feat(claim): add FaceValueAccrualClaim settling on a reference security - #867
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Port `FaceValueAccrualClaim`, which settles a default claim against the notional and accrual of a reference `Bond`, paying `N (1 - R - a)` where `a` is the security's accrual at the default date normalised by its notional there. The `Claim::amount` trait method now returns `QlResult<Real>` since the accrual claim reads a fallible `Bond` API. `FaceValueClaim`, which cannot fail, returns `Ok`, and the three CDS engines propagate the result. Where `claim.cpp:41-43` divides by a zero reference notional and returns `NaN`, the port fails explicitly: `Bond::notional` reports a redeemed bond as `Ok(0.0)`, putting that quotient within reach of ordinary use, so the claim names the condition as an error (D4) instead of letting a `NaN` propagate into a protection leg. Like `FaceValueClaim`, the accrual claim declines the ISDA downcast seam, so the engine refuses it. Closes #688
Ports `conventionalSpread` (`creditdefaultswap.cpp:383-423`) as `CreditDefaultSwap::conventional_spread`, which converts a contract carrying an upfront into a running spread. It solves the flat hazard rate that prices the contract to nothing at the conventional recovery, then reports the engine's fair spread on that curve, supporting both the mid-point and ISDA models. Adds two tests over a shared eight-year fixture whose upfront is still unsettled at the evaluation date, so the conversion moves the spread off its own running rate. Each rebuilds the contract at the converted spread with no upfront and checks it prices to nothing on the solved hazard rate. Drops the deferral note that listed `conventionalSpread` as omitted. close #790 close #688
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enabled auto-merge (rebase)
August 12, 2026 23:13
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close #688