From b07faa43bba9053f2bcc88757542dc87675af9a4 Mon Sep 17 00:00:00 2001
From: sophistis42 <136467220+sophistis42@users.noreply.github.com>
Date: Fri, 1 Nov 2024 09:35:17 +0100
Subject: [PATCH 1/2] added DateGeneration rule as kwarg to oisratehelper to
 allow to use MakeOIS consistently with the bootstrapped instruments

---
 ql/termstructures/yield/oisratehelper.cpp | 11 +++++++----
 ql/termstructures/yield/oisratehelper.hpp |  8 ++++++--
 2 files changed, 13 insertions(+), 6 deletions(-)

diff --git a/ql/termstructures/yield/oisratehelper.cpp b/ql/termstructures/yield/oisratehelper.cpp
index 39a9575382..e14ebafac3 100644
--- 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
index a65ff3ae53..4c3f62e88a 100644
--- 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.

From de190cc00ea7b866aadd84b1e9f743ad2c1168c7 Mon Sep 17 00:00:00 2001
From: sophistis42 <136467220+sophistis42@users.noreply.github.com>
Date: Fri, 1 Nov 2024 14:23:37 +0100
Subject: [PATCH 2/2] fix syntax error

---
 ql/termstructures/yield/oisratehelper.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/termstructures/yield/oisratehelper.hpp b/ql/termstructures/yield/oisratehelper.hpp
index 4c3f62e88a..77c4326933 100644
--- a/ql/termstructures/yield/oisratehelper.hpp
+++ b/ql/termstructures/yield/oisratehelper.hpp
@@ -82,7 +82,7 @@ namespace QuantLib {
                       Natural lockoutDays = 0,
                       bool applyObservationShift = false,
                       ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
-                      DateGeneration::Rule rule = DateGeneration::Backward));
+                      DateGeneration::Rule rule = DateGeneration::Backward);
         //! \name RateHelper interface
         //@{
         Real impliedQuote() const override;