QPR-12101: support payment lag for CMSSpread leg

OpenSourceRisk · Mar 19, 2024 · 03276a2 · 03276a2
1 parent 0fd143c
commit 03276a2
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Showing 2 changed files with 10 additions and 2 deletions.
diff --git a/ql/experimental/coupons/cmsspreadcoupon.cpp b/ql/experimental/coupons/cmsspreadcoupon.cpp
@@ -72,6 +72,12 @@ namespace QuantLib {
         return *this;
     }
 
+    CmsSpreadLeg &
+    CmsSpreadLeg::withPaymentLag(Natural lag) {
+        paymentLag_ = lag;
+        return *this;
+    }
+
     CmsSpreadLeg &CmsSpreadLeg::withFixingDays(Natural fixingDays) {
         fixingDays_ = std::vector<Natural>(1, fixingDays);
         return *this;
@@ -137,12 +143,12 @@ namespace QuantLib {
     CmsSpreadLeg& CmsSpreadLeg::withPaymentCalendar(const Calendar& cal) {
         paymentCalendar_ = cal;
         return *this;
-	}
+    }
 
     CmsSpreadLeg::operator Leg() const {
             return FloatingLeg<SwapSpreadIndex, CmsSpreadCoupon, CappedFlooredCmsSpreadCoupon>(
                 schedule_, notionals_, swapSpreadIndex_, paymentDayCounter_, paymentAdjustment_,
-                fixingDays_, gearings_, spreads_, caps_, floors_, inArrears_, zeroPayments_, 0U,
+                fixingDays_, gearings_, spreads_, caps_, floors_, inArrears_, zeroPayments_, paymentLag_,
                 paymentCalendar_); 
     }
 }
diff --git a/ql/experimental/coupons/cmsspreadcoupon.hpp b/ql/experimental/coupons/cmsspreadcoupon.hpp
@@ -108,6 +108,7 @@ namespace QuantLib {
         CmsSpreadLeg& withPaymentDayCounter(const DayCounter&);
         CmsSpreadLeg& withPaymentCalendar(const Calendar& cal);
         CmsSpreadLeg& withPaymentAdjustment(BusinessDayConvention);
+        CmsSpreadLeg& withPaymentLag(Natural lag);
         CmsSpreadLeg& withFixingDays(Natural fixingDays);
         CmsSpreadLeg& withFixingDays(const std::vector<Natural>& fixingDays);
         CmsSpreadLeg& withGearings(Real gearing);
@@ -127,6 +128,7 @@ namespace QuantLib {
         std::vector<Real> notionals_;
         DayCounter paymentDayCounter_;
         BusinessDayConvention paymentAdjustment_ = Following;
+        Natural paymentLag_ = 0;
         std::vector<Natural> fixingDays_;
         std::vector<Real> gearings_;
         std::vector<Spread> spreads_;