Add date generation rule to OISRateHelper constructor (#2107)

lballabio · Nov 2, 2024 · ea7e1e4 · ea7e1e4
2 parents a6378c5 + de190cc
commit ea7e1e4
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Showing 2 changed files with 13 additions and 6 deletions.
diff --git a/ql/termstructures/yield/oisratehelper.cpp b/ql/termstructures/yield/oisratehelper.cpp
@@ -49,7 +49,8 @@ namespace QuantLib {
                                  Natural lookbackDays,
                                  Natural lockoutDays,
                                  bool applyObservationShift,
-                                 ext::shared_ptr<FloatingRateCouponPricer> pricer)
+                                 ext::shared_ptr<FloatingRateCouponPricer> pricer,
+                                 DateGeneration::Rule rule)
     : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
       discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
       paymentLag_(paymentLag), paymentConvention_(paymentConvention),
@@ -58,7 +59,7 @@ namespace QuantLib {
       averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
       fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
       lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
-      pricer_(std::move(pricer)) {
+      pricer_(std::move(pricer)), rule_(rule) {
         initialize(overnightIndex, customPillarDate);
     }
 
@@ -82,7 +83,8 @@ namespace QuantLib {
                                  Natural lookbackDays,
                                  Natural lockoutDays,
                                  bool applyObservationShift,
-                                 ext::shared_ptr<FloatingRateCouponPricer> pricer)
+                                 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),
@@ -91,7 +93,7 @@ namespace QuantLib {
       averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
       fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
       lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
-      pricer_(std::move(pricer)) {
+      pricer_(std::move(pricer)), rule_(rule) {
         initialize(overnightIndex, customPillarDate);
     }
 
@@ -128,6 +130,7 @@ namespace QuantLib {
             .withAveragingMethod(averagingMethod_)
             .withLookbackDays(lookbackDays_)
             .withLockoutDays(lockoutDays_)
+            .withRule(rule_)
             .withObservationShift(applyObservationShift_);
         if (endOfMonth_) {
             tmp.withEndOfMonth(*endOfMonth_);

diff --git a/ql/termstructures/yield/oisratehelper.hpp b/ql/termstructures/yield/oisratehelper.hpp
@@ -58,7 +58,8 @@ namespace QuantLib {
                       Natural lookbackDays = Null<Natural>(),
                       Natural lockoutDays = 0,
                       bool applyObservationShift = false,
-                      ext::shared_ptr<FloatingRateCouponPricer> pricer = {});
+                      ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
+                      DateGeneration::Rule rule = DateGeneration::Backward);
         OISRateHelper(const Date& startDate,
                       const Date& endDate,
                       const Handle<Quote>& fixedRate,
@@ -80,7 +81,8 @@ namespace QuantLib {
                       Natural lookbackDays = Null<Natural>(),
                       Natural lockoutDays = 0,
                       bool applyObservationShift = false,
-                      ext::shared_ptr<FloatingRateCouponPricer> pricer = {});
+                      ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
+                      DateGeneration::Rule rule = DateGeneration::Backward);
         //! \name RateHelper interface
         //@{
         Real impliedQuote() const override;
@@ -127,6 +129,8 @@ namespace QuantLib {
         Natural lockoutDays_;
         bool applyObservationShift_;
         ext::shared_ptr<FloatingRateCouponPricer> pricer_;
+        DateGeneration::Rule rule_ = DateGeneration::Backward;
+
     };
 
     /*! \deprecated Use OISRateHelper instead.