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Add fixingDays parameter to applyStubInterpolation #333

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Add fixingDays parameter to applyStubInterpolation #333

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c8c0b65
Add fixingDays parameter to applyStubInterpolation
oszette Feb 9, 2026
bd6f40a
Pass fixingDays from floatData or index
oszette Feb 9, 2026
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15 changes: 8 additions & 7 deletions OREData/ored/portfolio/legdata.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -1231,7 +1231,7 @@ Leg makeZCFixedLeg(const LegData& data, const QuantLib::Date& openEndDateReplace
void applyStubInterpolation(Leg::iterator c, const std::string& shortIndexStr, const std::string& longIndexStr,
const std::string& roundingTypeStr, const std::string& roundingPrecisionStr,
const QuantLib::ext::shared_ptr<EngineFactory>& engineFactory,
const bool useOriginalIndexCurve, const Size accrualDays) {
const bool useOriginalIndexCurve, const Size accrualDays, const Size fixingDays) {
if (shortIndexStr.empty() && longIndexStr.empty()) {
return;
}
Expand All @@ -1253,6 +1253,7 @@ void applyStubInterpolation(Leg::iterator c, const std::string& shortIndexStr, c
iborCpn = QuantLib::ext::dynamic_pointer_cast<IborCoupon>(*c);
}
QL_REQUIRE(iborCpn, "applyStubInterpolation(): unable to unpack coupon to ibor coupon");
Size fDays = fixingDays == Null<Size>() ? iborCpn->fixingDays() : fixingDays;
// ... replace it with an interpolated Ibor Coupon ...
QuantLib::ext::shared_ptr<IborIndex> idx1, idx2;
if (!shortIndexStr.empty())
Expand All @@ -1269,7 +1270,7 @@ void applyStubInterpolation(Leg::iterator c, const std::string& shortIndexStr, c
// actually no interpolation, only one index is given effectively, so we can use an Ibor Coupon
tmp = QuantLib::ext::make_shared<IborCoupon>(
iborCpn->date(), iborCpn->nominal(), iborCpn->accrualStartDate(), iborCpn->accrualEndDate(),
iborCpn->fixingDays(),
fDays,
useOriginalIndexCurve ? idx1->clone(iborCpn->iborIndex()->forwardingTermStructure()) : idx1,
iborCpn->gearing(), iborCpn->spread(), iborCpn->referencePeriodStart(), iborCpn->referencePeriodEnd(),
iborCpn->dayCounter(), iborCpn->isInArrears(), iborCpn->exCouponDate());
Expand All @@ -1287,7 +1288,7 @@ void applyStubInterpolation(Leg::iterator c, const std::string& shortIndexStr, c
useOriginalIndexCurve ? iborCpn->iborIndex()->forwardingTermStructure() : Handle<YieldTermStructure>());
tmp = QuantLib::ext::make_shared<InterpolatedIborCoupon>(
iborCpn->date(), iborCpn->nominal(), iborCpn->accrualStartDate(), iborCpn->accrualEndDate(),
iborCpn->fixingDays(), interpolatedIndex, iborCpn->gearing(), iborCpn->spread(),
fDays, interpolatedIndex, iborCpn->gearing(), iborCpn->spread(),
iborCpn->referencePeriodStart(), iborCpn->referencePeriodEnd(), iborCpn->dayCounter(),
iborCpn->isInArrears(), iborCpn->exCouponDate(), iborCpn->iborIndex());
DLOG("created InterpolatedIborIndex for accrual period "
Expand Down Expand Up @@ -1465,7 +1466,7 @@ Leg makeIborLeg(const LegData& data, const QuantLib::ext::shared_ptr<IborIndex>&
// front / back stub interpolation
applyStubInterpolation(leg.begin(), floatData->frontStubShortIndex(), floatData->frontStubLongIndex(),
floatData->frontStubRoundingType(), floatData->frontStubRoundingPrecision(), engineFactory,
floatData->stubUseOriginalCurve());
floatData->stubUseOriginalCurve(), Null<Size>(), fixingDays);
if (leg.size() == 1
&& !floatData->frontStubShortIndex().empty() && !floatData->frontStubLongIndex().empty()
&& !floatData->backStubShortIndex().empty() && !floatData->backStubLongIndex().empty()) {
Expand All @@ -1474,7 +1475,7 @@ Leg makeIborLeg(const LegData& data, const QuantLib::ext::shared_ptr<IborIndex>&
} else {
applyStubInterpolation(leg.end() - 1, floatData->backStubShortIndex(), floatData->backStubLongIndex(),
floatData->backStubRoundingType(), floatData->backStubRoundingPrecision(), engineFactory,
floatData->stubUseOriginalCurve());
floatData->stubUseOriginalCurve(), Null<Size>(), fixingDays);
}
return leg;
}
Expand Down Expand Up @@ -1588,7 +1589,7 @@ Leg makeIborLeg(const LegData& data, const QuantLib::ext::shared_ptr<IborIndex>&
// front / back stub interpolation
applyStubInterpolation(tmpLeg.begin(), floatData->frontStubShortIndex(), floatData->frontStubLongIndex(),
floatData->frontStubRoundingType(), floatData->frontStubRoundingPrecision(), engineFactory,
floatData->stubUseOriginalCurve());
floatData->stubUseOriginalCurve(), Null<Size>(), fixingDays);
if (tmpLeg.size() == 1
&& !floatData->frontStubShortIndex().empty() && !floatData->frontStubLongIndex().empty()
&& !floatData->backStubShortIndex().empty() && !floatData->backStubLongIndex().empty()) {
Expand All @@ -1597,7 +1598,7 @@ Leg makeIborLeg(const LegData& data, const QuantLib::ext::shared_ptr<IborIndex>&
} else {
applyStubInterpolation(tmpLeg.end() - 1, floatData->backStubShortIndex(), floatData->backStubLongIndex(),
floatData->backStubRoundingType(), floatData->backStubRoundingPrecision(), engineFactory,
floatData->stubUseOriginalCurve());
floatData->stubUseOriginalCurve(), Null<Size>(), fixingDays);
}

// return the leg
Expand Down
3 changes: 2 additions & 1 deletion OREData/ored/portfolio/legdata.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -1259,7 +1259,8 @@ Leg buildNotionalLeg(const LegData& data, const Leg& leg, RequiredFixings& requi
void applyStubInterpolation(Leg::iterator c, const std::string& shortIndexStr, const std::string& longIndexStr,
const std::string& roundingTypeStr, const std::string& roundingPrecisionStr,
const QuantLib::ext::shared_ptr<EngineFactory>& engineFactory,
const bool useOriginalIndexCurve, const Size accrualDays = Null<Size>());
const bool useOriginalIndexCurve, const Size accrualDays = Null<Size>(),
const Size fixingDays = Null<Size>());

} // namespace data
} // namespace ore