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Account for possible date adjustments (e.g. on Juneteenth) in SOFR rate helper #1996

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merged 2 commits into from
Jun 24, 2024
Merged

Account for possible date adjustments (e.g. on Juneteenth) in SOFR rate helper #1996

merged 2 commits into from
Jun 24, 2024

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lballabio
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Fixes #1994.

@lballabio lballabio added this to the Release 1.35 milestone Jun 24, 2024
@lballabio lballabio mentioned this pull request Jun 24, 2024
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jez6
jez6 reviewed Jun 24, 2024
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test-suite/sofrfutures.cpp Outdated
@@ -113,6 +112,53 @@ BOOST_AUTO_TEST_CASE(testBootstrap) {
}
}


BOOST_AUTO_TEST_CASE(testBootstrapWithJuneteen) {
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Typo, perhaps? testBootstrapWithJuneteenth

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true, thanks

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Coverage Status

coverage: 72.553% (+0.001%) from 72.552%
when pulling 1cf9e8e on sofr-helper
into c7b4109 on master.

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Coverage Status

coverage: 72.553% (+0.001%) from 72.552%
when pulling b1bcae2 on sofr-helper
into c7b4109 on master.

@lballabio lballabio merged commit 3b597c6 into master Jun 24, 2024
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@lballabio lballabio deleted the sofr-helper branch June 24, 2024 16:07
@lballabio lballabio mentioned this pull request Jul 2, 2024
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@lballabio lballabio removed this from the Release 1.35 milestone Jul 8, 2024
@lballabio lballabio mentioned this pull request Jul 8, 2024
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Superseded by #2013 — this turned out to not be the correct fix after all. See the discussion in #1999.

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overnightindexfutureratehelper.cpp SOFR issue 20240619
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@lballabio @coveralls @jez6