Deprecate Italy::Exchange, adjust MakeVanillaSwap

Author: eddelbuettel

src/calendars.cpp

@@ -173,9 +173,11 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
                calstr == "Italy/Settlement" ||
                calstr == "Italy::Settlement") {
         pcal.reset(new QuantLib::Italy(QuantLib::Italy::Settlement));
+#if QL_HEX_VERSION < 0x014400c0
     } else if (calstr == "Italy/Exchange" ||
-               calstr == "Italy::Exchange") {
-        pcal.reset(new QuantLib::Italy(QuantLib::Italy::Exchange));
+                calstr == "Italy::Exchange") {
+         pcal.reset(new QuantLib::Italy(QuantLib::Italy::Exchange));
+#endif
 
     } else if (calstr == "Japan" || calstr == "Japan/Settlement") {
         pcal.reset(new QuantLib::Japan());

src/sabr.cpp

@@ -204,12 +204,14 @@ Rcpp::List sabrengine(Rcpp::List rparam,
 
     // create swaps for european swaption here to get atm fwd rate, these are ignored for bermudan  //
     QuantLib::ext::shared_ptr<VanillaSwap> underlyingCall =
-        MakeVanillaSwap(Years*(((maturity-expiryDate)/365.0)), iborIndex1, strike)
+        MakeVanillaSwap(Years*(((maturity-expiryDate)/365.0)), iborIndex1)
+        .withFixedRate(strike)
         .withEffectiveDate(expiryDate)
         .receiveFixed(false);
 
     QuantLib::ext::shared_ptr<VanillaSwap> underlyingPut =
-        MakeVanillaSwap(Years*((maturity-expiryDate)/365.0), iborIndex1, strike)
+        MakeVanillaSwap(Years*((maturity-expiryDate)/365.0), iborIndex1)
+        .withFixedRate(strike)
         .withEffectiveDate(expiryDate)
         .receiveFixed(true);
     QuantLib::ext::shared_ptr<PricingEngine> swapEngine(new DiscountingSwapEngine(yldCrv));
@@ -223,12 +225,14 @@ Rcpp::List sabrengine(Rcpp::List rparam,
     // calculate if bermudan here //
     if(!european)  {
         QuantLib::ext::shared_ptr<VanillaSwap> underlyingCall2 =
-            MakeVanillaSwap(Years*(((maturity-startDate)/365.0)), iborIndex1, strike)
+            MakeVanillaSwap(Years*(((maturity-startDate)/365.0)), iborIndex1)
+            .withFixedRate(strike)
             .withEffectiveDate(startDate)
             .receiveFixed(false);
 
         QuantLib::ext::shared_ptr<VanillaSwap> underlyingPut2 =
-            MakeVanillaSwap(Years*((maturity-startDate)/365.0), iborIndex1, strike)
+            MakeVanillaSwap(Years*((maturity-startDate)/365.0), iborIndex1)
+            .withFixedRate(strike)
             .withEffectiveDate(startDate)
             .receiveFixed(true);
         QuantLib::ext::shared_ptr<PricingEngine> swapEngine(new DiscountingSwapEngine(yldCrv));