Merge branch 'QPR-11232-payment-dates' into 'master'

QPR-11232 Add explicit payment date lists for Libor legs

See merge request qs/quantlib!49

Author: pcaspers

ql/cashflows/cashflowvectors.hpp

@@ -75,7 +75,8 @@ namespace QuantLib {
                     Period exCouponPeriod = Period(),
                     Calendar exCouponCalendar = Calendar(),
                     BusinessDayConvention exCouponAdjustment = Unadjusted,
-                    bool exCouponEndOfMonth = false) {
+                    bool exCouponEndOfMonth = false,
+                    const std::vector<Date>& paymentDates = {}) {
 
         Size n = schedule.size()-1;
         QL_REQUIRE(!nominals.empty(), "no notional given");
@@ -94,6 +95,11 @@ namespace QuantLib {
         QL_REQUIRE(floors.size()<=n,
                    "too many floors (" << floors.size() <<
                    "), only " << n << " required");
+        QL_REQUIRE(paymentDates.empty() || paymentDates.size() == n,
+                   "Expected the number of explicit payment dates (" <<
+                   paymentDates.size() <<
+                   ") to equal the number of calculation periods ("
+                   << n << ")");
         QL_REQUIRE(!isZero || !isInArrears,
                    "in-arrears and zero features are not compatible");
 
@@ -112,8 +118,17 @@ namespace QuantLib {
         for (Size i=0; i<n; ++i) {
             refStart = start = schedule.date(i);
             refEnd   =   end = schedule.date(i+1);
-            Date paymentDate =
-                isZero ? lastPaymentDate : paymentCalendar.advance(end, paymentLag, Days, paymentAdj);
+            Date paymentDate;
+            if (isZero) {
+                paymentDate = lastPaymentDate;
+            } else {
+                // If explicit payment dates provided, use them.
+                if (!paymentDates.empty()) {
+                    paymentDate = paymentDates[i];
+                } else {
+                    paymentDate = paymentCalendar.advance(end, paymentLag, Days, paymentAdj);
+                }
+            }
             if (i==0   && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
                 BusinessDayConvention bdc = schedule.businessDayConvention();
                 refStart = calendar.adjust(end - schedule.tenor(), bdc);

ql/cashflows/fixedratecoupon.cpp

@@ -169,17 +169,29 @@ namespace QuantLib {
         return *this;
     }
 
+    FixedRateLeg& FixedRateLeg::withPaymentDates(const std::vector<Date>& paymentDates) {
+        paymentDates_ = paymentDates;
+        return *this;
+    }
+
+
     FixedRateLeg::operator Leg() const {
 
         QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
         QL_REQUIRE(!notionals_.empty(), "no notional given");
+        QL_REQUIRE(paymentDates_.empty() || paymentDates_.size() == schedule_.size() - 1,
+                   "Expected the number of explicit payment dates ("
+                       << paymentDates_.size() << ") to equal the number of calculation periods ("
+                       << schedule_.size() - 1 << ")");
 
         Leg leg;
         leg.reserve(schedule_.size()-1);
 
         // first period might be short or long
         Date start = schedule_.date(0), end = schedule_.date(1);
-        Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
+        Date paymentDate = paymentDates_.empty() ? paymentCalendar_.advance(end, paymentLag_, Days,
+                                                                            paymentAdjustment_) :
+                                                   paymentDates_[0];
         Date exCouponDate;
         InterestRate rate = couponRates_[0];
         Real nominal = notionals_[0];
@@ -208,7 +220,10 @@ namespace QuantLib {
         // regular periods
         for (Size i=2; i<schedule_.size()-1; ++i) {
             start = end; end = schedule_.date(i);
-            Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
+            Date paymentDate =
+                paymentDates_.empty() ?
+                    paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_) :
+                    paymentDates_[i - 1];
             if (exCouponPeriod_ != Period())
             {
                 exCouponDate = exCouponCalendar_.advance(paymentDate,
@@ -232,7 +247,10 @@ namespace QuantLib {
             // last period might be short or long
             Size N = schedule_.size();
             start = end; end = schedule_.date(N-1);
-            Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
+            Date paymentDate =
+                paymentDates_.empty() ?
+                    paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_) :
+                    paymentDates_[N - 2];
             if (exCouponPeriod_ != Period())
             {
                 exCouponDate = exCouponCalendar_.advance(paymentDate,

ql/cashflows/fixedratecoupon.hpp

@@ -106,6 +106,7 @@ namespace QuantLib {
                                          const Calendar&,
                                          BusinessDayConvention,
                                          bool endOfMonth = false);
+        FixedRateLeg& withPaymentDates(const std::vector<Date>& paymentDates);
         operator Leg() const;
       private:
         Schedule schedule_;
@@ -119,6 +120,7 @@ namespace QuantLib {
         Calendar exCouponCalendar_;
         BusinessDayConvention exCouponAdjustment_ = Following;
         bool exCouponEndOfMonth_ = false;
+        std::vector<Date> paymentDates_;
     };
 
     inline void FixedRateCoupon::accept(AcyclicVisitor& v) {

ql/cashflows/iborcoupon.cpp

@@ -265,13 +265,19 @@ namespace QuantLib {
         return *this;
     }
 
+    IborLeg& IborLeg::withPaymentDates(const std::vector<Date>& paymentDates) {
+        paymentDates_ = paymentDates;
+        return *this;
+    }
+
     IborLeg::operator Leg() const {
 
         Leg leg = FloatingLeg<IborIndex, IborCoupon, CappedFlooredIborCoupon>(
                          schedule_, notionals_, index_, paymentDayCounter_,
                          paymentAdjustment_, fixingDays_, gearings_, spreads_,
                          caps_, floors_, inArrears_, zeroPayments_, paymentLag_, paymentCalendar_, 
-			             exCouponPeriod_, exCouponCalendar_, exCouponAdjustment_, exCouponEndOfMonth_);
+			             exCouponPeriod_, exCouponCalendar_, exCouponAdjustment_, exCouponEndOfMonth_,
+                         paymentDates_);
 
         if (caps_.empty() && floors_.empty() && !inArrears_) {
             ext::shared_ptr<IborCouponPricer> pricer = ext::make_shared<BlackIborCouponPricer>(

ql/cashflows/iborcoupon.hpp

@@ -156,6 +156,7 @@ namespace QuantLib {
                                     bool endOfMonth = false);
         IborLeg& withIndexedCoupons(boost::optional<bool> b = true);
         IborLeg& withAtParCoupons(bool b = true);
+        IborLeg& withPaymentDates(const std::vector<Date>& paymentDates);
         operator Leg() const;
 
       private:
@@ -176,6 +177,7 @@ namespace QuantLib {
         BusinessDayConvention exCouponAdjustment_ = Unadjusted;
         bool exCouponEndOfMonth_ = false;
         boost::optional<bool> useIndexedCoupons_;
+        std::vector<Date> paymentDates_;
     };
 
 }