Allow creating a swap helper with frequency "Once"

lballabio · Sep 23, 2024 · 946d29c · 946d29c
1 parent b2ef988
commit 946d29c
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Showing 3 changed files with 35 additions and 1 deletion.
diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
@@ -613,7 +613,7 @@ namespace QuantLib {
             .withSettlementDays(settlementDays_)
             .withDiscountingTermStructure(discountRelinkableHandle_)
             .withFixedLegDayCount(fixedDayCount_)
-            .withFixedLegTenor(Period(fixedFrequency_))
+            .withFixedLegTenor(fixedFrequency_ == Once ? tenor_ : Period(fixedFrequency_))
             .withFixedLegConvention(fixedConvention_)
             .withFixedLegTerminationDateConvention(fixedConvention_)
             .withFixedLegCalendar(calendar_)

diff --git a/test-suite/piecewiseyieldcurve.cpp b/test-suite/piecewiseyieldcurve.cpp
@@ -22,6 +22,7 @@
 #include "utilities.hpp"
 #include <ql/cashflows/iborcoupon.hpp>
 #include <ql/indexes/bmaindex.hpp>
+#include <ql/indexes/ibor/estr.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
 #include <ql/indexes/ibor/jpylibor.hpp>
 #include <ql/indexes/ibor/usdlibor.hpp>
@@ -40,12 +41,14 @@
 #include <ql/termstructures/globalbootstrap.hpp>
 #include <ql/termstructures/yield/bondhelpers.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
+#include <ql/termstructures/yield/oisratehelper.hpp>
 #include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
 #include <ql/termstructures/yield/ratehelpers.hpp>
 #include <ql/time/asx.hpp>
 #include <ql/time/calendars/canada.hpp>
 #include <ql/time/calendars/japan.hpp>
 #include <ql/time/calendars/jointcalendar.hpp>
+#include <ql/time/calendars/mexico.hpp>
 #include <ql/time/calendars/target.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
 #include <ql/time/daycounters/actual360.hpp>
@@ -1544,6 +1547,22 @@ BOOST_AUTO_TEST_CASE(testCustomFuturesHelpers) {
     }
 }
 
+
+BOOST_AUTO_TEST_CASE(testSwapHelpersWithOnceFrequency) {
+    BOOST_TEST_MESSAGE("Testing single-coupon swap rate helpers...");
+
+    auto index = ext::make_shared<IborIndex>(
+        "TestIndex", 4*Weeks, 1, MXNCurrency(),
+        Mexico(), Following, false, Actual360());
+
+    Handle<Quote> r(ext::make_shared<SimpleQuote>(0.02));
+
+    BOOST_CHECK_NO_THROW(SwapRateHelper(r, 4*Weeks, Mexico(), Once, Following, Actual360(), index));
+
+    BOOST_CHECK_NO_THROW(OISRateHelper(2, 4*Weeks, r, ext::make_shared<Estr>(), {}, false, 0, Following, Once));
+}
+
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()
diff --git a/test-suite/schedule.cpp b/test-suite/schedule.cpp
@@ -943,6 +943,21 @@ BOOST_AUTO_TEST_CASE(testFourWeeksTenor) {
     }
 }
 
+BOOST_AUTO_TEST_CASE(testOnceFrequency) {
+    BOOST_TEST_MESSAGE(
+        "Testing that Once frequency works...");
+
+    Schedule s =
+        MakeSchedule().from(Date(13,January,2016))
+                      .to(Date(13,January,2019))
+                      .withFrequency(Once)
+                      .forwards();
+
+    BOOST_CHECK(s.size() == 2);
+    BOOST_CHECK(s[0] == Date(13,January,2016));
+    BOOST_CHECK(s[1] == Date(13,January,2019));
+}
+
 BOOST_AUTO_TEST_CASE(testScheduleAlwaysHasAStartDate) {
     BOOST_TEST_MESSAGE("Testing that variations of MakeSchedule "
                        "always produce a schedule with a start date...");