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We've noticed that MakeOIS creates fixedSchedule with both convention and terminationDateConvention set the same. This make it impossible to create a swap with termination date landing on a holiday without adjusting. I think this class should handle it the same way as MakeVanillaSwap
The text was updated successfully, but these errors were encountered:
We've noticed that MakeOIS creates fixedSchedule with both convention and terminationDateConvention set the same. This make it impossible to create a swap with termination date landing on a holiday without adjusting. I think this class should handle it the same way as MakeVanillaSwap
The text was updated successfully, but these errors were encountered: