStartDate_ || d > paymentDate_) {
             return 0.0;
-        }else if (tradingExCoupon(d)) {
-            return -nominal() * rate() *
-            dayCounter().yearFraction(d,
-                                      std::max(d, accrualEndDate_),
-                                      refPeriodStart_,
-                                      refPeriodEnd_);
-        }
-        else {
-            return nominal() * rate() *
-                dayCounter().yearFraction(accrualStartDate_,
-                    std::min(d, accrualEndDate_),
-                    refPeriodStart_,
-                    refPeriodEnd_);
-
+        } else {
+            return nominal() * rate() * accruedPeriod(d);
         }
     }
 

diff --git a/ql/cashflows/overnightindexedcoupon.cpp b/ql/cashflows/overnightindexedcoupon.cpp
@@ -235,9 +235,7 @@ namespace QuantLib {
             // out of coupon range
             return 0.0;
         } else if (tradingExCoupon(d)) {
-            return -nominal() * averageRate(d) *
-                   dayCounter().yearFraction(d, std::max(d, accrualEndDate_), refPeriodStart_,
-                                             refPeriodEnd_);
+            return nominal() * averageRate(d) * accruedPeriod(d);
         } else {
             // usual case
             return nominal() * averageRate(std::min(d, accrualEndDate_)) * accruedPeriod(d);