8939411017

Committed 03 May 2024 01:02PM UTC coverage: 72.496% (-0.006%) from 72.502%

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Remove forwardStart from DatedOISRateHelper (#1952)

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58.9

/ql/instruments/makeois.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2009, 2014, 2015 Ferdinando Ametrano
 Copyright (C) 2015 Paolo Mazzocchi
 Copyright (C) 2017 Joseph Jeisman
 Copyright (C) 2017 Fabrice Lecuyer

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/instruments/makeois.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>

namespace QuantLib {

    MakeOIS::MakeOIS(const Period& swapTenor,
                     const ext::shared_ptr<OvernightIndex>& overnightIndex,
                     Rate fixedRate,
                     const Period& forwardStart)
    : swapTenor_(swapTenor), overnightIndex_(overnightIndex), fixedRate_(fixedRate),
      forwardStart_(forwardStart),
      fixedCalendar_(overnightIndex->fixingCalendar()),
      overnightCalendar_(overnightIndex->fixingCalendar()),
      fixedDayCount_(overnightIndex->dayCounter()) {}

    MakeOIS::operator OvernightIndexedSwap() const {
        ext::shared_ptr<OvernightIndexedSwap> ois = *this;
        return *ois;
    }

    MakeOIS::operator ext::shared_ptr<OvernightIndexedSwap>() const {

        Date startDate;
        if (effectiveDate_ != Date())
            startDate = effectiveDate_;
        else {
            Date refDate = Settings::instance().evaluationDate();
            // if the evaluation date is not a business day
            // then move to the next business day
            refDate = overnightCalendar_.adjust(refDate);
            Date spotDate = overnightCalendar_.advance(refDate,
                                                       settlementDays_*Days);
            startDate = spotDate+forwardStart_;
            if (forwardStart_.length()<0)
                startDate = overnightCalendar_.adjust(startDate, Preceding);
            else
                startDate = overnightCalendar_.adjust(startDate, Following);
        }

        // OIS end of month default
        bool fixedEndOfMonth, overnightEndOfMonth;
        if (isDefaultEOM_)
            fixedEndOfMonth = overnightEndOfMonth = overnightCalendar_.isEndOfMonth(startDate);
        else {
            fixedEndOfMonth = fixedEndOfMonth_;
            overnightEndOfMonth = overnightEndOfMonth_;
        }

        Date endDate = terminationDate_;
        if (endDate == Date()) {
            if (overnightEndOfMonth)
                endDate = overnightCalendar_.advance(startDate,
                                                     swapTenor_,
                                                     ModifiedFollowing,
                                                     overnightEndOfMonth);
            else
                endDate = startDate + swapTenor_;
        }

        Frequency fixedPaymentFrequency, overnightPaymentFrequency;
        DateGeneration::Rule fixedRule, overnightRule;
        if (fixedPaymentFrequency_ == Once || fixedRule_ == DateGeneration::Zero) {
            fixedPaymentFrequency = Once;
            fixedRule = DateGeneration::Zero;
        } else {
            fixedPaymentFrequency = fixedPaymentFrequency_;
            fixedRule = fixedRule_;
        }
        if (overnightPaymentFrequency_ == Once || overnightRule_ == DateGeneration::Zero) {
            overnightPaymentFrequency = Once;
            overnightRule = DateGeneration::Zero;
        } else {
            overnightPaymentFrequency = overnightPaymentFrequency_;
            overnightRule = overnightRule_;
        }

        Schedule fixedSchedule(startDate, endDate,
                               Period(fixedPaymentFrequency),
                               fixedCalendar_,
                               fixedConvention_,
                               fixedTerminationDateConvention_,
                               fixedRule,
                               fixedEndOfMonth);

        Schedule overnightSchedule(startDate, endDate,
                                   Period(overnightPaymentFrequency),
                                   overnightCalendar_,
                                   overnightConvention_,
                                   overnightTerminationDateConvention_,
                                   overnightRule,
                                   overnightEndOfMonth);

        Rate usedFixedRate = fixedRate_;
        if (fixedRate_ == Null<Rate>()) {
            OvernightIndexedSwap temp(type_, nominal_,
                                      fixedSchedule,
                                      0.0, // fixed rate
                                      fixedDayCount_,
                                      overnightSchedule,
                                      overnightIndex_, overnightSpread_,
                                      paymentLag_, paymentAdjustment_,
                                      paymentCalendar_, telescopicValueDates_);
            if (engine_ == nullptr) {
                Handle<YieldTermStructure> disc =
                                    overnightIndex_->forwardingTermStructure();
                QL_REQUIRE(!disc.empty(),
                           "null term structure set to this instance of " <<
                           overnightIndex_->name());
                bool includeSettlementDateFlows = false;
                ext::shared_ptr<PricingEngine> engine(new
                    DiscountingSwapEngine(disc, includeSettlementDateFlows));
                temp.setPricingEngine(engine);
            } else
                temp.setPricingEngine(engine_);

            usedFixedRate = temp.fairRate();
        }

        ext::shared_ptr<OvernightIndexedSwap> ois(new
            OvernightIndexedSwap(type_, nominal_,
                                 fixedSchedule,
                                 usedFixedRate, fixedDayCount_,
                                 overnightSchedule,
                                 overnightIndex_, overnightSpread_,
                                 paymentLag_, paymentAdjustment_,
                                 paymentCalendar_, telescopicValueDates_, 
                                 averagingMethod_));

        if (engine_ == nullptr) {
            Handle<YieldTermStructure> disc =
                                overnightIndex_->forwardingTermStructure();
            bool includeSettlementDateFlows = false;
            ext::shared_ptr<PricingEngine> engine(new
                DiscountingSwapEngine(disc, includeSettlementDateFlows));
            ois->setPricingEngine(engine);
        } else
            ois->setPricingEngine(engine_);

        return ois;
    }

    MakeOIS& MakeOIS::receiveFixed(bool flag) {
        type_ = flag ? Swap::Receiver : Swap::Payer ;
        return *this;
    }

    MakeOIS& MakeOIS::withType(Swap::Type type) {
        type_ = type;
        return *this;
    }

    MakeOIS& MakeOIS::withNominal(Real n) {
        nominal_ = n;
        return *this;
    }

    MakeOIS& MakeOIS::withSettlementDays(Natural settlementDays) {
        settlementDays_ = settlementDays;
        effectiveDate_ = Date();
        return *this;
    }

    MakeOIS& MakeOIS::withEffectiveDate(const Date& effectiveDate) {
        effectiveDate_ = effectiveDate;
        return *this;
    }

    MakeOIS& MakeOIS::withTerminationDate(const Date& terminationDate) {
        terminationDate_ = terminationDate;
        swapTenor_ = Period();
        return *this;
    }

    MakeOIS& MakeOIS::withPaymentFrequency(Frequency f) {
        return withFixedLegPaymentFrequency(f).withOvernightLegPaymentFrequency(f);
    }

    MakeOIS& MakeOIS::withFixedLegPaymentFrequency(Frequency f) {
        fixedPaymentFrequency_ = f;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegPaymentFrequency(Frequency f) {
        overnightPaymentFrequency_ = f;
        return *this;
    }

    MakeOIS& MakeOIS::withPaymentAdjustment(BusinessDayConvention convention) {
        paymentAdjustment_ = convention;
        return *this;
    }

    MakeOIS& MakeOIS::withPaymentLag(Integer lag) {
        paymentLag_ = lag;
        return *this;
    }

    MakeOIS& MakeOIS::withPaymentCalendar(const Calendar& cal) {
        paymentCalendar_ = cal;
        return *this;
    }

    MakeOIS& MakeOIS::withCalendar(const Calendar& cal) {
        return withFixedLegCalendar(cal).withOvernightLegCalendar(cal);
    }

    MakeOIS& MakeOIS::withFixedLegCalendar(const Calendar& cal) {
        fixedCalendar_ = cal;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegCalendar(const Calendar& cal) {
        overnightCalendar_ = cal;
        return *this;
    }

    MakeOIS& MakeOIS::withRule(DateGeneration::Rule r) {
        return withFixedLegRule(r).withOvernightLegRule(r);
    }

    MakeOIS& MakeOIS::withFixedLegRule(DateGeneration::Rule r) {
        fixedRule_ = r;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegRule(DateGeneration::Rule r) {
        overnightRule_ = r;
        return *this;
    }

    MakeOIS& MakeOIS::withDiscountingTermStructure(
                                        const Handle<YieldTermStructure>& d) {
        bool includeSettlementDateFlows = false;
        engine_ = ext::shared_ptr<PricingEngine>(new
            DiscountingSwapEngine(d, includeSettlementDateFlows));
        return *this;
    }

    MakeOIS& MakeOIS::withPricingEngine(
                             const ext::shared_ptr<PricingEngine>& engine) {
        engine_ = engine;
        return *this;
    }

    MakeOIS& MakeOIS::withFixedLegDayCount(const DayCounter& dc) {
        fixedDayCount_ = dc;
        return *this;
    }

    MakeOIS& MakeOIS::withConvention(BusinessDayConvention bdc) {
        return withFixedLegConvention(bdc).withOvernightLegConvention(bdc);
    }

    MakeOIS& MakeOIS::withFixedLegConvention(BusinessDayConvention bdc) {
        fixedConvention_ = bdc;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegConvention(BusinessDayConvention bdc) {
        overnightConvention_ = bdc;
        return *this;
    }

    MakeOIS& MakeOIS::withTerminationDateConvention(BusinessDayConvention bdc) {
        withFixedLegTerminationDateConvention(bdc);
        return withOvernightLegTerminationDateConvention(bdc);
    }

    MakeOIS& MakeOIS::withFixedLegTerminationDateConvention(BusinessDayConvention bdc) {
        fixedTerminationDateConvention_ = bdc;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegTerminationDateConvention(BusinessDayConvention bdc) {
        overnightTerminationDateConvention_ = bdc;
        return *this;
    }

    MakeOIS& MakeOIS::withEndOfMonth(bool flag) {
        return withFixedLegEndOfMonth(flag).withOvernightLegEndOfMonth(flag);
    }

    MakeOIS& MakeOIS::withFixedLegEndOfMonth(bool flag) {
        fixedEndOfMonth_ = flag;
        isDefaultEOM_ = false;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegEndOfMonth(bool flag) {
        overnightEndOfMonth_ = flag;
        isDefaultEOM_ = false;
        return *this;
    }

    MakeOIS& MakeOIS::withOvernightLegSpread(Spread sp) {
        overnightSpread_ = sp;
        return *this;
    }

    MakeOIS& MakeOIS::withTelescopicValueDates(bool telescopicValueDates) {
        telescopicValueDates_ = telescopicValueDates;
        return *this;
    }

    MakeOIS& MakeOIS::withAveragingMethod(RateAveraging::Type averagingMethod) {
        averagingMethod_ = averagingMethod;
        return *this;
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2009, 2014, 2015 Ferdinando Ametrano
5	Copyright (C) 2015 Paolo Mazzocchi
6	Copyright (C) 2017 Joseph Jeisman
7	Copyright (C) 2017 Fabrice Lecuyer
8
9	This file is part of QuantLib, a free-software/open-source library
10	for financial quantitative analysts and developers - http://quantlib.org/
11
12	QuantLib is free software: you can redistribute it and/or modify it
13	under the terms of the QuantLib license. You should have received a
14	copy of the license along with this program; if not, please email
15	<quantlib-dev@lists.sf.net>. The license is also available online at
16	<http://quantlib.org/license.shtml>.
17
18	This program is distributed in the hope that it will be useful, but WITHOUT
19	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20	FOR A PARTICULAR PURPOSE. See the license for more details.
21	*/
22
23	#include <ql/instruments/makeois.hpp>
24	#include <ql/pricingengines/swap/discountingswapengine.hpp>
25	#include <ql/indexes/iborindex.hpp>
26	#include <ql/time/schedule.hpp>
27
28	namespace QuantLib {
29
30	MakeOIS::MakeOIS(const Period& swapTenor,	1,124✔
31	const ext::shared_ptr<OvernightIndex>& overnightIndex,
32	Rate fixedRate,
33	const Period& forwardStart)	1,124✔
34	: swapTenor_(swapTenor), overnightIndex_(overnightIndex), fixedRate_(fixedRate),	1,124✔
35	forwardStart_(forwardStart),	1,124✔
36	fixedCalendar_(overnightIndex->fixingCalendar()),	1,124✔
37	overnightCalendar_(overnightIndex->fixingCalendar()),	1,124✔
38	fixedDayCount_(overnightIndex->dayCounter()) {}	3,372✔
39
40	MakeOIS::operator OvernightIndexedSwap() const {	×
41	ext::shared_ptr<OvernightIndexedSwap> ois = *this;	×
42	return *ois;	×
43	}
44
45	MakeOIS::operator ext::shared_ptr<OvernightIndexedSwap>() const {	1,124✔
46
47	Date startDate;	1,124✔
48	if (effectiveDate_ != Date())	1,124✔
49	startDate = effectiveDate_;	947✔
50	else {
51	Date refDate = Settings::instance().evaluationDate();	177✔
52	// if the evaluation date is not a business day
53	// then move to the next business day
54	refDate = overnightCalendar_.adjust(refDate);	177✔
55	Date spotDate = overnightCalendar_.advance(refDate,	177✔
56	settlementDays_*Days);	177✔
57	startDate = spotDate+forwardStart_;	177✔
58	if (forwardStart_.length()<0)	177✔
59	startDate = overnightCalendar_.adjust(startDate, Preceding);	×
60	else
61	startDate = overnightCalendar_.adjust(startDate, Following);	177✔
62	}
63
64	// OIS end of month default
65	bool fixedEndOfMonth, overnightEndOfMonth;
66	if (isDefaultEOM_)	1,124✔
67	fixedEndOfMonth = overnightEndOfMonth = overnightCalendar_.isEndOfMonth(startDate);	1,124✔
68	else {
69	fixedEndOfMonth = fixedEndOfMonth_;	×
70	overnightEndOfMonth = overnightEndOfMonth_;	×
71	}
72
73	Date endDate = terminationDate_;	1,124✔
74	if (endDate == Date()) {	1,124✔
75	if (overnightEndOfMonth)	1,118✔
UNCOV 76	endDate = overnightCalendar_.advance(startDate,	×
UNCOV 77	swapTenor_,	×
78	ModifiedFollowing,
79	overnightEndOfMonth);
80	else
81	endDate = startDate + swapTenor_;	1,118✔
82	}
83
84	Frequency fixedPaymentFrequency, overnightPaymentFrequency;
85	DateGeneration::Rule fixedRule, overnightRule;
86	if (fixedPaymentFrequency_ == Once \|\| fixedRule_ == DateGeneration::Zero) {	1,124✔
87	fixedPaymentFrequency = Once;
88	fixedRule = DateGeneration::Zero;
89	} else {
90	fixedPaymentFrequency = fixedPaymentFrequency_;
91	fixedRule = fixedRule_;
92	}
93	if (overnightPaymentFrequency_ == Once \|\| overnightRule_ == DateGeneration::Zero) {	1,124✔
94	overnightPaymentFrequency = Once;
95	overnightRule = DateGeneration::Zero;
96	} else {
97	overnightPaymentFrequency = overnightPaymentFrequency_;
98	overnightRule = overnightRule_;
99	}
100
101	Schedule fixedSchedule(startDate, endDate,
102	Period(fixedPaymentFrequency),	2,248✔
103	fixedCalendar_,
104	fixedConvention_,	1,124✔
105	fixedTerminationDateConvention_,	1,124✔
106	fixedRule,
107	fixedEndOfMonth);	2,248✔
108
109	Schedule overnightSchedule(startDate, endDate,
110	Period(overnightPaymentFrequency),	2,248✔
111	overnightCalendar_,
112	overnightConvention_,	1,124✔
113	overnightTerminationDateConvention_,	1,124✔
114	overnightRule,
115	overnightEndOfMonth);	2,248✔
116
117	Rate usedFixedRate = fixedRate_;	1,124✔
118	if (fixedRate_ == Null<Rate>()) {	1,124✔
119	OvernightIndexedSwap temp(type_, nominal_,	×
120	fixedSchedule,
121	0.0, // fixed rate
122	fixedDayCount_,
123	overnightSchedule,
124	overnightIndex_, overnightSpread_,	×
125	paymentLag_, paymentAdjustment_,	×
126	paymentCalendar_, telescopicValueDates_);	×
127	if (engine_ == nullptr) {	×
128	Handle<YieldTermStructure> disc =
129	overnightIndex_->forwardingTermStructure();	×
130	QL_REQUIRE(!disc.empty(),	×
131	"null term structure set to this instance of " <<
132	overnightIndex_->name());
133	bool includeSettlementDateFlows = false;
134	ext::shared_ptr<PricingEngine> engine(new
135	DiscountingSwapEngine(disc, includeSettlementDateFlows));	×
136	temp.setPricingEngine(engine);	×
137	} else
138	temp.setPricingEngine(engine_);	×
139
140	usedFixedRate = temp.fairRate();	×
141	}	×
142
143	ext::shared_ptr<OvernightIndexedSwap> ois(new
144	OvernightIndexedSwap(type_, nominal_,	1,124✔
145	fixedSchedule,
146	usedFixedRate, fixedDayCount_,
147	overnightSchedule,
148	overnightIndex_, overnightSpread_,	1,124✔
149	paymentLag_, paymentAdjustment_,	1,124✔
150	paymentCalendar_, telescopicValueDates_,	1,124✔
151	averagingMethod_));	3,372✔
152
153	if (engine_ == nullptr) {	1,124✔
154	Handle<YieldTermStructure> disc =
155	overnightIndex_->forwardingTermStructure();	577✔
156	bool includeSettlementDateFlows = false;
157	ext::shared_ptr<PricingEngine> engine(new
158	DiscountingSwapEngine(disc, includeSettlementDateFlows));	577✔
159	ois->setPricingEngine(engine);	577✔
160	} else
161	ois->setPricingEngine(engine_);	547✔
162
163	return ois;	1,124✔
164	}	1,124✔
165
166	MakeOIS& MakeOIS::receiveFixed(bool flag) {	×
167	type_ = flag ? Swap::Receiver : Swap::Payer ;	×
168	return *this;	×
169	}
170
171	MakeOIS& MakeOIS::withType(Swap::Type type) {	576✔
172	type_ = type;	576✔
173	return *this;	576✔
174	}
175
176	MakeOIS& MakeOIS::withNominal(Real n) {	364✔
177	nominal_ = n;	364✔
178	return *this;	364✔
179	}
180
181	MakeOIS& MakeOIS::withSettlementDays(Natural settlementDays) {	177✔
182	settlementDays_ = settlementDays;	177✔
183	effectiveDate_ = Date();	177✔
184	return *this;	177✔
185	}
186
187	MakeOIS& MakeOIS::withEffectiveDate(const Date& effectiveDate) {	947✔
188	effectiveDate_ = effectiveDate;	947✔
189	return *this;	947✔
190	}
191
192	MakeOIS& MakeOIS::withTerminationDate(const Date& terminationDate) {	6✔
193	terminationDate_ = terminationDate;	6✔
194	swapTenor_ = Period();	6✔
195	return *this;	6✔
196	}
197
198	MakeOIS& MakeOIS::withPaymentFrequency(Frequency f) {	760✔
199	return withFixedLegPaymentFrequency(f).withOvernightLegPaymentFrequency(f);	760✔
200	}
201
202	MakeOIS& MakeOIS::withFixedLegPaymentFrequency(Frequency f) {	760✔
203	fixedPaymentFrequency_ = f;	760✔
204	return *this;	760✔
205	}
206
207	MakeOIS& MakeOIS::withOvernightLegPaymentFrequency(Frequency f) {	760✔
208	overnightPaymentFrequency_ = f;	760✔
209	return *this;	760✔
210	}
211
212	MakeOIS& MakeOIS::withPaymentAdjustment(BusinessDayConvention convention) {	183✔
213	paymentAdjustment_ = convention;	183✔
214	return *this;	183✔
215	}
216
217	MakeOIS& MakeOIS::withPaymentLag(Integer lag) {	547✔
218	paymentLag_ = lag;	547✔
219	return *this;	547✔
220	}
221
222	MakeOIS& MakeOIS::withPaymentCalendar(const Calendar& cal) {	183✔
223	paymentCalendar_ = cal;
224	return *this;	183✔
225	}
226
227	MakeOIS& MakeOIS::withCalendar(const Calendar& cal) {	×
228	return withFixedLegCalendar(cal).withOvernightLegCalendar(cal);	×
229	}
230
231	MakeOIS& MakeOIS::withFixedLegCalendar(const Calendar& cal) {	×
232	fixedCalendar_ = cal;
233	return *this;	×
234	}
235
236	MakeOIS& MakeOIS::withOvernightLegCalendar(const Calendar& cal) {	×
237	overnightCalendar_ = cal;
238	return *this;	×
239	}
240
241	MakeOIS& MakeOIS::withRule(DateGeneration::Rule r) {	×
242	return withFixedLegRule(r).withOvernightLegRule(r);	×
243	}
244
245	MakeOIS& MakeOIS::withFixedLegRule(DateGeneration::Rule r) {	×
246	fixedRule_ = r;	×
247	return *this;	×
248	}
249
250	MakeOIS& MakeOIS::withOvernightLegRule(DateGeneration::Rule r) {	×
251	overnightRule_ = r;	×
252	return *this;	×
253	}
254
255	MakeOIS& MakeOIS::withDiscountingTermStructure(	547✔
256	const Handle<YieldTermStructure>& d) {
257	bool includeSettlementDateFlows = false;
258	engine_ = ext::shared_ptr<PricingEngine>(new	1,641✔
259	DiscountingSwapEngine(d, includeSettlementDateFlows));	1,094✔
260	return *this;	547✔
261	}
262
263	MakeOIS& MakeOIS::withPricingEngine(	×
264	const ext::shared_ptr<PricingEngine>& engine) {
265	engine_ = engine;	×
266	return *this;	×
267	}
268
269	MakeOIS& MakeOIS::withFixedLegDayCount(const DayCounter& dc) {	577✔
270	fixedDayCount_ = dc;
271	return *this;	577✔
272	}
273
274	MakeOIS& MakeOIS::withConvention(BusinessDayConvention bdc) {	×
275	return withFixedLegConvention(bdc).withOvernightLegConvention(bdc);	×
276	}
277
278	MakeOIS& MakeOIS::withFixedLegConvention(BusinessDayConvention bdc) {	×
279	fixedConvention_ = bdc;	×
280	return *this;	×
281	}
282
283	MakeOIS& MakeOIS::withOvernightLegConvention(BusinessDayConvention bdc) {	×
284	overnightConvention_ = bdc;	×
285	return *this;	×
286	}
287
288	MakeOIS& MakeOIS::withTerminationDateConvention(BusinessDayConvention bdc) {	×
289	withFixedLegTerminationDateConvention(bdc);	×
290	return withOvernightLegTerminationDateConvention(bdc);	×
291	}
292
293	MakeOIS& MakeOIS::withFixedLegTerminationDateConvention(BusinessDayConvention bdc) {	×
294	fixedTerminationDateConvention_ = bdc;	×
295	return *this;	×
296	}
297
298	MakeOIS& MakeOIS::withOvernightLegTerminationDateConvention(BusinessDayConvention bdc) {	×
299	overnightTerminationDateConvention_ = bdc;	×
300	return *this;	×
301	}
302
303	MakeOIS& MakeOIS::withEndOfMonth(bool flag) {	×
304	return withFixedLegEndOfMonth(flag).withOvernightLegEndOfMonth(flag);	×
305	}
306
307	MakeOIS& MakeOIS::withFixedLegEndOfMonth(bool flag) {	×
308	fixedEndOfMonth_ = flag;	×
309	isDefaultEOM_ = false;	×
310	return *this;	×
311	}
312
313	MakeOIS& MakeOIS::withOvernightLegEndOfMonth(bool flag) {	×
314	overnightEndOfMonth_ = flag;	×
315	isDefaultEOM_ = false;	×
316	return *this;	×
317	}
318
319	MakeOIS& MakeOIS::withOvernightLegSpread(Spread sp) {	547✔
320	overnightSpread_ = sp;	547✔
321	return *this;	547✔
322	}
323
324	MakeOIS& MakeOIS::withTelescopicValueDates(bool telescopicValueDates) {	547✔
325	telescopicValueDates_ = telescopicValueDates;	547✔
326	return *this;	547✔
327	}
328
329	MakeOIS& MakeOIS::withAveragingMethod(RateAveraging::Type averagingMethod) {	547✔
330	averagingMethod_ = averagingMethod;	547✔
331	return *this;	547✔
332	}
333
334	}

lballabio / QuantLib / 8939411017

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