Expose swap() on DatedOISRateHelper (#2097)

lballabio · Oct 16, 2024 · 065e2c7 · 065e2c7
2 parents 6e125f2 + 3f00ac4
commit 065e2c7
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Showing 3 changed files with 13 additions and 4 deletions.
diff --git a/ql/experimental/termstructures/basisswapratehelpers.hpp b/ql/experimental/termstructures/basisswapratehelpers.hpp
@@ -53,6 +53,8 @@ namespace QuantLib {
 
         Real impliedQuote() const override;
         void accept(AcyclicVisitor&) override;
+        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
+        ext::shared_ptr<Swap> swap() const { return swap_; }
       private:
         void initializeDates() override;
         void setTermStructure(YieldTermStructure*) override;
@@ -94,6 +96,8 @@ namespace QuantLib {
 
         Real impliedQuote() const override;
         void accept(AcyclicVisitor&) override;
+        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
+        ext::shared_ptr<Swap> swap() const { return swap_; }
       private:
         void initializeDates() override;
         void setTermStructure(YieldTermStructure*) override;

diff --git a/ql/termstructures/yield/oisratehelper.cpp b/ql/termstructures/yield/oisratehelper.cpp
@@ -112,7 +112,7 @@ namespace QuantLib {
 
         Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
                                         swap_->fixedLeg().back()->date());
-        latestRelevantDate_ = std::max(maturityDate_, lastPaymentDate);
+        latestRelevantDate_ = latestDate_ = std::max(maturityDate_, lastPaymentDate);
 
         switch (pillarChoice_) {
           case Pillar::MaturityDate:
@@ -135,8 +135,6 @@ namespace QuantLib {
           default:
             QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");
         }
-
-        latestDate_ = std::max(swap_->maturityDate(), lastPaymentDate);
     }
 
     void OISRateHelper::setTermStructure(YieldTermStructure* t) {
@@ -233,9 +231,10 @@ namespace QuantLib {
             setCouponPricer(swap_->overnightLeg(), pricer);
 
         earliestDate_ = swap_->startDate();
+        maturityDate_ = swap_->maturityDate();
         Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
                                         swap_->fixedLeg().back()->date());
-        latestDate_ = std::max(swap_->maturityDate(), lastPaymentDate);
+        latestRelevantDate_ = latestDate_ = std::max(maturityDate_, lastPaymentDate);
     }
 
     DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,

diff --git a/ql/termstructures/yield/oisratehelper.hpp b/ql/termstructures/yield/oisratehelper.hpp
@@ -155,6 +155,12 @@ namespace QuantLib {
         Real impliedQuote() const override;
         void setTermStructure(YieldTermStructure*) override;
         //@}
+        //! \name inspectors
+        //@{
+        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
+        ext::shared_ptr<OvernightIndexedSwap> swap() const { return swap_; }
+        //@}
+        //@}
         //! \name Visitability
         //@{
         void accept(AcyclicVisitor&) override;