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v1.0.2 - OIS Basis Swap Fix

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@meenmo meenmo released this 23 Dec 07:49
· 78 commits to main since this release
v1.0.2
14f492e

Fix OIS basis swap pricing for same-index different-venue swaps (e.g., TONAR LCHS vs JSCC)

Changes:

  • Add IsOISBasisSwap detection for swaps where both legs reference the same overnight index
  • Implement SolveOISBasisSpread to compute par rate difference with proper discounting
  • Use separate projection curves but common discount curve for OIS basis spread calculation
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