QPR-11115 attach engines where necessary, calculate the trade where necessary

Author: pcaspers

ql/instruments/creditdefaultswap.cpp

@@ -483,6 +483,7 @@ namespace QuantLib {
                                Real accuracy,
                                PricingModel model) const {
 
+        calculate();
         ext::shared_ptr<SimpleQuote> flatRate = ext::make_shared<SimpleQuote>(0.0);
 
         Handle<DefaultProbabilityTermStructure> probability =
@@ -510,6 +511,7 @@ namespace QuantLib {
                               const DayCounter& dayCounter,
                               PricingModel model) const {
 
+        calculate();
         ext::shared_ptr<SimpleQuote> flatRate = ext::make_shared<SimpleQuote>(0.0);
 
         Handle<DefaultProbabilityTermStructure> probability =
@@ -569,6 +571,7 @@ namespace QuantLib {
     }
 
     const ext::shared_ptr<SimpleCashFlow>& CreditDefaultSwap::accrualRebateCurrent() const {
+        calculate();
         return accrualRebateCurrent_;
     }
 

test-suite/creditdefaultswap.cpp

@@ -688,6 +688,12 @@ void CreditDefaultSwapTest::testIsdaEngine() {
 
                 ext::shared_ptr<CreditDefaultSwap> quotedTrade =
                     MakeCreditDefaultSwap(termDate, spread).withNominal(10000000.);
+                quotedTrade->setPricingEngine(boost::make_shared<MidPointCdsEngine>(
+                    Handle<DefaultProbabilityTermStructure>(boost::make_shared<FlatHazardRate>(
+                        0, NullCalendar(), 0.0, Actual365Fixed())),
+                    0.0,
+                    Handle<YieldTermStructure>(boost::make_shared<FlatForward>(
+                        0, NullCalendar(), 0.0, Actual365Fixed()))));
 
                 Rate h = quotedTrade->impliedHazardRate(0., discountCurve, Actual365Fixed(),
                                                         recovery, 1e-10, CreditDefaultSwap::ISDA);
@@ -766,6 +772,12 @@ void CreditDefaultSwapTest::testAccrualRebateAmounts() {
         Settings::instance().evaluationDate() = input.first;
         CreditDefaultSwap cds = MakeCreditDefaultSwap(maturity, spread)
             .withNominal(notional);
+        cds.setPricingEngine(boost::make_shared<MidPointCdsEngine>(
+            Handle<DefaultProbabilityTermStructure>(
+                boost::make_shared<FlatHazardRate>(0, NullCalendar(), 0.0, Actual365Fixed())),
+            0.0,
+            Handle<YieldTermStructure>(
+                boost::make_shared<FlatForward>(0, NullCalendar(), 0.0, Actual365Fixed()))));
         BOOST_TEST_MESSAGE("asof " << io::iso_date(input.first)
                            << " expected " << std::fixed << std::setprecision(4) << input.second
                            << " calculated " << cds.accrualRebate()->amount());
@@ -838,6 +850,12 @@ void CreditDefaultSwapTest::testIsdaCalculatorReconcileSingleQuote ()
 
     ext::shared_ptr<CreditDefaultSwap> quotedTrade =
         MakeCreditDefaultSwap(instrumentMaturity, conventionalSpread).withNominal(nominal);
+    quotedTrade->setPricingEngine(boost::make_shared<MidPointCdsEngine>(
+        Handle<DefaultProbabilityTermStructure>(
+            boost::make_shared<FlatHazardRate>(0, NullCalendar(), 0.0, Actual365Fixed())),
+        0.0,
+        Handle<YieldTermStructure>(
+            boost::make_shared<FlatForward>(0, NullCalendar(), 0.0, Actual365Fixed()))));
 
     Rate h = quotedTrade->impliedHazardRate(0., discountCurve, Actual365Fixed(),
                                             recovery, 1e-10, CreditDefaultSwap::ISDA);
@@ -952,6 +970,12 @@ void CreditDefaultSwapTest::testIsdaCalculatorReconcileSingleWithIssueDateInTheP
     ext::shared_ptr<CreditDefaultSwap> quotedTrade =
         MakeCreditDefaultSwap(instrumentMaturity, conventionalSpread)
         .withNominal(nominal);
+    quotedTrade->setPricingEngine(boost::make_shared<MidPointCdsEngine>(
+        Handle<DefaultProbabilityTermStructure>(
+            boost::make_shared<FlatHazardRate>(0, NullCalendar(), 0.0, Actual365Fixed())),
+        0.0,
+        Handle<YieldTermStructure>(
+            boost::make_shared<FlatForward>(0, NullCalendar(), 0.0, Actual365Fixed()))));
 
     Rate h = quotedTrade->impliedHazardRate(0., discountCurve, Actual365Fixed(),
                                             recovery, 1e-10, CreditDefaultSwap::ISDA);