FuturesRateHelper supplying reference dates for yearFraction computation #1829
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eltoder
reviewed
Jan 21, 2024
| #include <utility> | ||
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| #define APPLY_DATES(dates) \ |
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If I did not miss something, you are always using this macro like
const FuturesRateHelperDates dates = InitializeDates(...);
APPLY_DATES(dates);In this case it will be simpler to make InitializeDates into private methods that directly set the fields. Then you don't need this macro and the FuturesRateHelperDates struct.
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If we use delegating constructors, the initialization code is no longer duplicated and can go in the constructors. I'll push the changes.
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Closes #1163.
The
FuturesRateHelperconstructors calledyearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);without supplying reference dates. Those are needed to compute annual payment frequency for "Actual/365 Canadian" day count convention.While working on this I factored out lots of repeated code within the constructors. Now the constructors are easier to understand and the actual fix for the issue can now be expressed as a one-line change.