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Add DatedSwapRateHelper #1912
Add DatedSwapRateHelper #1912
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@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. |
I also noticed that I previously added |
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Also, move common functionality into SwapRateHelperBase to avoid duplication. Reuse it between vanilla and overnight swaps.
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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. |
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... |
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. |
Superseded by #2106. |
Also, move common functionality into SwapRateHelperBase to avoid
duplication. Reuse it between vanilla and overnight swaps.