Add Futures::Type Custom (#1915)

lballabio · Feb 21, 2024 · 012754d · 012754d
2 parents 72012a7 + 1917baf
commit 012754d
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Showing 3 changed files with 10 additions and 6 deletions.
diff --git a/ql/instruments/futures.cpp b/ql/instruments/futures.cpp
@@ -30,8 +30,10 @@ namespace QuantLib {
             return out << "IMM";
           case Futures::ASX:
             return out << "ASX";
+          case Futures::Custom:
+            return out << "Custom";
           default:
-            QL_FAIL("unknown futures type (" << Integer(f) << ")");
+            return out << "Unknown(" << Integer(f) << ')';
         }
     }
 

diff --git a/ql/instruments/futures.hpp b/ql/instruments/futures.hpp
@@ -36,8 +36,9 @@ namespace QuantLib {
         enum Type {
             IMM, /*!< Chicago Mercantile Internation Money Market, i.e.
                       third Wednesday of March, June, September, December */
-            ASX  /*!< Australian Security Exchange, i.e. second Friday
+            ASX, /*!< Australian Security Exchange, i.e. second Friday
                       of March, June, September, December */
+            Custom /*!< Other rules */
         };
     };
 

diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
@@ -50,8 +50,10 @@ namespace QuantLib {
               case Futures::ASX:
                 QL_REQUIRE(ASX::isASXdate(date, false), date << " is not a valid ASX date");
                 break;
+              case Futures::Custom:
+                break;
               default:
-                QL_FAIL("unknown futures type (" << Integer(type) << ')');
+                QL_FAIL("unknown futures type (" << type << ')');
             }
         }
 
@@ -133,7 +135,7 @@ namespace QuantLib {
                 [](const Date date) -> Date { return ASX::nextDate(date, false); });
             break;
           default:
-            QL_FAIL("unknown futures type (" << Integer(type) << ')');
+            QL_FAIL("unsupported futures type (" << type << ')');
         }
         earliestDate_ = iborStartDate;
         yearFraction_ = DetermineYearFraction(earliestDate_, maturityDate_, dayCounter);
@@ -180,11 +182,10 @@ namespace QuantLib {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
         Rate forwardRate = (termStructure_->discount(earliestDate_) /
             termStructure_->discount(maturityDate_) - 1.0) / yearFraction_;
-        Rate convAdj = convAdj_.empty() ? 0.0 : convAdj_->value();
         // Convexity, as FRA/futures adjustment, has been used in the
         // past to take into account futures margining vs FRA.
         // Therefore, there's no requirement for it to be non-negative.
-        Rate futureRate = forwardRate + convAdj;
+        Rate futureRate = forwardRate + convexityAdjustment();
         return 100.0 * (1.0 - futureRate);
     }