14910176578

Committed 08 May 2025 03:28PM UTC coverage: 73.315% (+0.02%) from 73.3%

Build # 14910176578

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Pull #2195

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web-flow

Commit Message

Merge 3a61f499c into 5d972fb7b

Pull Request Pull Request #2195: Added `Handle<Quote>` for spread in `OISRateHelper`

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83.78

/ql/termstructures/yield/oisratehelper.cpp

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

/*
 Copyright (C) 2009, 2012 Roland Lichters
 Copyright (C) 2009, 2012 Ferdinando Ametrano

 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/instruments/simplifynotificationgraph.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/termstructures/yield/oisratehelper.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>

namespace QuantLib {

    namespace {
        Handle<Quote> normalizeSpreadType(const std::variant<Spread, Handle<Quote>>& overnightSpread) {
            return std::visit(
                [](const auto& value) -> Handle<Quote> {
                    using T = std::decay_t<decltype(value)>;
                    if constexpr (std::is_same_v<T, Spread>) {
                        return makeQuoteHandle(value);
                    } else if constexpr (std::is_same_v<T, Handle<Quote>>) {
                        return value;
                    } else {
                        QL_FAIL("Unexpected type in overnightSpread variant");
                    }
                },
                overnightSpread
            );
        }
    }

    OISRateHelper::OISRateHelper(Natural settlementDays,
        const Period& tenor, // swap maturity
        const Handle<Quote>& fixedRate,
        const ext::shared_ptr<OvernightIndex>& overnightIndex,
        Handle<YieldTermStructure> discount,
        bool telescopicValueDates,
        Integer paymentLag,
        BusinessDayConvention paymentConvention,
        Frequency paymentFrequency,
        Calendar paymentCalendar,
        const Period& forwardStart,
        const std::variant<Spread, Handle<Quote>> overnightSpread,
        Pillar::Choice pillar,
        Date customPillarDate,
        RateAveraging::Type averagingMethod,
        ext::optional<bool> endOfMonth,
        ext::optional<Frequency> fixedPaymentFrequency,
        Calendar fixedCalendar,
        Natural lookbackDays,
        Natural lockoutDays,
        bool applyObservationShift,
        ext::shared_ptr<FloatingRateCouponPricer> pricer,
        DateGeneration::Rule rule)
    : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
    discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
    paymentLag_(paymentLag), paymentConvention_(paymentConvention),
    paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
    forwardStart_(forwardStart), overnightSpread_(normalizeSpreadType(overnightSpread)), pillarChoice_(pillar),
    averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
    fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
    lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
    pricer_(std::move(pricer)), rule_(rule) {
    initialize(overnightIndex, customPillarDate);
    }

    OISRateHelper::OISRateHelper(const Date& startDate,
        const Date& endDate,
        const Handle<Quote>& fixedRate,
        const ext::shared_ptr<OvernightIndex>& overnightIndex,
        Handle<YieldTermStructure> discount,
        bool telescopicValueDates,
        Integer paymentLag,
        BusinessDayConvention paymentConvention,
        Frequency paymentFrequency,
        Calendar paymentCalendar,
        const std::variant<Spread, Handle<Quote>> overnightSpread,
        Pillar::Choice pillar,
        Date customPillarDate,
        RateAveraging::Type averagingMethod,
        ext::optional<bool> endOfMonth,
        ext::optional<Frequency> fixedPaymentFrequency,
        Calendar fixedCalendar,
        Natural lookbackDays,
        Natural lockoutDays,
        bool applyObservationShift,
        ext::shared_ptr<FloatingRateCouponPricer> pricer,
        DateGeneration::Rule rule)
    : RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),
    discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
    paymentLag_(paymentLag), paymentConvention_(paymentConvention),
    paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
    overnightSpread_(normalizeSpreadType(overnightSpread)), pillarChoice_(pillar),
    averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
    fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
    lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
    pricer_(std::move(pricer)), rule_(rule) {
    initialize(overnightIndex, customPillarDate);
    }

    void OISRateHelper::initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                   Date customPillarDate) {
        overnightIndex_ =
            ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
        // We want to be notified of changes of fixings, but we don't
        // want notifications from termStructureHandle_ (they would
        // interfere with bootstrapping.)
        overnightIndex_->unregisterWith(termStructureHandle_);

        registerWith(overnightIndex_);
        registerWith(discountHandle_);
        registerWith(overnightSpread_);

        pillarDate_ = customPillarDate;
        OISRateHelper::initializeDates();
    }

    void OISRateHelper::initializeDates() {

        // 1. do not pass the spread here, as it might be a Quote
        //    i.e. it can dynamically change
        // 2. input discount curve Handle might be empty now but it could
        //    be assigned a curve later; use a RelinkableHandle here
        auto tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)
            .withDiscountingTermStructure(discountRelinkableHandle_)
            .withSettlementDays(settlementDays_)  // resets effectiveDate
            .withEffectiveDate(startDate_)
            .withTerminationDate(endDate_)
            .withTelescopicValueDates(telescopicValueDates_)
            .withPaymentLag(paymentLag_)
            .withPaymentAdjustment(paymentConvention_)
            .withPaymentFrequency(paymentFrequency_)
            .withPaymentCalendar(paymentCalendar_)
            .withAveragingMethod(averagingMethod_)
            .withLookbackDays(lookbackDays_)
            .withLockoutDays(lockoutDays_)
            .withRule(rule_)
            .withObservationShift(applyObservationShift_);
        if (endOfMonth_) {
            tmp.withEndOfMonth(*endOfMonth_);
        }
        if (fixedPaymentFrequency_) {
            tmp.withFixedLegPaymentFrequency(*fixedPaymentFrequency_);
        }
        if (!fixedCalendar_.empty()) {
            tmp.withFixedLegCalendar(fixedCalendar_);
        }
        swap_ = tmp;

        if (pricer_)
            setCouponPricer(swap_->overnightLeg(), pricer_);

        simplifyNotificationGraph(*swap_, true);

        earliestDate_ = swap_->startDate();
        maturityDate_ = swap_->maturityDate();

        Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
                                        swap_->fixedLeg().back()->date());
        latestRelevantDate_ = latestDate_ = std::max(maturityDate_, lastPaymentDate);

        switch (pillarChoice_) {
          case Pillar::MaturityDate:
            pillarDate_ = maturityDate_;
            break;
          case Pillar::LastRelevantDate:
            pillarDate_ = latestRelevantDate_;
            break;
          case Pillar::CustomDate:
            // pillarDate_ already assigned at construction time
            QL_REQUIRE(pillarDate_ >= earliestDate_,
                       "pillar date (" << pillarDate_ << ") must be later "
                       "than or equal to the instrument's earliest date (" <<
                       earliestDate_ << ")");
            QL_REQUIRE(pillarDate_ <= latestRelevantDate_,
                       "pillar date (" << pillarDate_ << ") must be before "
                       "or equal to the instrument's latest relevant date (" <<
                       latestRelevantDate_ << ")");
            break;
          default:
            QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");
        }
    }

    void OISRateHelper::setTermStructure(YieldTermStructure* t) {
        // do not set the relinkable handle as an observer -
        // force recalculation when needed
        bool observer = false;

        ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
        termStructureHandle_.linkTo(temp, observer);

        if (discountHandle_.empty())
            discountRelinkableHandle_.linkTo(temp, observer);
        else
            discountRelinkableHandle_.linkTo(*discountHandle_, observer);

        RelativeDateRateHelper::setTermStructure(t);
    }

    Real OISRateHelper::impliedQuote() const {
        QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
        // we didn't register as observers - force calculation
        swap_->deepUpdate();
        // weak implementation... to be improved
        static const Spread basisPoint = 1.0e-4;
        Real floatingLegNPV = swap_->overnightLegNPV();
        Spread spread = overnightSpread_.empty() ? 0.0 : overnightSpread_->value();
        Real spreadNPV = swap_->overnightLegBPS()/basisPoint*spread;
        Real totNPV = - (floatingLegNPV+spreadNPV);
        Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);
        return result;
    }

    void OISRateHelper::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<OISRateHelper>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            RateHelper::accept(v);
    }

    DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
                                           const Date& endDate,
                                           const Handle<Quote>& fixedRate,
                                           const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                           Handle<YieldTermStructure> discount,
                                           bool telescopicValueDates,
                                           RateAveraging::Type averagingMethod,
                                           Integer paymentLag,
                                           BusinessDayConvention paymentConvention,
                                           Frequency paymentFrequency,
                                           const Calendar& paymentCalendar,
                                           Handle<Quote> overnightSpread,
                                           ext::optional<bool> endOfMonth,
                                           ext::optional<Frequency> fixedPaymentFrequency,
                                           const Calendar& fixedCalendar,
                                           Natural lookbackDays,
                                           Natural lockoutDays,
                                           bool applyObservationShift,
                                           const ext::shared_ptr<FloatingRateCouponPricer>& pricer)
    : OISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
                    paymentLag, paymentConvention, paymentFrequency, paymentCalendar, 
                    std::variant<Spread, Handle<Quote>>(std::move(overnightSpread)),
                    Pillar::LastRelevantDate, Date(), averagingMethod, endOfMonth, fixedPaymentFrequency,
                    fixedCalendar, lookbackDays, lockoutDays, applyObservationShift, pricer) {}

    DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
                                           const Date& endDate,
                                           const Handle<Quote>& fixedRate,
                                           const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                           Handle<YieldTermStructure> discount,
                                           bool telescopicValueDates,
                                           RateAveraging::Type averagingMethod,
                                           Integer paymentLag,
                                           BusinessDayConvention paymentConvention,
                                           Frequency paymentFrequency,
                                           const Calendar& paymentCalendar,
                                           const Period&,
                                           Handle<Quote> overnightSpread,
                                           ext::optional<bool> endOfMonth,
                                           ext::optional<Frequency> fixedPaymentFrequency,
                                           const Calendar& fixedCalendar)
    : DatedOISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
                         averagingMethod, paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
                         std::move(overnightSpread), endOfMonth, fixedPaymentFrequency, fixedCalendar) {}

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2009, 2012 Roland Lichters
5	Copyright (C) 2009, 2012 Ferdinando Ametrano
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<http://quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <ql/instruments/makeois.hpp>
22	#include <ql/instruments/simplifynotificationgraph.hpp>
23	#include <ql/cashflows/couponpricer.hpp>
24	#include <ql/pricingengines/swap/discountingswapengine.hpp>
25	#include <ql/termstructures/yield/oisratehelper.hpp>
26	#include <ql/utilities/null_deleter.hpp>
27	#include <utility>
28
29	namespace QuantLib {
30
31	namespace {
32	Handle<Quote> normalizeSpreadType(const std::variant<Spread, Handle<Quote>>& overnightSpread) {	419✔
33	return std::visit(
34	[](const auto& value) -> Handle<Quote> {
35	using T = std::decay_t<decltype(value)>;
36	if constexpr (std::is_same_v<T, Spread>) {
37	return makeQuoteHandle(value);	53✔
38	} else if constexpr (std::is_same_v<T, Handle<Quote>>) {
39	return value;
40	} else {
41	QL_FAIL("Unexpected type in overnightSpread variant");
42	}
43	},
44	overnightSpread
45	);	419✔
46	}
47	}
48
49	OISRateHelper::OISRateHelper(Natural settlementDays,	412✔
50	const Period& tenor, // swap maturity
51	const Handle<Quote>& fixedRate,
52	const ext::shared_ptr<OvernightIndex>& overnightIndex,
53	Handle<YieldTermStructure> discount,
54	bool telescopicValueDates,
55	Integer paymentLag,
56	BusinessDayConvention paymentConvention,
57	Frequency paymentFrequency,
58	Calendar paymentCalendar,
59	const Period& forwardStart,
60	const std::variant<Spread, Handle<Quote>> overnightSpread,
61	Pillar::Choice pillar,
62	Date customPillarDate,
63	RateAveraging::Type averagingMethod,
64	ext::optional<bool> endOfMonth,
65	ext::optional<Frequency> fixedPaymentFrequency,
66	Calendar fixedCalendar,
67	Natural lookbackDays,
68	Natural lockoutDays,
69	bool applyObservationShift,
70	ext::shared_ptr<FloatingRateCouponPricer> pricer,
71	DateGeneration::Rule rule)	412✔
72	: RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),	412✔
73	discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),	412✔
74	paymentLag_(paymentLag), paymentConvention_(paymentConvention),	412✔
75	paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),	412✔
76	forwardStart_(forwardStart), overnightSpread_(normalizeSpreadType(overnightSpread)), pillarChoice_(pillar),	412✔
77	averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),	412✔
78	fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),	412✔
79	lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),	412✔
80	pricer_(std::move(pricer)), rule_(rule) {	412✔
81	initialize(overnightIndex, customPillarDate);	412✔
82	}	410✔
83
84	OISRateHelper::OISRateHelper(const Date& startDate,	7✔
85	const Date& endDate,
86	const Handle<Quote>& fixedRate,
87	const ext::shared_ptr<OvernightIndex>& overnightIndex,
88	Handle<YieldTermStructure> discount,
89	bool telescopicValueDates,
90	Integer paymentLag,
91	BusinessDayConvention paymentConvention,
92	Frequency paymentFrequency,
93	Calendar paymentCalendar,
94	const std::variant<Spread, Handle<Quote>> overnightSpread,
95	Pillar::Choice pillar,
96	Date customPillarDate,
97	RateAveraging::Type averagingMethod,
98	ext::optional<bool> endOfMonth,
99	ext::optional<Frequency> fixedPaymentFrequency,
100	Calendar fixedCalendar,
101	Natural lookbackDays,
102	Natural lockoutDays,
103	bool applyObservationShift,
104	ext::shared_ptr<FloatingRateCouponPricer> pricer,
105	DateGeneration::Rule rule)	7✔
106	: RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),	7✔
107	discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),	7✔
108	paymentLag_(paymentLag), paymentConvention_(paymentConvention),	7✔
109	paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),	7✔
110	overnightSpread_(normalizeSpreadType(overnightSpread)), pillarChoice_(pillar),	7✔
111	averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),	7✔
112	fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),	7✔
113	lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),	7✔
114	pricer_(std::move(pricer)), rule_(rule) {	7✔
115	initialize(overnightIndex, customPillarDate);	7✔
116	}	7✔
117
118	void OISRateHelper::initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,	419✔
119	Date customPillarDate) {
120	overnightIndex_ =
121	ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));	838✔
122	// We want to be notified of changes of fixings, but we don't
123	// want notifications from termStructureHandle_ (they would
124	// interfere with bootstrapping.)
125	overnightIndex_->unregisterWith(termStructureHandle_);	419✔
126
127	registerWith(overnightIndex_);	838✔
128	registerWith(discountHandle_);	838✔
129	registerWith(overnightSpread_);	419✔
130
131	pillarDate_ = customPillarDate;	419✔
132	OISRateHelper::initializeDates();	419✔
133	}	417✔
134
135	void OISRateHelper::initializeDates() {	419✔
136
137	// 1. do not pass the spread here, as it might be a Quote
138	// i.e. it can dynamically change
139	// 2. input discount curve Handle might be empty now but it could
140	// be assigned a curve later; use a RelinkableHandle here
141	auto tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)	838✔
142	.withDiscountingTermStructure(discountRelinkableHandle_)	419✔
143	.withSettlementDays(settlementDays_) // resets effectiveDate	419✔
144	.withEffectiveDate(startDate_)	419✔
145	.withTerminationDate(endDate_)	419✔
146	.withTelescopicValueDates(telescopicValueDates_)	419✔
147	.withPaymentLag(paymentLag_)	419✔
148	.withPaymentAdjustment(paymentConvention_)	419✔
149	.withPaymentFrequency(paymentFrequency_)	419✔
150	.withPaymentCalendar(paymentCalendar_)	419✔
151	.withAveragingMethod(averagingMethod_)	419✔
152	.withLookbackDays(lookbackDays_)	419✔
153	.withLockoutDays(lockoutDays_)	419✔
154	.withRule(rule_)	419✔
155	.withObservationShift(applyObservationShift_);	419✔
156	if (endOfMonth_) {	419✔
157	tmp.withEndOfMonth(*endOfMonth_);	×
158	}
159	if (fixedPaymentFrequency_) {	419✔
160	tmp.withFixedLegPaymentFrequency(*fixedPaymentFrequency_);	×
161	}
162	if (!fixedCalendar_.empty()) {	419✔
163	tmp.withFixedLegCalendar(fixedCalendar_);	×
164	}
165	swap_ = tmp;	836✔
166
167	if (pricer_)	417✔
168	setCouponPricer(swap_->overnightLeg(), pricer_);	33✔
169
170	simplifyNotificationGraph(*swap_, true);	417✔
171
172	earliestDate_ = swap_->startDate();	417✔
173	maturityDate_ = swap_->maturityDate();	417✔
174
175	Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),	417✔
176	swap_->fixedLeg().back()->date());	417✔
177	latestRelevantDate_ = latestDate_ = std::max(maturityDate_, lastPaymentDate);	417✔
178
179	switch (pillarChoice_) {	417✔
180	case Pillar::MaturityDate:	22✔
181	pillarDate_ = maturityDate_;	22✔
182	break;	22✔
183	case Pillar::LastRelevantDate:	395✔
184	pillarDate_ = latestRelevantDate_;	395✔
185	break;	395✔
186	case Pillar::CustomDate:	×
187	// pillarDate_ already assigned at construction time
188	QL_REQUIRE(pillarDate_ >= earliestDate_,	×
189	"pillar date (" << pillarDate_ << ") must be later "
190	"than or equal to the instrument's earliest date (" <<
191	earliestDate_ << ")");
192	QL_REQUIRE(pillarDate_ <= latestRelevantDate_,	×
193	"pillar date (" << pillarDate_ << ") must be before "
194	"or equal to the instrument's latest relevant date (" <<
195	latestRelevantDate_ << ")");
196	break;
197	default:	×
198	QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");	×
199	}
200	}	419✔
201
202	void OISRateHelper::setTermStructure(YieldTermStructure* t) {	416✔
203	// do not set the relinkable handle as an observer -
204	// force recalculation when needed
205	bool observer = false;
206
207	ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
208	termStructureHandle_.linkTo(temp, observer);	416✔
209
210	if (discountHandle_.empty())	416✔
211	discountRelinkableHandle_.linkTo(temp, observer);	416✔
212	else
213	discountRelinkableHandle_.linkTo(*discountHandle_, observer);	×
214
215	RelativeDateRateHelper::setTermStructure(t);	416✔
216	}	416✔
217
218	Real OISRateHelper::impliedQuote() const {	4,362✔
219	QL_REQUIRE(termStructure_ != nullptr, "term structure not set");	4,362✔
220	// we didn't register as observers - force calculation
221	swap_->deepUpdate();	4,362✔
222	// weak implementation... to be improved
223	static const Spread basisPoint = 1.0e-4;
224	Real floatingLegNPV = swap_->overnightLegNPV();	4,362✔
225	Spread spread = overnightSpread_.empty() ? 0.0 : overnightSpread_->value();	4,362✔
226	Real spreadNPV = swap_->overnightLegBPS()/basisPoint*spread;	4,362✔
227	Real totNPV = - (floatingLegNPV+spreadNPV);	4,362✔
228	Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);	4,362✔
229	return result;	4,362✔
230	}
231
232	void OISRateHelper::accept(AcyclicVisitor& v) {	×
233	auto* v1 = dynamic_cast<Visitor<OISRateHelper>*>(&v);	×
234	if (v1 != nullptr)	×
235	v1->visit(*this);	×
236	else
237	RateHelper::accept(v);	×
238	}	×
239
240	DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,	1✔
241	const Date& endDate,
242	const Handle<Quote>& fixedRate,
243	const ext::shared_ptr<OvernightIndex>& overnightIndex,
244	Handle<YieldTermStructure> discount,
245	bool telescopicValueDates,
246	RateAveraging::Type averagingMethod,
247	Integer paymentLag,
248	BusinessDayConvention paymentConvention,
249	Frequency paymentFrequency,
250	const Calendar& paymentCalendar,
251	Handle<Quote> overnightSpread,
252	ext::optional<bool> endOfMonth,
253	ext::optional<Frequency> fixedPaymentFrequency,
254	const Calendar& fixedCalendar,
255	Natural lookbackDays,
256	Natural lockoutDays,
257	bool applyObservationShift,
258	const ext::shared_ptr<FloatingRateCouponPricer>& pricer)	1✔
259	: OISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
260	paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
261	std::variant<Spread, Handle<Quote>>(std::move(overnightSpread)),	1✔
262	Pillar::LastRelevantDate, Date(), averagingMethod, endOfMonth, fixedPaymentFrequency,
263	fixedCalendar, lookbackDays, lockoutDays, applyObservationShift, pricer) {}	3✔
264
265	DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,	×
266	const Date& endDate,
267	const Handle<Quote>& fixedRate,
268	const ext::shared_ptr<OvernightIndex>& overnightIndex,
269	Handle<YieldTermStructure> discount,
270	bool telescopicValueDates,
271	RateAveraging::Type averagingMethod,
272	Integer paymentLag,
273	BusinessDayConvention paymentConvention,
274	Frequency paymentFrequency,
275	const Calendar& paymentCalendar,
276	const Period&,
277	Handle<Quote> overnightSpread,
278	ext::optional<bool> endOfMonth,
279	ext::optional<Frequency> fixedPaymentFrequency,
280	const Calendar& fixedCalendar)	×
281	: DatedOISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
282	averagingMethod, paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
NEW 283	std::move(overnightSpread), endOfMonth, fixedPaymentFrequency, fixedCalendar) {}	×
284
285	}

lballabio / QuantLib / 14910176578

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