Allow setting conventions and per-leg EOM in MakeOIS

Closes #1875
lballabio · Jan 17, 2024 · 20dadbc · 20dadbc
1 parent 9b052b1
commit 20dadbc
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Showing 2 changed files with 71 additions and 12 deletions.
diff --git a/ql/instruments/makeois.cpp b/ql/instruments/makeois.cpp
@@ -63,16 +63,21 @@ namespace QuantLib {
         }
 
         // OIS end of month default
-        bool usedEndOfMonth =
-            isDefaultEOM_ ? overnightCalendar_.isEndOfMonth(startDate) : endOfMonth_;
+        bool fixedEndOfMonth, overnightEndOfMonth;
+        if (isDefaultEOM_) {
+            fixedEndOfMonth = overnightEndOfMonth = overnightCalendar_.isEndOfMonth(startDate);
+        } else {
+            fixedEndOfMonth = fixedEndOfMonth_;
+            overnightEndOfMonth = overnightEndOfMonth_;
+        }
 
         Date endDate = terminationDate_;
         if (endDate == Date()) {
-            if (usedEndOfMonth)
+            if (overnightEndOfMonth)
                 endDate = overnightCalendar_.advance(startDate,
                                                      swapTenor_,
                                                      ModifiedFollowing,
-                                                     usedEndOfMonth);
+                                                     overnightEndOfMonth);
             else
                 endDate = startDate + swapTenor_;
         }
@@ -97,20 +102,23 @@ namespace QuantLib {
         Schedule fixedSchedule(startDate, endDate,
                                Period(fixedPaymentFrequency),
                                fixedCalendar_,
-                               ModifiedFollowing,
-                               ModifiedFollowing,
+                               fixedConvention_,
+                               fixedTerminationDateConvention_,
                                fixedRule,
-                               usedEndOfMonth);
+                               fixedEndOfMonth);
         ext::optional<Schedule> overnightSchedule;
         if (fixedPaymentFrequency != overnightPaymentFrequency || fixedRule != overnightRule ||
+            fixedConvention_ != overnightConvention_ ||
+            fixedTerminationDateConvention_ != overnightTerminationDateConvention_ ||
+            fixedEndOfMonth != overnightEndOfMonth ||
             fixedCalendar_ != overnightCalendar_) {
             overnightSchedule.emplace(startDate, endDate,
                                       Period(overnightPaymentFrequency),
                                       overnightCalendar_,
-                                      ModifiedFollowing,
-                                      ModifiedFollowing,
+                                      overnightConvention_,
+                                      overnightTerminationDateConvention_,
                                       overnightRule,
-                                      usedEndOfMonth);
+                                      overnightEndOfMonth);
         }
 
         Rate usedFixedRate = fixedRate_;
@@ -266,8 +274,47 @@ namespace QuantLib {
         return *this;
     }
 
+    MakeOIS& MakeOIS::withConvention(BusinessDayConvention bdc) {
+        return withFixedLegConvention(bdc).withOvernightLegConvention(bdc);
+    }
+
+    MakeOIS& MakeOIS::withFixedLegConvention(BusinessDayConvention bdc) {
+        fixedConvention_ = bdc;
+        return *this;
+    }
+
+    MakeOIS& MakeOIS::withOvernightLegConvention(BusinessDayConvention bdc) {
+        overnightConvention_ = bdc;
+        return *this;
+    }
+
+    MakeOIS& MakeOIS::withTerminationDateConvention(BusinessDayConvention bdc) {
+        withFixedLegTerminationDateConvention(bdc);
+        return withOvernightLegTerminationDateConvention(bdc);
+    }
+
+    MakeOIS& MakeOIS::withFixedLegTerminationDateConvention(BusinessDayConvention bdc) {
+        fixedTerminationDateConvention_ = bdc;
+        return *this;
+    }
+
+    MakeOIS& MakeOIS::withOvernightLegTerminationDateConvention(BusinessDayConvention bdc) {
+        overnightTerminationDateConvention_ = bdc;
+        return *this;
+    }
+
     MakeOIS& MakeOIS::withEndOfMonth(bool flag) {
-        endOfMonth_ = flag;
+        return withFixedLegEndOfMonth(flag).withOvernightLegEndOfMonth(flag);
+    }
+
+    MakeOIS& MakeOIS::withFixedLegEndOfMonth(bool flag) {
+        fixedEndOfMonth_ = flag;
+        isDefaultEOM_ = false;
+        return *this;
+    }
+
+    MakeOIS& MakeOIS::withOvernightLegEndOfMonth(bool flag) {
+        overnightEndOfMonth_ = flag;
         isDefaultEOM_ = false;
         return *this;
     }

diff --git a/ql/instruments/makeois.hpp b/ql/instruments/makeois.hpp
@@ -66,7 +66,15 @@ namespace QuantLib {
         MakeOIS& withFixedLegCalendar(const Calendar& cal);
         MakeOIS& withOvernightLegCalendar(const Calendar& cal);
 
+        MakeOIS& withConvention(BusinessDayConvention bdc);
+        MakeOIS& withFixedLegConvention(BusinessDayConvention bdc);
+        MakeOIS& withOvernightLegConvention(BusinessDayConvention bdc);
+        MakeOIS& withTerminationDateConvention(BusinessDayConvention bdc);
+        MakeOIS& withFixedLegTerminationDateConvention(BusinessDayConvention bdc);
+        MakeOIS& withOvernightLegTerminationDateConvention(BusinessDayConvention bdc);
         MakeOIS& withEndOfMonth(bool flag = true);
+        MakeOIS& withFixedLegEndOfMonth(bool flag = true);
+        MakeOIS& withOvernightLegEndOfMonth(bool flag = true);
 
         MakeOIS& withFixedLegDayCount(const DayCounter& dc);
 
@@ -97,9 +105,13 @@ namespace QuantLib {
         BusinessDayConvention paymentAdjustment_ = Following;
         Integer paymentLag_ = 0;
 
+        BusinessDayConvention fixedConvention_ = ModifiedFollowing,
+                              fixedTerminationDateConvention_ = ModifiedFollowing,
+                              overnightConvention_ = ModifiedFollowing,
+                              overnightTerminationDateConvention_ = ModifiedFollowing;
         DateGeneration::Rule fixedRule_ = DateGeneration::Backward;
         DateGeneration::Rule overnightRule_ = DateGeneration::Backward;
-        bool endOfMonth_ = false, isDefaultEOM_ = true;
+        bool fixedEndOfMonth_ = false, overnightEndOfMonth_ = false, isDefaultEOM_ = true;
 
         Swap::Type type_ = Swap::Payer;
         Real nominal_ = 1.0;