Add DatedSwapRateHelper #1912
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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. |
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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. |
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Also, move common functionality into SwapRateHelperBase to avoid
duplication. Reuse it between vanilla and overnight swaps.