public DatedOISRateHelper(Date startDate,
Date endDate,
Handle<Quote> fixedRate,
OvernightIndex overnightIndex)
: base(fixedRate)
{
overnightIndex.registerWith(update);
// dummy OvernightIndex with curve/swap arguments
// review here
IborIndex clonedIborIndex = overnightIndex.clone(termStructureHandle_);
OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;
swap_ = new MakeOIS(new Period(), clonedOvernightIndex, 0.0)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_.startDate();
latestDate_ = swap_.maturityDate();
}
protected override void initializeDates()
{
// dummy OvernightIndex with curve/swap arguments
// review here
IborIndex clonedIborIndex = overnightIndex_.clone(termStructureHandle_);
OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;
swap_ = new MakeOIS(tenor_, clonedOvernightIndex, 0.0)
.withSettlementDays(settlementDays_)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_.startDate();
latestDate_ = swap_.maturityDate();
}
