Add MakeVanillaSwap.withPaymentConvention (#1907)

lballabio · Feb 12, 2024 · 8c87dc2 · 8c87dc2
2 parents 4a21713 + b0a40f0
commit 8c87dc2
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Showing 2 changed files with 9 additions and 2 deletions.
diff --git a/ql/instruments/makevanillaswap.cpp b/ql/instruments/makevanillaswap.cpp
@@ -153,7 +153,7 @@ namespace QuantLib {
             VanillaSwap temp(type_, 100.00, fixedSchedule,
                              0.0, // fixed rate
                              fixedDayCount, floatSchedule, iborIndex_, floatSpread_, floatDayCount_,
-                             ext::nullopt, useIndexedCoupons_);
+                             paymentConvention_, useIndexedCoupons_);
             if (engine_ == nullptr) {
                 Handle<YieldTermStructure> disc =
                                         iborIndex_->forwardingTermStructure();
@@ -172,7 +172,7 @@ namespace QuantLib {
 
         ext::shared_ptr<VanillaSwap> swap(new VanillaSwap(
             type_, nominal_, fixedSchedule, usedFixedRate, fixedDayCount, floatSchedule, iborIndex_,
-            floatSpread_, floatDayCount_, ext::nullopt, useIndexedCoupons_));
+            floatSpread_, floatDayCount_, paymentConvention_, useIndexedCoupons_));
 
         if (engine_ == nullptr) {
             Handle<YieldTermStructure> disc =
@@ -227,6 +227,11 @@ namespace QuantLib {
         return *this;
     }
 
+    MakeVanillaSwap& MakeVanillaSwap::withPaymentConvention(BusinessDayConvention bdc) {
+        paymentConvention_ = bdc;
+        return *this;
+    }
+
     MakeVanillaSwap& MakeVanillaSwap::withDiscountingTermStructure(
                                         const Handle<YieldTermStructure>& d) {
         bool includeSettlementDateFlows = false;

diff --git a/ql/instruments/makevanillaswap.hpp b/ql/instruments/makevanillaswap.hpp
@@ -54,6 +54,7 @@ namespace QuantLib {
         MakeVanillaSwap& withEffectiveDate(const Date&);
         MakeVanillaSwap& withTerminationDate(const Date&);
         MakeVanillaSwap& withRule(DateGeneration::Rule r);
+        MakeVanillaSwap& withPaymentConvention(BusinessDayConvention bdc);
 
         MakeVanillaSwap& withFixedLegTenor(const Period& t);
         MakeVanillaSwap& withFixedLegCalendar(const Calendar& cal);
@@ -108,6 +109,7 @@ namespace QuantLib {
         Spread floatSpread_ = 0.0;
         DayCounter fixedDayCount_, floatDayCount_;
         ext::optional<bool> useIndexedCoupons_;
+        ext::optional<BusinessDayConvention> paymentConvention_;
 
         ext::shared_ptr<PricingEngine> engine_;
     };