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66.09

/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_, lookbackDays_,
                                 lockoutDays_, applyObservationShift_));

        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;
        if (terminationDate != Date())
            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;
    }

    MakeOIS& MakeOIS::withLookbackDays(Natural lookbackDays) {
        lookbackDays_ = lookbackDays;
        return *this;
    }

    MakeOIS& MakeOIS::withLockoutDays(Natural lockoutDays) {
        lockoutDays_ = lockoutDays;
        return *this;
    }

    MakeOIS& MakeOIS::withObservationShift(bool applyObservationShift) {
        applyObservationShift_ = applyObservationShift;
        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,	1,592✔
31	const ext::shared_ptr<OvernightIndex>& overnightIndex,
32	Rate fixedRate,
33	const Period& forwardStart)	1,592✔
34	: swapTenor_(swapTenor), overnightIndex_(overnightIndex), fixedRate_(fixedRate),	1,592✔
35	forwardStart_(forwardStart),	1,592✔
36	fixedCalendar_(overnightIndex->fixingCalendar()),	1,592✔
37	overnightCalendar_(overnightIndex->fixingCalendar()),	1,592✔
38	fixedDayCount_(overnightIndex->dayCounter()) {}	4,776✔
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 {	1,592✔
46
47	Date startDate;	1,592✔
48	if (effectiveDate_ != Date())	1,592✔
49	startDate = effectiveDate_;	1,180✔
50	else {
51	Date refDate = Settings::instance().evaluationDate();	412✔
52	// if the evaluation date is not a business day
53	// then move to the next business day
54	refDate = overnightCalendar_.adjust(refDate);	412✔
55	Date spotDate = overnightCalendar_.advance(refDate,	412✔
56	settlementDays_*Days);	412✔
57	startDate = spotDate+forwardStart_;	412✔
58	if (forwardStart_.length()<0)	412✔
59	startDate = overnightCalendar_.adjust(startDate, Preceding);	×
60	else
61	startDate = overnightCalendar_.adjust(startDate, Following);	412✔
62	}
63
64	// OIS end of month default
65	bool fixedEndOfMonth, overnightEndOfMonth;
66	if (isDefaultEOM_)	1,592✔
67	fixedEndOfMonth = overnightEndOfMonth = overnightCalendar_.isEndOfMonth(startDate);	1,592✔
68	else {
69	fixedEndOfMonth = fixedEndOfMonth_;	×
70	overnightEndOfMonth = overnightEndOfMonth_;	×
71	}
72
73	Date endDate = terminationDate_;	1,592✔
74	if (endDate == Date()) {	1,592✔
75	if (overnightEndOfMonth)	1,584✔
UNCOV 76	endDate = overnightCalendar_.advance(startDate,	×
UNCOV 77	swapTenor_,	×
78	ModifiedFollowing,
79	overnightEndOfMonth);
80	else
81	endDate = startDate + swapTenor_;	1,584✔
82	}
83
84	Frequency fixedPaymentFrequency, overnightPaymentFrequency;
85	DateGeneration::Rule fixedRule, overnightRule;
86	if (fixedPaymentFrequency_ == Once \|\| fixedRule_ == DateGeneration::Zero) {	1,592✔
87	fixedPaymentFrequency = Once;
88	fixedRule = DateGeneration::Zero;
89	} else {
90	fixedPaymentFrequency = fixedPaymentFrequency_;
91	fixedRule = fixedRule_;
92	}
93	if (overnightPaymentFrequency_ == Once \|\| overnightRule_ == DateGeneration::Zero) {	1,592✔
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),	3,184✔
103	fixedCalendar_,
104	fixedConvention_,	1,592✔
105	fixedTerminationDateConvention_,	1,592✔
106	fixedRule,
107	fixedEndOfMonth);	3,184✔
108
109	Schedule overnightSchedule(startDate, endDate,
110	Period(overnightPaymentFrequency),	3,184✔
111	overnightCalendar_,
112	overnightConvention_,	1,592✔
113	overnightTerminationDateConvention_,	1,592✔
114	overnightRule,
115	overnightEndOfMonth);	3,184✔
116
117	Rate usedFixedRate = fixedRate_;	1,592✔
118	if (fixedRate_ == Null<Rate>()) {	1,592✔
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_,	1,592✔
145	fixedSchedule,
146	usedFixedRate, fixedDayCount_,
147	overnightSchedule,
148	overnightIndex_, overnightSpread_,	1,592✔
149	paymentLag_, paymentAdjustment_,	1,592✔
150	paymentCalendar_, telescopicValueDates_,	1,592✔
151	averagingMethod_, lookbackDays_,	1,592✔
152	lockoutDays_, applyObservationShift_));	4,778✔
153
154	if (engine_ == nullptr) {	1,590✔
155	Handle<YieldTermStructure> disc =
156	overnightIndex_->forwardingTermStructure();	577✔
157	bool includeSettlementDateFlows = false;
158	ext::shared_ptr<PricingEngine> engine(new
159	DiscountingSwapEngine(disc, includeSettlementDateFlows));	577✔
160	ois->setPricingEngine(engine);	577✔
161	} else
162	ois->setPricingEngine(engine_);	1,013✔
163
164	return ois;	1,590✔
165	}	1,594✔
166
167	MakeOIS& MakeOIS::receiveFixed(bool flag) {	×
168	type_ = flag ? Swap::Receiver : Swap::Payer ;	×
169	return *this;	×
170	}
171
172	MakeOIS& MakeOIS::withType(Swap::Type type) {	576✔
173	type_ = type;	576✔
174	return *this;	576✔
175	}
176
177	MakeOIS& MakeOIS::withNominal(Real n) {	595✔
178	nominal_ = n;	595✔
179	return *this;	595✔
180	}
181
182	MakeOIS& MakeOIS::withSettlementDays(Natural settlementDays) {	419✔
183	settlementDays_ = settlementDays;	419✔
184	effectiveDate_ = Date();	419✔
185	return *this;	419✔
186	}
187
188	MakeOIS& MakeOIS::withEffectiveDate(const Date& effectiveDate) {	1,592✔
189	effectiveDate_ = effectiveDate;	1,592✔
190	return *this;	1,592✔
191	}
192
193	MakeOIS& MakeOIS::withTerminationDate(const Date& terminationDate) {	420✔
194	terminationDate_ = terminationDate;	420✔
195	if (terminationDate != Date())	420✔
196	swapTenor_ = Period();	8✔
197	return *this;	420✔
198	}
199
200	MakeOIS& MakeOIS::withPaymentFrequency(Frequency f) {	996✔
201	return withFixedLegPaymentFrequency(f).withOvernightLegPaymentFrequency(f);	996✔
202	}
203
204	MakeOIS& MakeOIS::withFixedLegPaymentFrequency(Frequency f) {	996✔
205	fixedPaymentFrequency_ = f;	996✔
206	return *this;	996✔
207	}
208
209	MakeOIS& MakeOIS::withOvernightLegPaymentFrequency(Frequency f) {	996✔
210	overnightPaymentFrequency_ = f;	996✔
211	return *this;	996✔
212	}
213
214	MakeOIS& MakeOIS::withPaymentAdjustment(BusinessDayConvention convention) {	419✔
215	paymentAdjustment_ = convention;	419✔
216	return *this;	419✔
217	}
218
219	MakeOIS& MakeOIS::withPaymentLag(Integer lag) {	1,014✔
220	paymentLag_ = lag;	1,014✔
221	return *this;	1,014✔
222	}
223
224	MakeOIS& MakeOIS::withPaymentCalendar(const Calendar& cal) {	419✔
225	paymentCalendar_ = cal;
226	return *this;	419✔
227	}
228
229	MakeOIS& MakeOIS::withCalendar(const Calendar& cal) {	×
230	return withFixedLegCalendar(cal).withOvernightLegCalendar(cal);	×
231	}
232
233	MakeOIS& MakeOIS::withFixedLegCalendar(const Calendar& cal) {	×
234	fixedCalendar_ = cal;
235	return *this;	×
236	}
237
238	MakeOIS& MakeOIS::withOvernightLegCalendar(const Calendar& cal) {	×
239	overnightCalendar_ = cal;
240	return *this;	×
241	}
242
243	MakeOIS& MakeOIS::withRule(DateGeneration::Rule r) {	419✔
244	return withFixedLegRule(r).withOvernightLegRule(r);	419✔
245	}
246
247	MakeOIS& MakeOIS::withFixedLegRule(DateGeneration::Rule r) {	419✔
248	fixedRule_ = r;	419✔
249	return *this;	419✔
250	}
251
252	MakeOIS& MakeOIS::withOvernightLegRule(DateGeneration::Rule r) {	419✔
253	overnightRule_ = r;	419✔
254	return *this;	419✔
255	}
256
257	MakeOIS& MakeOIS::withDiscountingTermStructure(	1,015✔
258	const Handle<YieldTermStructure>& d) {
259	bool includeSettlementDateFlows = false;
260	engine_ = ext::shared_ptr<PricingEngine>(new	3,045✔
261	DiscountingSwapEngine(d, includeSettlementDateFlows));	2,030✔
262	return *this;	1,015✔
263	}
264
265	MakeOIS& MakeOIS::withPricingEngine(	×
266	const ext::shared_ptr<PricingEngine>& engine) {
267	engine_ = engine;	×
268	return *this;	×
269	}
270
271	MakeOIS& MakeOIS::withFixedLegDayCount(const DayCounter& dc) {	577✔
272	fixedDayCount_ = dc;
273	return *this;	577✔
274	}
275
276	MakeOIS& MakeOIS::withConvention(BusinessDayConvention bdc) {	×
277	return withFixedLegConvention(bdc).withOvernightLegConvention(bdc);	×
278	}
279
280	MakeOIS& MakeOIS::withFixedLegConvention(BusinessDayConvention bdc) {	×
281	fixedConvention_ = bdc;	×
282	return *this;	×
283	}
284
285	MakeOIS& MakeOIS::withOvernightLegConvention(BusinessDayConvention bdc) {	×
286	overnightConvention_ = bdc;	×
287	return *this;	×
288	}
289
290	MakeOIS& MakeOIS::withTerminationDateConvention(BusinessDayConvention bdc) {	×
291	withFixedLegTerminationDateConvention(bdc);	×
292	return withOvernightLegTerminationDateConvention(bdc);	×
293	}
294
295	MakeOIS& MakeOIS::withFixedLegTerminationDateConvention(BusinessDayConvention bdc) {	×
296	fixedTerminationDateConvention_ = bdc;	×
297	return *this;	×
298	}
299
300	MakeOIS& MakeOIS::withOvernightLegTerminationDateConvention(BusinessDayConvention bdc) {	×
301	overnightTerminationDateConvention_ = bdc;	×
302	return *this;	×
303	}
304
305	MakeOIS& MakeOIS::withEndOfMonth(bool flag) {	×
306	return withFixedLegEndOfMonth(flag).withOvernightLegEndOfMonth(flag);	×
307	}
308
309	MakeOIS& MakeOIS::withFixedLegEndOfMonth(bool flag) {	×
310	fixedEndOfMonth_ = flag;	×
311	isDefaultEOM_ = false;	×
312	return *this;	×
313	}
314
315	MakeOIS& MakeOIS::withOvernightLegEndOfMonth(bool flag) {	×
316	overnightEndOfMonth_ = flag;	×
317	isDefaultEOM_ = false;	×
318	return *this;	×
319	}
320
321	MakeOIS& MakeOIS::withOvernightLegSpread(Spread sp) {	816✔
322	overnightSpread_ = sp;	816✔
323	return *this;	816✔
324	}
325
326	MakeOIS& MakeOIS::withTelescopicValueDates(bool telescopicValueDates) {	1,014✔
327	telescopicValueDates_ = telescopicValueDates;	1,014✔
328	return *this;	1,014✔
329	}
330
331	MakeOIS& MakeOIS::withAveragingMethod(RateAveraging::Type averagingMethod) {	816✔
332	averagingMethod_ = averagingMethod;	816✔
333	return *this;	816✔
334	}
335
336	MakeOIS& MakeOIS::withLookbackDays(Natural lookbackDays) {	617✔
337	lookbackDays_ = lookbackDays;	617✔
338	return *this;	617✔
339	}
340
341	MakeOIS& MakeOIS::withLockoutDays(Natural lockoutDays) {	617✔
342	lockoutDays_ = lockoutDays;	617✔
343	return *this;	617✔
344	}
345
346	MakeOIS& MakeOIS::withObservationShift(bool applyObservationShift) {	617✔
347	applyObservationShift_ = applyObservationShift;	617✔
348	return *this;	617✔
349	}
350
351	}

lballabio / QuantLib / 12584830276

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