Manage accrual ex-coupon between end coupon date and payment date.

lballabio · Aug 8, 2020 · e6353d1 · e6353d1
1 parent a081649
commit e6353d1
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Showing 2 changed files with 6 additions and 2 deletions.
diff --git a/ql/cashflows/fixedratecoupon.cpp b/ql/cashflows/fixedratecoupon.cpp
@@ -62,13 +62,15 @@ namespace QuantLib {
 
     Real FixedRateCoupon::accruedAmount(const Date& d) const {
         if (d <= accrualStartDate_ || d > paymentDate_) {
+            // out of coupon range
             return 0.0;
         } else if (tradingExCoupon(d)) {
             return -nominal()*(rate_.compoundFactor(d,
-                                                    accrualEndDate_,
+                                                    std::max(d, accrualEndDate_),
                                                     refPeriodStart_,
                                                     refPeriodEnd_) - 1.0);
         } else {
+            // usual case
             return nominal()*(rate_.compoundFactor(accrualStartDate_,
                                                    std::min(d,accrualEndDate_),
                                                    refPeriodStart_,

diff --git a/ql/cashflows/floatingratecoupon.cpp b/ql/cashflows/floatingratecoupon.cpp
@@ -70,12 +70,14 @@ namespace QuantLib {
 
     Real FloatingRateCoupon::accruedAmount(const Date& d) const {
         if (d <= accrualStartDate_ || d > paymentDate_) {
+            // out of coupon range
             return 0.0;
         } else if (tradingExCoupon(d)) {
             return -nominal() * rate() *
-                   dayCounter().yearFraction(d, accrualEndDate_,
+                   dayCounter().yearFraction(d, std::max(d, accrualEndDate_),
                                              refPeriodStart_, refPeriodEnd_);
         } else {
+            // usual case
             return nominal() * rate() *
                 dayCounter().yearFraction(accrualStartDate_,
                                           std::min(d, accrualEndDate_),