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Merged
lballabio merged 6 commits into from
Aug 17, 2026
+637 −28
Merged

Add OvernightOvernightBasisSwapRateHelper class #2700

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e187672
OvernightOvernightBasisSwapRateHelper
kp9991-git Jul 30, 2026
0642642
Using the same relinking logic as in oisratehelper.cpp
kp9991-git Jul 31, 2026
7d49eb0
Merge branch 'master' into OvernightOvernightBasisSwapRateHelper
kp9991-git Aug 5, 2026
348fd53
Merge branch 'master' into OvernightOvernightBasisSwapRateHelper
kp9991-git Aug 8, 2026
5b00720
Merge branch 'master' into OvernightOvernightBasisSwapRateHelper
kp9991-git Aug 14, 2026
8000ea6
Alignment to other XCCY helpers
kp9991-git Aug 14, 2026
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179 changes: 167 additions & 12 deletions ql/experimental/termstructures/basisswapratehelpers.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -39,11 +39,15 @@ namespace QuantLib {
Handle<YieldTermStructure> discountHandle,
bool bootstrapBaseCurve,
std::optional<bool> useIndexedCoupons,
DateGeneration::Rule rule)
DateGeneration::Rule rule,
Integer paymentLag)
: RelativeDateRateHelper(basis), tenor_(tenor), settlementDays_(settlementDays),
calendar_(std::move(calendar)), convention_(convention), endOfMonth_(endOfMonth),
discountHandle_(std::move(discountHandle)), bootstrapBaseCurve_(bootstrapBaseCurve),
useIndexedCoupons_(useIndexedCoupons), rule_(rule) {
useIndexedCoupons_(useIndexedCoupons), rule_(rule), paymentLag_(paymentLag) {

QL_REQUIRE(baseIndex, "null base ibor index");
QL_REQUIRE(otherIndex, "null other ibor index");

// we need to clone the index whose forecast curve we want to bootstrap
// and copy the other one
Expand Down Expand Up @@ -79,6 +83,7 @@ namespace QuantLib {
.withRule(rule_);
Leg baseLeg = IborLeg(baseSchedule, baseIndex_)
.withNotionals(100.0)
.withPaymentLag(paymentLag_)
.withIndexedCoupons(useIndexedCoupons_);
auto lastBaseCoupon = ext::dynamic_pointer_cast<IborCoupon>(baseLeg.back());

Expand All @@ -91,14 +96,16 @@ namespace QuantLib {
.withRule(rule_);
Leg otherLeg = IborLeg(otherSchedule, otherIndex_)
.withNotionals(100.0)
.withPaymentLag(paymentLag_)
.withIndexedCoupons(useIndexedCoupons_);
auto lastOtherCoupon = ext::dynamic_pointer_cast<IborCoupon>(otherLeg.back());

maturityDate_ = std::max(baseSchedule.endDate(), otherSchedule.endDate());

latestRelevantDate_ = std::max(maturityDate_,
std::max(lastBaseCoupon->fixingEndDate(),
lastOtherCoupon->fixingEndDate()));
Date lastPaymentDate = std::max(baseLeg.back()->date(), otherLeg.back()->date());
latestRelevantDate_ = std::max({maturityDate_, lastPaymentDate,
lastBaseCoupon->fixingEndDate(),
lastOtherCoupon->fixingEndDate()});
pillarDate_ = latestRelevantDate_;

swap_ = ext::make_shared<Swap>(baseLeg, otherLeg);
Expand Down Expand Up @@ -143,20 +150,24 @@ namespace QuantLib {
Integer paymentLag,
std::optional<Frequency> overnightPaymentFrequency,
std::optional<bool> useIndexedCoupons,
DateGeneration::Rule rule)
DateGeneration::Rule rule,
RateAveraging::Type averagingMethod,
bool telescopicValueDates)
: RelativeDateRateHelper(basis), tenor_(tenor), settlementDays_(settlementDays),
calendar_(std::move(calendar)), convention_(convention), endOfMonth_(endOfMonth),
discountHandle_(std::move(discountHandle)), bootstrapBaseCurve_(bootstrapBaseCurve),
paymentLag_(paymentLag), overnightPaymentFrequency_(overnightPaymentFrequency),
useIndexedCoupons_(useIndexedCoupons), rule_(rule) {
useIndexedCoupons_(useIndexedCoupons), rule_(rule), averagingMethod_(averagingMethod),
telescopicValueDates_(telescopicValueDates) {

QL_REQUIRE(baseIndex, "null base overnight index");
QL_REQUIRE(otherIndex, "null other ibor index");

// we need to clone the index whose forecast curve we want to bootstrap
// and copy the other one
if (bootstrapBaseCurve_) {
baseIndex_ = ext::dynamic_pointer_cast<OvernightIndex>(
baseIndex->clone(termStructureHandle_));
QL_REQUIRE(baseIndex_ != nullptr,
"the base index did not clone into an overnight index");
baseIndex_->unregisterWith(termStructureHandle_);
otherIndex_ = otherIndex;
} else {
Expand Down Expand Up @@ -190,7 +201,12 @@ namespace QuantLib {

Leg baseLeg = OvernightLeg(overnightSchedule, baseIndex_)
.withNotionals(100.0)
.withPaymentLag(paymentLag_);
.withPaymentLag(paymentLag_)
.withTelescopicValueDates(
telescopicValueDates_ && averagingMethod_ == RateAveraging::Compound)
.withAveragingMethod(averagingMethod_);
auto lastBaseCoupon =
ext::dynamic_pointer_cast<OvernightIndexedCoupon>(baseLeg.back());

// an ibor leg pays one coupon per fixing, so its payment frequency
// is the tenor of its own index
Expand All @@ -213,14 +229,17 @@ namespace QuantLib {
// the payment lag can push the last payment past the maturity date,
// in which case the discount curve is needed up to that date
Date lastPaymentDate = std::max(baseLeg.back()->date(), otherLeg.back()->date());
Date lastBaseFixingEndDate = baseIndex_->maturityDate(
baseIndex_->valueDate(lastBaseCoupon->fixingDate()));

latestRelevantDate_ = std::max({maturityDate_, lastPaymentDate,
lastBaseFixingEndDate,
lastOtherCoupon->fixingEndDate()});
pillarDate_ = latestRelevantDate_;

swap_ = ext::make_shared<Swap>(baseLeg, otherLeg);
swap_->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(
discountHandle_.empty() ? termStructureHandle_ : discountHandle_));
swap_->setPricingEngine(
ext::make_shared<DiscountingSwapEngine>(discountRelinkableHandle_));
}

void OvernightIborBasisSwapRateHelper::setTermStructure(YieldTermStructure* t) {
Expand All @@ -231,6 +250,11 @@ namespace QuantLib {
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);

if (discountHandle_.empty())
discountRelinkableHandle_.linkTo(temp, observer);
else
discountRelinkableHandle_.linkTo(*discountHandle_, observer);

RelativeDateRateHelper::setTermStructure(t);
}

Expand All @@ -247,4 +271,135 @@ namespace QuantLib {
RateHelper::accept(v);
}



OvernightOvernightBasisSwapRateHelper::OvernightOvernightBasisSwapRateHelper(
const Handle<Quote>& basis,
const Period& tenor,
Natural settlementDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<OvernightIndex>& baseIndex,
const ext::shared_ptr<OvernightIndex>& otherIndex,
Handle<YieldTermStructure> discountHandle,
bool bootstrapBaseCurve,
Integer paymentLag,
Frequency paymentFrequency,
RateAveraging::Type baseAveragingMethod,
RateAveraging::Type otherAveragingMethod,
bool telescopicValueDates,
DateGeneration::Rule rule)
: RelativeDateRateHelper(basis), tenor_(tenor), settlementDays_(settlementDays),
calendar_(std::move(calendar)), convention_(convention), endOfMonth_(endOfMonth),
discountHandle_(std::move(discountHandle)), bootstrapBaseCurve_(bootstrapBaseCurve),
paymentLag_(paymentLag), paymentFrequency_(paymentFrequency),
baseAveragingMethod_(baseAveragingMethod),
otherAveragingMethod_(otherAveragingMethod),
telescopicValueDates_(telescopicValueDates), rule_(rule) {

QL_REQUIRE(baseIndex, "null base overnight index");
QL_REQUIRE(otherIndex, "null other overnight index");
Comment on lines +301 to +302

@lballabio lballabio Aug 14, 2026

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These checks on non-null pointers can also be added to the other helpers in this file.


// We need to clone the index whose forecast curve we want to
// bootstrap and copy the other one.
if (bootstrapBaseCurve_) {
baseIndex_ = ext::dynamic_pointer_cast<OvernightIndex>(
baseIndex->clone(termStructureHandle_));
baseIndex_->unregisterWith(termStructureHandle_);
otherIndex_ = otherIndex;
} else {
baseIndex_ = baseIndex;
otherIndex_ = ext::dynamic_pointer_cast<OvernightIndex>(
otherIndex->clone(termStructureHandle_));
otherIndex_->unregisterWith(termStructureHandle_);
}

registerWith(baseIndex_);
registerWith(otherIndex_);
registerWith(discountHandle_);

OvernightOvernightBasisSwapRateHelper::initializeDates();
}

void OvernightOvernightBasisSwapRateHelper::initializeDates() {
Date today = Settings::instance().evaluationDate();
earliestDate_ = calendar_.advance(today, settlementDays_ * Days, Following);
// unadjusted, to avoid a spurious stub
Date terminationDate = earliestDate_ + tenor_;

Schedule schedule =
MakeSchedule().from(earliestDate_).to(terminationDate)
.withFrequency(paymentFrequency_)
.withCalendar(calendar_)
.withConvention(convention_)
.endOfMonth(endOfMonth_)
.withRule(rule_);

maturityDate_ = schedule.endDate();

Leg baseLeg = OvernightLeg(schedule, baseIndex_)
.withNotionals(100.0)
.withPaymentLag(paymentLag_)
.withTelescopicValueDates(
telescopicValueDates_ && baseAveragingMethod_ == RateAveraging::Compound)
.withAveragingMethod(baseAveragingMethod_);

Leg otherLeg = OvernightLeg(schedule, otherIndex_)
.withNotionals(100.0)
.withPaymentLag(paymentLag_)
.withTelescopicValueDates(
telescopicValueDates_ && otherAveragingMethod_ == RateAveraging::Compound)
.withAveragingMethod(otherAveragingMethod_);

auto lastBaseCoupon =
ext::dynamic_pointer_cast<OvernightIndexedCoupon>(baseLeg.back());
auto lastOtherCoupon =
ext::dynamic_pointer_cast<OvernightIndexedCoupon>(otherLeg.back());

Date lastPaymentDate = std::max(baseLeg.back()->date(), otherLeg.back()->date());
Date lastBaseFixingEndDate = baseIndex_->maturityDate(
baseIndex_->valueDate(lastBaseCoupon->fixingDate()));
Comment on lines +361 to +362

@lballabio lballabio Aug 14, 2026

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Should we also do this for the overnight index in the overnight-ibor helper?

Date lastOtherFixingEndDate = otherIndex_->maturityDate(
otherIndex_->valueDate(lastOtherCoupon->fixingDate()));

latestRelevantDate_ = std::max({maturityDate_, lastPaymentDate,
lastBaseFixingEndDate,
lastOtherFixingEndDate});
pillarDate_ = latestRelevantDate_;

swap_ = ext::make_shared<Swap>(baseLeg, otherLeg);
swap_->setPricingEngine(
ext::make_shared<DiscountingSwapEngine>(discountRelinkableHandle_));
}

void OvernightOvernightBasisSwapRateHelper::setTermStructure(YieldTermStructure* t) {
// Do not set the relinkable handle as an observer: force
// recalculation when needed; the index is not lazy.
bool observer = false;

ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);

if (discountHandle_.empty())
discountRelinkableHandle_.linkTo(temp, observer);
else
discountRelinkableHandle_.linkTo(*discountHandle_, observer);

RelativeDateRateHelper::setTermStructure(t);
}

Real OvernightOvernightBasisSwapRateHelper::impliedQuote() const {
swap_->deepUpdate();
return -(swap_->NPV() / swap_->legBPS(0)) * 1.0e-4;
}

void OvernightOvernightBasisSwapRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<OvernightOvernightBasisSwapRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
}

}
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