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Add lookback and lockout to the overnight coupon #1985

Merged
merged 20 commits into from
Jun 24, 2024
Merged

Add lookback and lockout to the overnight coupon #1985

merged 20 commits into from
Jun 24, 2024

Commits on May 21, 2024

  1. Adjusted constructors of overnight indexed coupon and implemented loo… 

    …kback, observation shift and lockout.
    @marcin-rybacki
    marcin-rybacki committed May 21, 2024
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  2. Nullable fixing days argument.

    @marcin-rybacki
    marcin-rybacki committed May 21, 2024
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Commits on May 22, 2024

  1. Implementing unit tests.

    @marcin-rybacki
    marcin-rybacki committed May 22, 2024
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  2. Added more unit tests.

    @marcin-rybacki
    marcin-rybacki committed May 22, 2024
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  3. Minor adjustments of unit tests.

    @marcin-rybacki
    marcin-rybacki committed May 22, 2024
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Commits on May 23, 2024

  1. Altered the way observation shift is applied.

    @marcin-rybacki
    marcin-rybacki committed May 23, 2024
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  2. Value dates need to be consistent with the fixing delay defined in th… 

    …e index.
    @marcin-rybacki
    marcin-rybacki committed May 23, 2024
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Commits on May 27, 2024

  1. Ensure to handle index projections in case of lookback or lockout.

    @marcin-rybacki
    marcin-rybacki committed May 27, 2024
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Commits on May 28, 2024

  1. Rearranged the conditions when lookback and lockout are applied.

    @marcin-rybacki
    marcin-rybacki committed May 28, 2024
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Commits on May 31, 2024

  1. Further rearrangements of code for future fixings.

    @marcin-rybacki
    marcin-rybacki committed May 31, 2024
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  2. Added new parameters to leg builder.

    @marcin-rybacki
    marcin-rybacki committed May 31, 2024
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  3. Refined comments.

    @marcin-rybacki
    marcin-rybacki committed May 31, 2024
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  4. Changed inspector description.

    @marcin-rybacki
    marcin-rybacki committed May 31, 2024
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Commits on Jun 14, 2024

  1. Implemented PR feedback.

    @marcin-rybacki
    marcin-rybacki committed Jun 14, 2024
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  2. Added observation shift check when telescopic value dates flag is set… 

    … to true.
    @marcin-rybacki
    marcin-rybacki committed Jun 14, 2024
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Commits on Jun 15, 2024

  1. Encapsulated a check for applying telescopic formula.

    @marcin-rybacki
    marcin-rybacki committed Jun 15, 2024
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  2. Removed unused variables.

    @marcin-rybacki
    marcin-rybacki committed Jun 15, 2024
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  3. Renamed unit test for clarity.

    @marcin-rybacki
    marcin-rybacki committed Jun 15, 2024
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Commits on Jun 24, 2024

  1. Propagated changes to the overnight indexed swap class.

    @marcin-rybacki
    marcin-rybacki committed Jun 24, 2024
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  2. Rename method

    @lballabio
    lballabio committed Jun 24, 2024
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