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Add DatedSwapRateHelper #1912

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@eltoder eltoder commented Feb 16, 2024

Also, move common functionality into SwapRateHelperBase to avoid
duplication. Reuse it between vanilla and overnight swaps.

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eltoder commented Feb 16, 2024

@lballabio I'll rebase this on top of the final version of #1911, so please only look at the second commit.

I wanted to get your feedback on the approach -- do you think this is worth it, or should I just copy-paste some code from SwapRateHelper? One nice thing here is that we get custom pillars support for DatedOISRateHelper for free and also fix some inconsistencies in how it sets dates.

@eltoder eltoder marked this pull request as draft February 16, 2024 22:35
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eltoder commented Feb 16, 2024

I also noticed that I previously added forwardStart to DatedOISRateHelper by mistake (it has no effect). Do you think it's not too late to remove it?

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coveralls commented Feb 16, 2024

Coverage Status

coverage: 72.454% (-0.02%) from 72.477%
when pulling c2662ad on eltoder:feature/dated-swap-helper
into 72012a7 on lballabio:master.

@eltoder eltoder force-pushed the feature/dated-swap-helper branch from e204a1c to 37e6cdc Compare February 19, 2024 14:55
@eltoder eltoder marked this pull request as ready for review February 19, 2024 14:56
Also, move common functionality into SwapRateHelperBase to avoid
duplication. Reuse it between vanilla and overnight swaps.
@eltoder eltoder force-pushed the feature/dated-swap-helper branch from 37e6cdc to c2662ad Compare February 20, 2024 23:27
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

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Hi Eugene, apologies from dropping the ball on this one---do you think it's possible to extract some utility function instead of using inheritance for reuse? It might (or might not) be simpler to read...

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eltoder commented Sep 19, 2024

I'll take another look, but I doubt it. Most of the real work is already done by MakeVanillaSwap and MakeOIS. Rate helpers mostly do plumbing and use a lot of member variables, so factoring that into free functions is probably not going to help.

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Superseded by #2106.

@lballabio lballabio closed this Oct 25, 2024
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3 participants