QPR-11765 add fixing date - based ctors

Author: pcaspers

ql/cashflows/floatingratecoupon.cpp

@@ -53,6 +53,39 @@ namespace QuantLib {
         if (dayCounter_.empty())
             dayCounter_ = index_->dayCounter();
 
+        // if isInArrears_ fix at the end of period
+        Date refDate = isInArrears_ ? accrualEndDate_ : accrualStartDate_;
+        fixingDate_ = index_->fixingCalendar().advance(refDate, -static_cast<Integer>(fixingDays_),
+                                                       Days, Preceding);
+
+        registerWith(index_);
+        registerWith(Settings::instance().evaluationDate());
+    }
+
+    FloatingRateCoupon::FloatingRateCoupon(const Date& paymentDate,
+                                           Real nominal,
+                                           const Date& startDate,
+                                           const Date& endDate,
+                                           const Date& fixingDate,
+                                           const ext::shared_ptr<InterestRateIndex>& index,
+                                           Real gearing,
+                                           Spread spread,
+                                           const Date& refPeriodStart,
+                                           const Date& refPeriodEnd,
+                                           DayCounter dayCounter,
+                                           bool isInArrears,
+                                           const Date& exCouponDate)
+    : Coupon(paymentDate, nominal, startDate, endDate, refPeriodStart, refPeriodEnd, exCouponDate),
+      index_(index), dayCounter_(std::move(dayCounter)), fixingDays_(Null<Size>()),
+      gearing_(gearing), spread_(spread), isInArrears_(isInArrears) {
+        QL_REQUIRE(index_, "no index provided");
+        QL_REQUIRE(gearing_!=0, "Null gearing not allowed");
+
+        if (dayCounter_.empty())
+            dayCounter_ = index_->dayCounter();
+
+        fixingDate_ = fixingDate;
+
         registerWith(index_);
         registerWith(Settings::instance().evaluationDate());
     }
@@ -77,10 +110,12 @@ namespace QuantLib {
     }
 
     Date FloatingRateCoupon::fixingDate() const {
-        // if isInArrears_ fix at the end of period
-        Date refDate = isInArrears_ ? accrualEndDate_ : accrualStartDate_;
-        return index_->fixingCalendar().advance(refDate,
-            -static_cast<Integer>(fixingDays_), Days, Preceding);
+        return fixingDate_;
+    }
+
+    Natural FloatingRateCoupon::fixingDays() const {
+        QL_REQUIRE(fixingDays_ != Null<Size>(), "FloatingRateCoupon::fixingDays() not given.");
+        return fixingDays_;
     }
 
     Rate FloatingRateCoupon::rate() const {

ql/cashflows/floatingratecoupon.hpp

@@ -57,6 +57,19 @@ namespace QuantLib {
                            DayCounter dayCounter = DayCounter(),
                            bool isInArrears = false,
                            const Date& exCouponDate = Date());
+        FloatingRateCoupon(const Date& paymentDate,
+                           Real nominal,
+                           const Date& startDate,
+                           const Date& endDate,
+                           const Date& fixingDate,
+                           const ext::shared_ptr<InterestRateIndex>& index,
+                           Real gearing = 1.0,
+                           Spread spread = 0.0,
+                           const Date& refPeriodStart = Date(),
+                           const Date& refPeriodEnd = Date(),
+                           DayCounter dayCounter = DayCounter(),
+                           bool isInArrears = false,
+                           const Date& exCouponDate = Date());
 
         //! \name LazyObject interface
         //@{
@@ -80,7 +93,7 @@ namespace QuantLib {
         //! floating index
         const ext::shared_ptr<InterestRateIndex>& index() const;
         //! fixing days
-        Natural fixingDays() const { return fixingDays_; }
+        Natural fixingDays() const;
         //! fixing date
         virtual Date fixingDate() const;
         //! index gearing, i.e. multiplicative coefficient for the index
@@ -113,6 +126,7 @@ namespace QuantLib {
         Real gearing_;
         Spread spread_;
         bool isInArrears_;
+        Date fixingDate_;
         ext::shared_ptr<FloatingRateCouponPricer> pricer_;
         mutable Real rate_;
     };

ql/cashflows/iborcoupon.cpp

@@ -49,9 +49,26 @@ namespace QuantLib {
                          fixingDays, iborIndex, gearing, spread,
                          refPeriodStart, refPeriodEnd,
                          dayCounter, isInArrears, exCouponDate),
-      iborIndex_(iborIndex) {
-        fixingDate_ = fixingDate();
-    }
+      iborIndex_(iborIndex) {}
+
+    IborCoupon::IborCoupon(const Date& paymentDate,
+                           Real nominal,
+                           const Date& startDate,
+                           const Date& endDate,
+                           const Date& fixingDate,
+                           const ext::shared_ptr<IborIndex>& iborIndex,
+                           Real gearing,
+                           Spread spread,
+                           const Date& refPeriodStart,
+                           const Date& refPeriodEnd,
+                           const DayCounter& dayCounter,
+                           bool isInArrears,
+                           const Date& exCouponDate)
+    : FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
+                         fixingDate, iborIndex, gearing, spread,
+                         refPeriodStart, refPeriodEnd,
+                         dayCounter, isInArrears, exCouponDate),
+      iborIndex_(iborIndex) {}
 
     void IborCoupon::initializeCachedData() const {
         auto p = ext::dynamic_pointer_cast<IborCouponPricer>(pricer_);

ql/cashflows/iborcoupon.hpp

@@ -53,6 +53,19 @@ namespace QuantLib {
                    const DayCounter& dayCounter = DayCounter(),
                    bool isInArrears = false,
                    const Date& exCouponDate = Date());
+        IborCoupon(const Date& paymentDate,
+                   Real nominal,
+                   const Date& startDate,
+                   const Date& endDate,
+                   const Date& fixingDate,
+                   const ext::shared_ptr<IborIndex>& index,
+                   Real gearing = 1.0,
+                   Spread spread = 0.0,
+                   const Date& refPeriodStart = Date(),
+                   const Date& refPeriodEnd = Date(),
+                   const DayCounter& dayCounter = DayCounter(),
+                   bool isInArrears = false,
+                   const Date& exCouponDate = Date());
         //! \name Inspectors
         //@{
         const ext::shared_ptr<IborIndex>& iborIndex() const { return iborIndex_; }
@@ -90,7 +103,6 @@ namespace QuantLib {
       private:
         friend class IborCouponPricer;
         ext::shared_ptr<IborIndex> iborIndex_;
-        Date fixingDate_;
         // computed by coupon pricer (depending on par coupon flag) and stored here
         void initializeCachedData() const;
         mutable bool cachedDataIsInitialized_ = false;