From dcfe0fab9e99a77e88ddc4cf671c79d52b604189 Mon Sep 17 00:00:00 2001
From: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Fri, 21 Aug 2015 15:40:18 +0200
Subject: [PATCH] Fix Vanilla Swap Pricer - thanks OfirMarom

---
 QLNet/Cashflows/Cashflowvectors.cs |  8 ++---
 Test/T_Swaps.cs                    | 50 ++++++++++++++++++++++++++++++
 2 files changed, 54 insertions(+), 4 deletions(-)

diff --git a/QLNet/Cashflows/Cashflowvectors.cs b/QLNet/Cashflows/Cashflowvectors.cs
index 79bdf527a..956222009 100644
--- a/QLNet/Cashflows/Cashflowvectors.cs
+++ b/QLNet/Cashflows/Cashflowvectors.cs
@@ -91,8 +91,8 @@ public static List<CashFlow> FloatingLeg<InterestRateIndexType, FloatingCouponTy
                 } else {
                     if (Utils.noOption(caps, floors, i)) {
                         leg.Add(new FloatingCouponType().factory(Utils.Get(nominals, i),
-                            paymentDate, start, end,
-                            Utils.Get(fixingDays, i, 2),
+                            paymentDate, start, end,
+                            Utils.Get( fixingDays, i, index.fixingDays() ),
                             index,
                             Utils.Get(gearings, i, 1),
                             Utils.Get(spreads, i),
@@ -100,8 +100,8 @@ public static List<CashFlow> FloatingLeg<InterestRateIndexType, FloatingCouponTy
                             isInArrears));
                     } else {
                         leg.Add(new CappedFlooredCouponType().factory(Utils.Get(nominals, i),
-                            paymentDate, start, end,
-                            Utils.Get(fixingDays, i, 2),
+                            paymentDate, start, end,
+                            Utils.Get( fixingDays, i, index.fixingDays() ),
                             index,
                             Utils.Get(gearings, i, 1),
                             Utils.Get(spreads, i),
diff --git a/Test/T_Swaps.cs b/Test/T_Swaps.cs
index 3d5f404e1..074a087de 100644
--- a/Test/T_Swaps.cs
+++ b/Test/T_Swaps.cs
@@ -300,6 +300,56 @@ public void testCachedValue()
                         + "    expected:   " + cachedNPV);
       }
 
+      [TestMethod()]
+      public void testFixing()
+      {
+         Date tradeDate = new Date( 17, Month.April, 2015 );
+         Calendar calendar = new UnitedKingdom();
+         Date settlementDate = calendar.advance( tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following );
+         Date maturityDate = calendar.advance( settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following );
+
+         Date valueDate = new Date( 20, Month.April, 2015 );
+         Settings.setEvaluationDate( valueDate );
+
+         List<Date> dates = new List<Date>();
+         dates.Add( valueDate );
+         dates.Add( valueDate + new Period( 1, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 2, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 5, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 10, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 20, TimeUnit.Years ) );
+
+         List<double> rates = new List<double>();
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+
+         var discountCurveHandle = new RelinkableHandle<YieldTermStructure>();
+         var forecastCurveHandle = new RelinkableHandle<YieldTermStructure>();
+         GBPLibor index = new GBPLibor( new Period( 6, TimeUnit.Months ), forecastCurveHandle );
+         InterpolatedZeroCurve<Linear> zeroCurve = new InterpolatedZeroCurve<Linear>( dates, rates, new Actual360(), new Linear() );
+         var fixedSchedule = new Schedule( settlementDate, maturityDate, new Period( 1, TimeUnit.Years ), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
+         var floatSchedule = new Schedule( settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
+         VanillaSwap swap = new VanillaSwap( VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360() );
+         discountCurveHandle.linkTo( zeroCurve );
+         forecastCurveHandle.linkTo( zeroCurve );
+         var swapEngine = new DiscountingSwapEngine( discountCurveHandle, false, null );
+         swap.setPricingEngine( swapEngine );
+
+         try
+         {
+            double npv = swap.NPV();
+         }
+         catch ( Exception ex )
+         {
+            Assert.Fail( ex.Message );
+            Console.WriteLine( ex );
+         }
+      }
+
       public void suite()
       {
          testFairRate();