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Add date generation rule to OISRateHelper constructor #2107

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merged 2 commits into from
Nov 2, 2024

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sophistis42
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At the moment OISRateHelpers at construction call MakeOIS using a hardcoded Backward date generating rule.
The purpose of this pull request is to allow bootstrapping a curve such that the ois instruments are flexible to use either Forward or Backward DateGeneration rule, so that one can reprice consistently the OIS swaps that were used in building the curve (and with the correct dates such as SOFR swaps for example). Defaults to Backward (i.e as it currently is)

…akeOIS consistently with the bootstrapped instruments
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boring-cyborg bot commented Nov 1, 2024

Thanks for opening this pull request! It might take a while before we look at it, so don't worry if there seems to be no feedback. We'll get to it.

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CLAassistant commented Nov 1, 2024

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All committers have signed the CLA.

@lballabio lballabio added this to the Release 1.37 milestone Nov 1, 2024
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Coverage Status

coverage: 72.803% (+0.009%) from 72.794%
when pulling de190cc on sophistis42:add_rule_to_oisratehelper
into a6378c5 on lballabio:master.

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Thanks!

@lballabio lballabio merged commit ea7e1e4 into lballabio:master Nov 2, 2024
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boring-cyborg bot commented Nov 2, 2024

Congratulations on your first merged pull request!

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4 participants