Github issue [lballabio#1215] Use QL_DEPRECATE to deprecate averaging…

…Method for SofrFutureRateHelper
azsrz · Nov 17, 2021 · db29cf9 · db29cf9
1 parent b780ed7
commit db29cf9
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Showing 4 changed files with 89 additions and 14 deletions.
diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.cpp b/ql/termstructures/yield/overnightindexfutureratehelper.cpp
@@ -92,22 +92,21 @@ namespace QuantLib {
         return future_->convexityAdjustment();
     }
 
+    QL_DEPRECATED 
     SofrFutureRateHelper::SofrFutureRateHelper(
         const Handle<Quote>& price,
         Month referenceMonth,
         Year referenceYear,
         Frequency referenceFreq,
         const ext::shared_ptr<OvernightIndex>& overnightIndex,
         const Handle<Quote>& convexityAdjustment,
-        [[deprecated("infer averaging method from frequency")]]
         RateAveraging::Type averagingMethod)
     : OvernightIndexFutureRateHelper(price,
                                      getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
                                      getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
                                      overnightIndex,
                                      convexityAdjustment,
-                                     //averagingMethod
-                                     referenceFreq == Quarterly? RateAveraging::Compound : RateAveraging::Simple) {
+                                     averagingMethod) {
         QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
                    "only monthly and quarterly SOFR futures accepted");
         if (referenceFreq == Quarterly) {
@@ -116,24 +115,45 @@ namespace QuantLib {
                        "quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
         }
     }
+
+    SofrFutureRateHelper::SofrFutureRateHelper(
+        const Handle<Quote>& price,
+        Month referenceMonth,
+        Year referenceYear,
+        Frequency referenceFreq,
+        const ext::shared_ptr<OvernightIndex>& overnightIndex,
+        const Handle<Quote>& convexityAdjustment)
+        : OvernightIndexFutureRateHelper(price,
+            getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
+            getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
+            overnightIndex,
+            convexityAdjustment,
+            referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
+        QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
+            "only monthly and quarterly SOFR futures accepted");
+        if (referenceFreq == Quarterly) {
+            QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
+                referenceMonth == Dec,
+                "quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
+        }
+    }
 
+    QL_DEPRECATED 
     SofrFutureRateHelper::SofrFutureRateHelper(
         Real price,
         Month referenceMonth,
         Year referenceYear,
         Frequency referenceFreq,
         const ext::shared_ptr<OvernightIndex>& overnightIndex,
         Real convexityAdjustment,
-        [[deprecated("infer averaging method from frequency")]]
         RateAveraging::Type averagingMethod)
     : OvernightIndexFutureRateHelper(
           Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
           getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
           getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
           overnightIndex,
           Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
-          //averagingMethod
-          referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
+          averagingMethod) {
         QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
                    "only monthly and quarterly SOFR futures accepted");
         if (referenceFreq == Quarterly) {
@@ -143,4 +163,27 @@ namespace QuantLib {
         }
     }
 
+    SofrFutureRateHelper::SofrFutureRateHelper(
+        Real price,
+        Month referenceMonth,
+        Year referenceYear,
+        Frequency referenceFreq,
+        const ext::shared_ptr<OvernightIndex>& overnightIndex,
+        Real convexityAdjustment)
+        : OvernightIndexFutureRateHelper(
+            Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
+            getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
+            getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
+            overnightIndex,
+            Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
+            referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
+        QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
+            "only monthly and quarterly SOFR futures accepted");
+        if (referenceFreq == Quarterly) {
+            QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
+                referenceMonth == Dec,
+                "quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
+        }
+    }
+
 }
diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.hpp b/ql/termstructures/yield/overnightindexfutureratehelper.hpp
@@ -67,22 +67,34 @@ namespace QuantLib {
     */
     class SofrFutureRateHelper : public OvernightIndexFutureRateHelper {
       public:
+        QL_DEPRECATED 
         SofrFutureRateHelper(const Handle<Quote>& price,
                              Month referenceMonth,
                              Year referenceYear,
                              Frequency referenceFreq,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
-                             const Handle<Quote>& convexityAdjustment = Handle<Quote>(),
-                             [[deprecated("infer averaging method from frequency")]]
-                             RateAveraging::Type averagingMethod = RateAveraging::Compound);
+                             const Handle<Quote>& convexityAdjustment,
+                             RateAveraging::Type averagingMethod);
+        QL_DEPRECATED 
         SofrFutureRateHelper(Real price,
                              Month referenceMonth,
                              Year referenceYear,
                              Frequency referenceFreq,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
-                             Real convexityAdjustment = 0,
-                             [[deprecated("infer averaging method from frequency")]]
-                             RateAveraging::Type averagingMethod = RateAveraging::Compound);
+                             Real convexityAdjustment,
+                             RateAveraging::Type averagingMethod);
+        SofrFutureRateHelper(const Handle<Quote>& price,
+            Month referenceMonth,
+            Year referenceYear,
+            Frequency referenceFreq,
+            const ext::shared_ptr<OvernightIndex>& overnightIndex,
+            const Handle<Quote>& convexityAdjustment = Handle<Quote>());
+        SofrFutureRateHelper(Real price,
+            Month referenceMonth,
+            Year referenceYear,
+            Frequency referenceFreq,
+            const ext::shared_ptr<OvernightIndex>& overnightIndex,
+            Real convexityAdjustment = 0);
     };
 
 }

diff --git a/test-suite/sofrfutures.cpp b/test-suite/sofrfutures.cpp
@@ -90,7 +90,7 @@ void SofrFuturesTest::testBootstrap() {
     for (const auto& sofrQuote : sofrQuotes) {
         helpers.push_back(ext::make_shared<SofrFutureRateHelper>(
             sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq,
-            index, 0.0, sofrQuote.averagingMethod));
+            index, 0.0));
     }
 
     ext::shared_ptr<PiecewiseYieldCurve<Discount, Linear> > curve =

diff --git a/test-suite/testsuite.vcxproj b/test-suite/testsuite.vcxproj
@@ -169,6 +169,26 @@
     <TargetName Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">QuantLib-test-suite-mt-sgd</TargetName>
     <TargetName Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|x64'">QuantLib-test-suite-x64-mt-sgd</TargetName>
   </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|x64'">
+    <ExecutablePath>$(VC_ExecutablePath_x64);$(CommonExecutablePath)</ExecutablePath>
+    <IncludePath>$(VC_IncludePath);$(WindowsSDK_IncludePath);;C:\Program Files\boost\boost_1_77_0</IncludePath>
+    <LibraryPath>$(VC_LibraryPath_x64);$(WindowsSDK_LibraryPath_x64);C:\Program Files\boost\boost_1_77_0\stage\lib</LibraryPath>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|x64'">
+    <ExecutablePath>$(VC_ExecutablePath_x64);$(CommonExecutablePath)</ExecutablePath>
+    <IncludePath>$(VC_IncludePath);$(WindowsSDK_IncludePath);;C:\Program Files\boost\boost_1_77_0</IncludePath>
+    <LibraryPath>$(VC_LibraryPath_x64);$(WindowsSDK_LibraryPath_x64);C:\Program Files\boost\boost_1_77_0\stage\lib</LibraryPath>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
+    <ExecutablePath>$(VC_ExecutablePath_x64);$(CommonExecutablePath)</ExecutablePath>
+    <IncludePath>$(VC_IncludePath);$(WindowsSDK_IncludePath);;C:\Program Files\boost\boost_1_77_0</IncludePath>
+    <LibraryPath>$(VC_LibraryPath_x64);$(WindowsSDK_LibraryPath_x64);C:\Program Files\boost\boost_1_77_0\stage\lib</LibraryPath>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|x64'">
+    <ExecutablePath>$(VC_ExecutablePath_x64);$(CommonExecutablePath)</ExecutablePath>
+    <IncludePath>$(VC_IncludePath);$(WindowsSDK_IncludePath);;C:\Program Files\boost\boost_1_77_0</IncludePath>
+    <LibraryPath>$(VC_LibraryPath_x64);$(WindowsSDK_LibraryPath_x64);C:\Program Files\boost\boost_1_77_0\stage\lib</LibraryPath>
+  </PropertyGroup>
   <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">
     <Midl>
       <TypeLibraryName>.\build\$(PlatformToolset)\$(Platform)\$(Configuration)\testsuite.tlb</TypeLibraryName>
@@ -975,4 +995,4 @@
   <Import Project="..\Build.props" Condition="Exists('..\Build.props')" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
+</Project>