22527252709

Committed 28 Feb 2026 07:16PM UTC coverage: 74.244% (-0.009%) from 74.253%

Build # 22527252709

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Pull #2459

github

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web-flow

Commit Message

Merge ef761a963 into 266039865

Pull Request Pull Request #2459: MakeOIS and MakeVanilla end-of-month handling

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76.06

/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
 <https://www.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),
      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);
        }

        bool fixedEndOfMonth, overnightEndOfMonth, maturityEndOfMonth;
        if (isDefaultEOM_)
            fixedEndOfMonth = overnightEndOfMonth = maturityEndOfMonth =
                overnightCalendar_.isEndOfMonth(startDate);
        else {
            fixedEndOfMonth = fixedEndOfMonth_;
            overnightEndOfMonth = overnightEndOfMonth_;
            maturityEndOfMonth = maturityEndOfMonth_;
        }

        Date endDate = terminationDate_;
        if (endDate == Date()) {
            endDate = startDate + swapTenor_;
            if (maturityEndOfMonth && allowsEndOfMonth(swapTenor_) &&
                overnightCalendar_.isEndOfMonth(startDate))
                endDate = maturityEndOfMonthCalendarDate_ ? Date::endOfMonth(endDate) :
                                                            overnightCalendar_.endOfMonth(endDate);
        }

        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).withMaturityEndOfMonth(
            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::withMaturityEndOfMonth(bool flag) {
        maturityEndOfMonth_ = flag;
        isDefaultEOM_ = false;
        return *this;
    }

    MakeOIS& MakeOIS::withMaturityEndOfMonthCalendarDate(bool flag) {
        maturityEndOfMonthCalendarDate_ = flag;
        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	<https://www.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,	1,621✔
33	const ext::shared_ptr<OvernightIndex>& overnightIndex,
34	Rate fixedRate,
35	const Period& forwardStart)	1,621✔
36	: swapTenor_(swapTenor), overnightIndex_(overnightIndex), fixedRate_(fixedRate),	1,621✔
37	forwardStart_(forwardStart),	1,621✔
38	fixedCalendar_(overnightIndex->fixingCalendar()),	1,621✔
39	overnightCalendar_(overnightIndex->fixingCalendar()),	1,621✔
40	fixedDayCount_(overnightIndex->dayCounter()) {}	4,863✔
41
42	MakeOIS::operator OvernightIndexedSwap() const {	29✔
43	ext::shared_ptr<OvernightIndexedSwap> ois = *this;	29✔
44	return *ois;	58✔
45	}
46
47	MakeOIS::operator ext::shared_ptr<OvernightIndexedSwap>() const {	1,621✔
48
49	Date startDate;	1,621✔
50	if (effectiveDate_ != Date())	1,621✔
51	startDate = effectiveDate_;	1,178✔
52	else {
53	// settlement days: override if set, else fallback to default by index name
54	Natural settlementDays = settlementDays_;	443✔
55	if (settlementDays == Null<Natural>()) {	443✔
56	if (ext::dynamic_pointer_cast<Sonia>(overnightIndex_)) {	32✔
57	settlementDays = 0;
58	}
59	else if (ext::dynamic_pointer_cast<Corra>(overnightIndex_)) {	28✔
60	settlementDays = 1;
61	}
62	else {
63	settlementDays = 2;
64	}
65	}
66
67	Date refDate = Settings::instance().evaluationDate();	443✔
68	// if the evaluation date is not a business day
69	// then move to the next business day
70	refDate = overnightCalendar_.adjust(refDate);	443✔
71	Date spotDate = overnightCalendar_.advance(refDate,	443✔
72	settlementDays*Days);	443✔
73	startDate = spotDate+forwardStart_;	443✔
74	if (forwardStart_.length()<0)	443✔
75	startDate = overnightCalendar_.adjust(startDate, Preceding);	×
76	else
77	startDate = overnightCalendar_.adjust(startDate, Following);	443✔
78	}
79
80	bool fixedEndOfMonth, overnightEndOfMonth, maturityEndOfMonth;
81	if (isDefaultEOM_)	1,621✔
82	fixedEndOfMonth = overnightEndOfMonth = maturityEndOfMonth =
83	overnightCalendar_.isEndOfMonth(startDate);	1,621✔
84	else {
85	fixedEndOfMonth = fixedEndOfMonth_;	×
86	overnightEndOfMonth = overnightEndOfMonth_;	×
NEW 87	maturityEndOfMonth = maturityEndOfMonth_;	×
88	}
89
90	Date endDate = terminationDate_;	1,621✔
91	if (endDate == Date()) {	1,621✔
92	endDate = startDate + swapTenor_;	1,615✔
93	if (maturityEndOfMonth && allowsEndOfMonth(swapTenor_) &&	1,615✔
NEW 94	overnightCalendar_.isEndOfMonth(startDate))	×
NEW 95	endDate = maturityEndOfMonthCalendarDate_ ? Date::endOfMonth(endDate) :	×
NEW UNCOV 96	overnightCalendar_.endOfMonth(endDate);	×
97	}
98
99	Frequency fixedPaymentFrequency, overnightPaymentFrequency;
100	DateGeneration::Rule fixedRule, overnightRule;
101	if (fixedPaymentFrequency_ == Once \|\| fixedRule_ == DateGeneration::Zero) {	1,621✔
102	fixedPaymentFrequency = Once;
103	fixedRule = DateGeneration::Zero;
104	} else {
105	fixedPaymentFrequency = fixedPaymentFrequency_;
106	fixedRule = fixedRule_;
107	}
108	if (overnightPaymentFrequency_ == Once \|\| overnightRule_ == DateGeneration::Zero) {	1,621✔
109	overnightPaymentFrequency = Once;
110	overnightRule = DateGeneration::Zero;
111	} else {
112	overnightPaymentFrequency = overnightPaymentFrequency_;
113	overnightRule = overnightRule_;
114	}
115
116	Schedule fixedSchedule(startDate, endDate,
117	Period(fixedPaymentFrequency),	3,242✔
118	fixedCalendar_,
119	fixedConvention_,	1,621✔
120	fixedTerminationDateConvention_,	1,621✔
121	fixedRule,
122	fixedEndOfMonth);	3,242✔
123
124	Schedule overnightSchedule(startDate, endDate,
125	Period(overnightPaymentFrequency),	3,242✔
126	overnightCalendar_,
127	overnightConvention_,	1,621✔
128	overnightTerminationDateConvention_,	1,621✔
129	overnightRule,
130	overnightEndOfMonth);	3,242✔
131
132	Rate usedFixedRate = fixedRate_;	1,621✔
133	if (fixedRate_ == Null<Rate>()) {	1,621✔
UNCOV 134	OvernightIndexedSwap temp(type_, nominal_,	×
135	fixedSchedule,
136	0.0, // fixed rate
137	fixedDayCount_,
138	overnightSchedule,
139	overnightIndex_, overnightSpread_,	×
140	paymentLag_, paymentAdjustment_,	×
141	paymentCalendar_, telescopicValueDates_);	×
UNCOV 142	if (engine_ == nullptr) {	×
143	Handle<YieldTermStructure> disc =
144	overnightIndex_->forwardingTermStructure();	×
UNCOV 145	QL_REQUIRE(!disc.empty(),	×
146	"null term structure set to this instance of " <<
147	overnightIndex_->name());
148	bool includeSettlementDateFlows = false;
149	ext::shared_ptr<PricingEngine> engine(new
150	DiscountingSwapEngine(disc, includeSettlementDateFlows));	×
UNCOV 151	temp.setPricingEngine(engine);	×
152	} else
UNCOV 153	temp.setPricingEngine(engine_);	×
154
155	usedFixedRate = temp.fairRate();	×
UNCOV 156	}	×
157
158	ext::shared_ptr<OvernightIndexedSwap> ois(new
159	OvernightIndexedSwap(type_, nominal_,	1,621✔
160	fixedSchedule,
161	usedFixedRate, fixedDayCount_,
162	overnightSchedule,
163	overnightIndex_, overnightSpread_,	1,621✔
164	paymentLag_, paymentAdjustment_,	1,621✔
165	paymentCalendar_, telescopicValueDates_,	1,621✔
166	averagingMethod_, lookbackDays_,	1,621✔
167	lockoutDays_, applyObservationShift_));	4,865✔
168
169	if (engine_ == nullptr) {	1,619✔
170	Handle<YieldTermStructure> disc =
171	overnightIndex_->forwardingTermStructure();	606✔
172	bool includeSettlementDateFlows = false;
173	ext::shared_ptr<PricingEngine> engine(new
174	DiscountingSwapEngine(disc, includeSettlementDateFlows));	606✔
175	ois->setPricingEngine(engine);	606✔
176	} else
177	ois->setPricingEngine(engine_);	1,013✔
178
179	return ois;	1,619✔
180	}	1,623✔
181
182	MakeOIS& MakeOIS::receiveFixed(bool flag) {	×
183	type_ = flag ? Swap::Receiver : Swap::Payer ;	×
UNCOV 184	return *this;	×
185	}
186
187	MakeOIS& MakeOIS::withType(Swap::Type type) {	576✔
188	type_ = type;	576✔
189	return *this;	576✔
190	}
191
192	MakeOIS& MakeOIS::withNominal(Real n) {	595✔
193	nominal_ = n;	595✔
194	return *this;	595✔
195	}
196
197	MakeOIS& MakeOIS::withSettlementDays(Natural settlementDays) {	433✔
198	settlementDays_ = settlementDays;	433✔
199	effectiveDate_ = Date();	433✔
200	return *this;	433✔
201	}
202
203	MakeOIS& MakeOIS::withEffectiveDate(const Date& effectiveDate) {	1,592✔
204	effectiveDate_ = effectiveDate;	1,592✔
205	return *this;	1,592✔
206	}
207
208	MakeOIS& MakeOIS::withTerminationDate(const Date& terminationDate) {	420✔
209	terminationDate_ = terminationDate;	420✔
210	if (terminationDate != Date())	420✔
211	swapTenor_ = Period();	6✔
212	return *this;	420✔
213	}
214
215	MakeOIS& MakeOIS::withPaymentFrequency(Frequency f) {	997✔
216	return withFixedLegPaymentFrequency(f).withOvernightLegPaymentFrequency(f);	997✔
217	}
218
219	MakeOIS& MakeOIS::withFixedLegPaymentFrequency(Frequency f) {	997✔
220	fixedPaymentFrequency_ = f;	997✔
221	return *this;	997✔
222	}
223
224	MakeOIS& MakeOIS::withOvernightLegPaymentFrequency(Frequency f) {	997✔
225	overnightPaymentFrequency_ = f;	997✔
226	return *this;	997✔
227	}
228
229	MakeOIS& MakeOIS::withPaymentAdjustment(BusinessDayConvention convention) {	420✔
230	paymentAdjustment_ = convention;	420✔
231	return *this;	420✔
232	}
233
234	MakeOIS& MakeOIS::withPaymentLag(Integer lag) {	1,015✔
235	paymentLag_ = lag;	1,015✔
236	return *this;	1,015✔
237	}
238
239	MakeOIS& MakeOIS::withPaymentCalendar(const Calendar& cal) {	420✔
240	paymentCalendar_ = cal;
241	return *this;	420✔
242	}
243
244	MakeOIS& MakeOIS::withCalendar(const Calendar& cal) {	×
UNCOV 245	return withFixedLegCalendar(cal).withOvernightLegCalendar(cal);	×
246	}
247
248	MakeOIS& MakeOIS::withFixedLegCalendar(const Calendar& cal) {	3✔
249	fixedCalendar_ = cal;
250	return *this;	3✔
251	}
252
253	MakeOIS& MakeOIS::withOvernightLegCalendar(const Calendar& cal) {	3✔
254	overnightCalendar_ = cal;
255	return *this;	3✔
256	}
257
258	MakeOIS& MakeOIS::withRule(DateGeneration::Rule r) {	420✔
259	return withFixedLegRule(r).withOvernightLegRule(r);	420✔
260	}
261
262	MakeOIS& MakeOIS::withFixedLegRule(DateGeneration::Rule r) {	420✔
263	fixedRule_ = r;	420✔
264	return *this;	420✔
265	}
266
267	MakeOIS& MakeOIS::withOvernightLegRule(DateGeneration::Rule r) {	420✔
268	overnightRule_ = r;	420✔
269	return *this;	420✔
270	}
271
272	MakeOIS& MakeOIS::withDiscountingTermStructure(	1,015✔
273	const Handle<YieldTermStructure>& d) {
274	bool includeSettlementDateFlows = false;
275	engine_ = ext::shared_ptr<PricingEngine>(new	3,045✔
276	DiscountingSwapEngine(d, includeSettlementDateFlows));	2,030✔
277	return *this;	1,015✔
278	}
279
UNCOV 280	MakeOIS& MakeOIS::withPricingEngine(	×
281	const ext::shared_ptr<PricingEngine>& engine) {
282	engine_ = engine;	×
UNCOV 283	return *this;	×
284	}
285
286	MakeOIS& MakeOIS::withFixedLegDayCount(const DayCounter& dc) {	577✔
287	fixedDayCount_ = dc;
288	return *this;	577✔
289	}
290
291	MakeOIS& MakeOIS::withConvention(BusinessDayConvention bdc) {	420✔
292	return withFixedLegConvention(bdc).withOvernightLegConvention(bdc);	420✔
293	}
294
295	MakeOIS& MakeOIS::withFixedLegConvention(BusinessDayConvention bdc) {	420✔
296	fixedConvention_ = bdc;	420✔
297	return *this;	420✔
298	}
299
300	MakeOIS& MakeOIS::withOvernightLegConvention(BusinessDayConvention bdc) {	420✔
301	overnightConvention_ = bdc;	420✔
302	return *this;	420✔
303	}
304
305	MakeOIS& MakeOIS::withTerminationDateConvention(BusinessDayConvention bdc) {	420✔
306	withFixedLegTerminationDateConvention(bdc);	420✔
307	return withOvernightLegTerminationDateConvention(bdc);	420✔
308	}
309
310	MakeOIS& MakeOIS::withFixedLegTerminationDateConvention(BusinessDayConvention bdc) {	420✔
311	fixedTerminationDateConvention_ = bdc;	420✔
312	return *this;	420✔
313	}
314
315	MakeOIS& MakeOIS::withOvernightLegTerminationDateConvention(BusinessDayConvention bdc) {	420✔
316	overnightTerminationDateConvention_ = bdc;	420✔
317	return *this;	420✔
318	}
319
320	MakeOIS& MakeOIS::withEndOfMonth(bool flag) {	×
NEW UNCOV 321	return withFixedLegEndOfMonth(flag).withOvernightLegEndOfMonth(flag).withMaturityEndOfMonth(	×
NEW UNCOV 322	flag);	×
323	}
324
325	MakeOIS& MakeOIS::withFixedLegEndOfMonth(bool flag) {	×
326	fixedEndOfMonth_ = flag;	×
UNCOV 327	isDefaultEOM_ = false;	×
UNCOV 328	return *this;	×
329	}
330
331	MakeOIS& MakeOIS::withOvernightLegEndOfMonth(bool flag) {	×
332	overnightEndOfMonth_ = flag;	×
UNCOV 333	isDefaultEOM_ = false;	×
UNCOV 334	return *this;	×
335	}
336
NEW 337	MakeOIS& MakeOIS::withMaturityEndOfMonth(bool flag) {	×
NEW 338	maturityEndOfMonth_ = flag;	×
NEW 339	isDefaultEOM_ = false;	×
NEW 340	return *this;	×
341	}
342
NEW UNCOV 343	MakeOIS& MakeOIS::withMaturityEndOfMonthCalendarDate(bool flag) {	×
NEW UNCOV 344	maturityEndOfMonthCalendarDate_ = flag;	×
NEW UNCOV 345	return *this;	×
346	}
347
348	MakeOIS& MakeOIS::withOvernightLegSpread(Spread sp) {	397✔
349	overnightSpread_ = sp;	397✔
350	return *this;	397✔
351	}
352
353	MakeOIS& MakeOIS::withTelescopicValueDates(bool telescopicValueDates) {	1,015✔
354	telescopicValueDates_ = telescopicValueDates;	1,015✔
355	return *this;	1,015✔
356	}
357
358	MakeOIS& MakeOIS::withAveragingMethod(RateAveraging::Type averagingMethod) {	817✔
359	averagingMethod_ = averagingMethod;	817✔
360	return *this;	817✔
361	}
362
363	MakeOIS& MakeOIS::withLookbackDays(Natural lookbackDays) {	618✔
364	lookbackDays_ = lookbackDays;	618✔
365	return *this;	618✔
366	}
367
368	MakeOIS& MakeOIS::withLockoutDays(Natural lockoutDays) {	618✔
369	lockoutDays_ = lockoutDays;	618✔
370	return *this;	618✔
371	}
372
373	MakeOIS& MakeOIS::withObservationShift(bool applyObservationShift) {	618✔
374	applyObservationShift_ = applyObservationShift;	618✔
375	return *this;	618✔
376	}
377
378	}

lballabio / QuantLib / 22527252709

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