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Allow swaptions to be based on OIS. #2305

Merged
merged 4 commits into from Apr 16, 2021
Merged

Allow swaptions to be based on OIS. #2305

merged 4 commits into from Apr 16, 2021

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marc-henrard
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Change argument checker in Swaption to allow IBOR or Overnight swaptions.
The GBP and USD markets are moving away from LIBOR to overnight indices. Swaptions with OIS underlying are becoming more common.

@jodastephen jodastephen added the auto-merge Merge when build finishes label Apr 16, 2021
@mergify mergify bot merged commit 8f55d4f into main Apr 16, 2021
@delete-merged-branch delete-merged-branch bot deleted the topic/ois-swpt branch April 16, 2021 12:29
@jodastephen jodastephen added this to the v2.10 milestone Apr 22, 2021
@jodastephen jodastephen removed the auto-merge Merge when build finishes label Sep 3, 2021
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