Merge branch 'QPR-11739' into 'master'

pcaspers · pcaspers · commit 116cf704bf66 · 2023-06-23T11:17:26.000Z
QPR-11739 add underlying NPV to additional swaption engine results

Closes QPR-11739

See merge request qs/quantlib!55
diff --git a/ql/pricingengines/swaption/blackswaptionengine.hpp b/ql/pricingengines/swaption/blackswaptionengine.hpp
@@ -267,6 +267,7 @@ namespace QuantLib {
         }
         results_.additionalResults["strike"] = strike;
         results_.additionalResults["atmForward"] = atmForward;
+        results_.additionalResults["underlyingNPV"] = swap ? swap->NPV() : swapOis->NPV();
 
         Real annuity;
         if (arguments_.settlementType == Settlement::Physical ||

Original file line number	Diff line number	Diff line change
`@@ -267,6 +267,7 @@ namespace QuantLib {`
`267`	`267`	`}`
`268`	`268`	`results_.additionalResults["strike"] = strike;`
`269`	`269`	`results_.additionalResults["atmForward"] = atmForward;`
	`270`	`+ results_.additionalResults["underlyingNPV"] = swap ? swap->NPV() : swapOis->NPV();`
`270`	`271`
`271`	`272`	`Real annuity;`
`272`	`273`	`if (arguments_.settlementType == Settlement::Physical \|\|`