15995313367

Committed 01 Jul 2025 09:24AM UTC coverage: 73.816%. Remained the same

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Optionlet frequency optional param support in `OptionletStripper`  (#2253)

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/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>
#include <ql/indexes/ibor/sonia.hpp>
#include <ql/indexes/ibor/corra.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),
      settlementDays_(Null<Natural>()),
      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 {
            // settlement days: override if set, else fallback to default by index name
            Natural settlementDays = settlementDays_;
            if (settlementDays == Null<Natural>()) {
                if (ext::dynamic_pointer_cast<Sonia>(overnightIndex_)) {
                    settlementDays = 0; 
                }
                else if (ext::dynamic_pointer_cast<Corra>(overnightIndex_)) {
                    settlementDays = 1;
                }
                else {
                    settlementDays = 2;
                }
            }            

            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	#include <ql/indexes/ibor/sonia.hpp>
28	#include <ql/indexes/ibor/corra.hpp>
29
30	namespace QuantLib {
31
32	MakeOIS::MakeOIS(const Period& swapTenor,	1,624✔
33	const ext::shared_ptr<OvernightIndex>& overnightIndex,
34	Rate fixedRate,
35	const Period& forwardStart)	1,624✔
36	: swapTenor_(swapTenor), overnightIndex_(overnightIndex), fixedRate_(fixedRate),	1,624✔
37	forwardStart_(forwardStart),	1,624✔
38	settlementDays_(Null<Natural>()),	1,624✔
39	fixedCalendar_(overnightIndex->fixingCalendar()),	1,624✔
40	overnightCalendar_(overnightIndex->fixingCalendar()),	1,624✔
41	fixedDayCount_(overnightIndex->dayCounter()) {}	4,872✔
42
43	MakeOIS::operator OvernightIndexedSwap() const {	29✔
44	ext::shared_ptr<OvernightIndexedSwap> ois = *this;	29✔
45	return *ois;	58✔
46	}
47
48	MakeOIS::operator ext::shared_ptr<OvernightIndexedSwap>() const {	1,624✔
49
50	Date startDate;	1,624✔
51	if (effectiveDate_ != Date())	1,624✔
52	startDate = effectiveDate_;	1,180✔
53	else {
54	// settlement days: override if set, else fallback to default by index name
55	Natural settlementDays = settlementDays_;	444✔
56	if (settlementDays == Null<Natural>()) {	444✔
57	if (ext::dynamic_pointer_cast<Sonia>(overnightIndex_)) {	32✔
58	settlementDays = 0;
59	}
60	else if (ext::dynamic_pointer_cast<Corra>(overnightIndex_)) {	28✔
61	settlementDays = 1;
62	}
63	else {
64	settlementDays = 2;
65	}
66	}
67
68	Date refDate = Settings::instance().evaluationDate();	444✔
69	// if the evaluation date is not a business day
70	// then move to the next business day
71	refDate = overnightCalendar_.adjust(refDate);	444✔
72	Date spotDate = overnightCalendar_.advance(refDate,	444✔
73	settlementDays*Days);	444✔
74	startDate = spotDate+forwardStart_;	444✔
75	if (forwardStart_.length()<0)	444✔
76	startDate = overnightCalendar_.adjust(startDate, Preceding);	×
77	else
78	startDate = overnightCalendar_.adjust(startDate, Following);	444✔
79	}
80
81	// OIS end of month default
82	bool fixedEndOfMonth, overnightEndOfMonth;
83	if (isDefaultEOM_)	1,624✔
84	fixedEndOfMonth = overnightEndOfMonth = overnightCalendar_.isEndOfMonth(startDate);	1,624✔
85	else {
86	fixedEndOfMonth = fixedEndOfMonth_;	×
87	overnightEndOfMonth = overnightEndOfMonth_;	×
88	}
89
90	Date endDate = terminationDate_;	1,624✔
91	if (endDate == Date()) {	1,624✔
92	if (overnightEndOfMonth)	1,616✔
UNCOV 93	endDate = overnightCalendar_.advance(startDate,	×
UNCOV 94	swapTenor_,	×
95	ModifiedFollowing,
96	overnightEndOfMonth);
97	else
98	endDate = startDate + swapTenor_;	1,616✔
99	}
100
101	Frequency fixedPaymentFrequency, overnightPaymentFrequency;
102	DateGeneration::Rule fixedRule, overnightRule;
103	if (fixedPaymentFrequency_ == Once \|\| fixedRule_ == DateGeneration::Zero) {	1,624✔
104	fixedPaymentFrequency = Once;
105	fixedRule = DateGeneration::Zero;
106	} else {
107	fixedPaymentFrequency = fixedPaymentFrequency_;
108	fixedRule = fixedRule_;
109	}
110	if (overnightPaymentFrequency_ == Once \|\| overnightRule_ == DateGeneration::Zero) {	1,624✔
111	overnightPaymentFrequency = Once;
112	overnightRule = DateGeneration::Zero;
113	} else {
114	overnightPaymentFrequency = overnightPaymentFrequency_;
115	overnightRule = overnightRule_;
116	}
117
118	Schedule fixedSchedule(startDate, endDate,
119	Period(fixedPaymentFrequency),	3,248✔
120	fixedCalendar_,
121	fixedConvention_,	1,624✔
122	fixedTerminationDateConvention_,	1,624✔
123	fixedRule,
124	fixedEndOfMonth);	3,248✔
125
126	Schedule overnightSchedule(startDate, endDate,
127	Period(overnightPaymentFrequency),	3,248✔
128	overnightCalendar_,
129	overnightConvention_,	1,624✔
130	overnightTerminationDateConvention_,	1,624✔
131	overnightRule,
132	overnightEndOfMonth);	3,248✔
133
134	Rate usedFixedRate = fixedRate_;	1,624✔
135	if (fixedRate_ == Null<Rate>()) {	1,624✔
136	OvernightIndexedSwap temp(type_, nominal_,	×
137	fixedSchedule,
138	0.0, // fixed rate
139	fixedDayCount_,
140	overnightSchedule,
141	overnightIndex_, overnightSpread_,	×
142	paymentLag_, paymentAdjustment_,	×
143	paymentCalendar_, telescopicValueDates_);	×
144	if (engine_ == nullptr) {	×
145	Handle<YieldTermStructure> disc =
146	overnightIndex_->forwardingTermStructure();	×
147	QL_REQUIRE(!disc.empty(),	×
148	"null term structure set to this instance of " <<
149	overnightIndex_->name());
150	bool includeSettlementDateFlows = false;
151	ext::shared_ptr<PricingEngine> engine(new
152	DiscountingSwapEngine(disc, includeSettlementDateFlows));	×
153	temp.setPricingEngine(engine);	×
154	} else
155	temp.setPricingEngine(engine_);	×
156
157	usedFixedRate = temp.fairRate();	×
158	}	×
159
160	ext::shared_ptr<OvernightIndexedSwap> ois(new
161	OvernightIndexedSwap(type_, nominal_,	1,624✔
162	fixedSchedule,
163	usedFixedRate, fixedDayCount_,
164	overnightSchedule,
165	overnightIndex_, overnightSpread_,	1,624✔
166	paymentLag_, paymentAdjustment_,	1,624✔
167	paymentCalendar_, telescopicValueDates_,	1,624✔
168	averagingMethod_, lookbackDays_,	1,624✔
169	lockoutDays_, applyObservationShift_));	4,874✔
170
171	if (engine_ == nullptr) {	1,622✔
172	Handle<YieldTermStructure> disc =
173	overnightIndex_->forwardingTermStructure();	606✔
174	bool includeSettlementDateFlows = false;
175	ext::shared_ptr<PricingEngine> engine(new
176	DiscountingSwapEngine(disc, includeSettlementDateFlows));	606✔
177	ois->setPricingEngine(engine);	606✔
178	} else
179	ois->setPricingEngine(engine_);	1,016✔
180
181	return ois;	1,622✔
182	}	1,626✔
183
184	MakeOIS& MakeOIS::receiveFixed(bool flag) {	×
185	type_ = flag ? Swap::Receiver : Swap::Payer ;	×
186	return *this;	×
187	}
188
189	MakeOIS& MakeOIS::withType(Swap::Type type) {	576✔
190	type_ = type;	576✔
191	return *this;	576✔
192	}
193
194	MakeOIS& MakeOIS::withNominal(Real n) {	595✔
195	nominal_ = n;	595✔
196	return *this;	595✔
197	}
198
199	MakeOIS& MakeOIS::withSettlementDays(Natural settlementDays) {	435✔
200	settlementDays_ = settlementDays;	435✔
201	effectiveDate_ = Date();	435✔
202	return *this;	435✔
203	}
204
205	MakeOIS& MakeOIS::withEffectiveDate(const Date& effectiveDate) {	1,595✔
206	effectiveDate_ = effectiveDate;	1,595✔
207	return *this;	1,595✔
208	}
209
210	MakeOIS& MakeOIS::withTerminationDate(const Date& terminationDate) {	423✔
211	terminationDate_ = terminationDate;	423✔
212	if (terminationDate != Date())	423✔
213	swapTenor_ = Period();	8✔
214	return *this;	423✔
215	}
216
217	MakeOIS& MakeOIS::withPaymentFrequency(Frequency f) {	999✔
218	return withFixedLegPaymentFrequency(f).withOvernightLegPaymentFrequency(f);	999✔
219	}
220
221	MakeOIS& MakeOIS::withFixedLegPaymentFrequency(Frequency f) {	999✔
222	fixedPaymentFrequency_ = f;	999✔
223	return *this;	999✔
224	}
225
226	MakeOIS& MakeOIS::withOvernightLegPaymentFrequency(Frequency f) {	999✔
227	overnightPaymentFrequency_ = f;	999✔
228	return *this;	999✔
229	}
230
231	MakeOIS& MakeOIS::withPaymentAdjustment(BusinessDayConvention convention) {	422✔
232	paymentAdjustment_ = convention;	422✔
233	return *this;	422✔
234	}
235
236	MakeOIS& MakeOIS::withPaymentLag(Integer lag) {	1,017✔
237	paymentLag_ = lag;	1,017✔
238	return *this;	1,017✔
239	}
240
241	MakeOIS& MakeOIS::withPaymentCalendar(const Calendar& cal) {	422✔
242	paymentCalendar_ = cal;
243	return *this;	422✔
244	}
245
246	MakeOIS& MakeOIS::withCalendar(const Calendar& cal) {	×
247	return withFixedLegCalendar(cal).withOvernightLegCalendar(cal);	×
248	}
249
250	MakeOIS& MakeOIS::withFixedLegCalendar(const Calendar& cal) {	3✔
251	fixedCalendar_ = cal;
252	return *this;	3✔
253	}
254
255	MakeOIS& MakeOIS::withOvernightLegCalendar(const Calendar& cal) {	3✔
256	overnightCalendar_ = cal;
257	return *this;	3✔
258	}
259
260	MakeOIS& MakeOIS::withRule(DateGeneration::Rule r) {	422✔
261	return withFixedLegRule(r).withOvernightLegRule(r);	422✔
262	}
263
264	MakeOIS& MakeOIS::withFixedLegRule(DateGeneration::Rule r) {	422✔
265	fixedRule_ = r;	422✔
266	return *this;	422✔
267	}
268
269	MakeOIS& MakeOIS::withOvernightLegRule(DateGeneration::Rule r) {	422✔
270	overnightRule_ = r;	422✔
271	return *this;	422✔
272	}
273
274	MakeOIS& MakeOIS::withDiscountingTermStructure(	1,018✔
275	const Handle<YieldTermStructure>& d) {
276	bool includeSettlementDateFlows = false;
277	engine_ = ext::shared_ptr<PricingEngine>(new	3,054✔
278	DiscountingSwapEngine(d, includeSettlementDateFlows));	2,036✔
279	return *this;	1,018✔
280	}
281
282	MakeOIS& MakeOIS::withPricingEngine(	×
283	const ext::shared_ptr<PricingEngine>& engine) {
284	engine_ = engine;	×
285	return *this;	×
286	}
287
288	MakeOIS& MakeOIS::withFixedLegDayCount(const DayCounter& dc) {	577✔
289	fixedDayCount_ = dc;
290	return *this;	577✔
291	}
292
293	MakeOIS& MakeOIS::withConvention(BusinessDayConvention bdc) {	×
294	return withFixedLegConvention(bdc).withOvernightLegConvention(bdc);	×
295	}
296
297	MakeOIS& MakeOIS::withFixedLegConvention(BusinessDayConvention bdc) {	×
298	fixedConvention_ = bdc;	×
299	return *this;	×
300	}
301
302	MakeOIS& MakeOIS::withOvernightLegConvention(BusinessDayConvention bdc) {	×
303	overnightConvention_ = bdc;	×
304	return *this;	×
305	}
306
307	MakeOIS& MakeOIS::withTerminationDateConvention(BusinessDayConvention bdc) {	×
308	withFixedLegTerminationDateConvention(bdc);	×
309	return withOvernightLegTerminationDateConvention(bdc);	×
310	}
311
312	MakeOIS& MakeOIS::withFixedLegTerminationDateConvention(BusinessDayConvention bdc) {	×
313	fixedTerminationDateConvention_ = bdc;	×
314	return *this;	×
315	}
316
317	MakeOIS& MakeOIS::withOvernightLegTerminationDateConvention(BusinessDayConvention bdc) {	×
318	overnightTerminationDateConvention_ = bdc;	×
319	return *this;	×
320	}
321
322	MakeOIS& MakeOIS::withEndOfMonth(bool flag) {	×
323	return withFixedLegEndOfMonth(flag).withOvernightLegEndOfMonth(flag);	×
324	}
325
326	MakeOIS& MakeOIS::withFixedLegEndOfMonth(bool flag) {	×
327	fixedEndOfMonth_ = flag;	×
328	isDefaultEOM_ = false;	×
329	return *this;	×
330	}
331
332	MakeOIS& MakeOIS::withOvernightLegEndOfMonth(bool flag) {	×
333	overnightEndOfMonth_ = flag;	×
334	isDefaultEOM_ = false;	×
335	return *this;	×
336	}
337
338	MakeOIS& MakeOIS::withOvernightLegSpread(Spread sp) {	397✔
339	overnightSpread_ = sp;	397✔
340	return *this;	397✔
341	}
342
343	MakeOIS& MakeOIS::withTelescopicValueDates(bool telescopicValueDates) {	1,017✔
344	telescopicValueDates_ = telescopicValueDates;	1,017✔
345	return *this;	1,017✔
346	}
347
348	MakeOIS& MakeOIS::withAveragingMethod(RateAveraging::Type averagingMethod) {	819✔
349	averagingMethod_ = averagingMethod;	819✔
350	return *this;	819✔
351	}
352
353	MakeOIS& MakeOIS::withLookbackDays(Natural lookbackDays) {	620✔
354	lookbackDays_ = lookbackDays;	620✔
355	return *this;	620✔
356	}
357
358	MakeOIS& MakeOIS::withLockoutDays(Natural lockoutDays) {	620✔
359	lockoutDays_ = lockoutDays;	620✔
360	return *this;	620✔
361	}
362
363	MakeOIS& MakeOIS::withObservationShift(bool applyObservationShift) {	620✔
364	applyObservationShift_ = applyObservationShift;	620✔
365	return *this;	620✔
366	}
367
368	}

lballabio / QuantLib / 15995313367

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