Remove redundant index from signature

lballabio · Nov 17, 2021 · 7086e1d · 7086e1d
1 parent e64e9ca
commit 7086e1d
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Showing 3 changed files with 26 additions and 23 deletions.
diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.cpp b/ql/termstructures/yield/overnightindexfutureratehelper.cpp
@@ -19,14 +19,15 @@
 */
 
 #include <ql/termstructures/yield/overnightindexfutureratehelper.hpp>
+#include <ql/indexes/ibor/sofr.hpp>
 #include <ql/utilities/null_deleter.hpp>
 
 namespace QuantLib {
 
     namespace {
 
         Date getValidSofrStart(Month month, Year year, Frequency freq) {
-            return freq == Monthly ? 
+            return freq == Monthly ?
                 UnitedStates(UnitedStates::GovernmentBond).adjust(Date(1, month, year)) :
                 Date::nthWeekday(3, Wednesday, month, year);
         }
@@ -91,8 +92,8 @@ namespace QuantLib {
     Real OvernightIndexFutureRateHelper::convexityAdjustment() const {
         return future_->convexityAdjustment();
     }
-    
-    QL_DEPRECATED
+
+
     SofrFutureRateHelper::SofrFutureRateHelper(
         const Handle<Quote>& price,
         Month referenceMonth,
@@ -115,8 +116,7 @@ namespace QuantLib {
                        "quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
         }
     }
-
-    QL_DEPRECATED
+
     SofrFutureRateHelper::SofrFutureRateHelper(
         Real price,
         Month referenceMonth,
@@ -146,12 +146,11 @@ namespace QuantLib {
         Month referenceMonth,
         Year referenceYear,
         Frequency referenceFreq,
-        const ext::shared_ptr<OvernightIndex>& overnightIndex,
         const Handle<Quote>& convexityAdjustment)
-        : OvernightIndexFutureRateHelper(price,
+    : OvernightIndexFutureRateHelper(price,
             getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
             getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
-            overnightIndex,
+            ext::make_shared<Sofr>(),
             convexityAdjustment,
             referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
         QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
@@ -168,13 +167,12 @@ namespace QuantLib {
         Month referenceMonth,
         Year referenceYear,
         Frequency referenceFreq,
-        const ext::shared_ptr<OvernightIndex>& overnightIndex,
         Real convexityAdjustment)
-        : OvernightIndexFutureRateHelper(
+    : OvernightIndexFutureRateHelper(
             Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
             getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
             getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
-            overnightIndex,
+            ext::make_shared<Sofr>(),
             Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
             referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
         QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,

diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.hpp b/ql/termstructures/yield/overnightindexfutureratehelper.hpp
@@ -67,6 +67,9 @@ namespace QuantLib {
     */
     class SofrFutureRateHelper : public OvernightIndexFutureRateHelper {
       public:
+        /*! \deprecated Use the constructor without index and averaging method.
+                        Deprecated in version 1.25.
+        */
         QL_DEPRECATED
         SofrFutureRateHelper(const Handle<Quote>& price,
                              Month referenceMonth,
@@ -75,6 +78,10 @@ namespace QuantLib {
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
                              const Handle<Quote>& convexityAdjustment,
                              RateAveraging::Type averagingMethod);
+
+        /*! \deprecated Use the constructor without index and averaging method.
+                        Deprecated in version 1.25.
+        */
         QL_DEPRECATED
         SofrFutureRateHelper(Real price,
                              Month referenceMonth,
@@ -85,17 +92,16 @@ namespace QuantLib {
                              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>());
+                             Month referenceMonth,
+                             Year referenceYear,
+                             Frequency referenceFreq,
+                             const Handle<Quote>& convexityAdjustment = Handle<Quote>());
+
         SofrFutureRateHelper(Real price,
-            Month referenceMonth,
-            Year referenceYear,
-            Frequency referenceFreq,
-            const ext::shared_ptr<OvernightIndex>& overnightIndex,
-            Real convexityAdjustment = 0);
+                             Month referenceMonth,
+                             Year referenceYear,
+                             Frequency referenceFreq,
+                             Real convexityAdjustment = 0);
     };
 
 }

diff --git a/test-suite/sofrfutures.cpp b/test-suite/sofrfutures.cpp
@@ -89,8 +89,7 @@ void SofrFuturesTest::testBootstrap() {
     std::vector<ext::shared_ptr<RateHelper> > helpers;
     for (const auto& sofrQuote : sofrQuotes) {
         helpers.push_back(ext::make_shared<SofrFutureRateHelper>(
-            sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq,
-            index, 0.0));
+            sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq));
     }
 
     ext::shared_ptr<PiecewiseYieldCurve<Discount, Linear> > curve =