[#1215] Refer to github issue

Futures with monthly frequency use averaging rate, while with quarterly frequency use compouding. The constructor taking the averaging method explicitly can be deprecated.
lballabio · Nov 14, 2021 · b780ed7 · b780ed7
1 parent 2344bea
commit b780ed7
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Showing 2 changed files with 8 additions and 2 deletions.
diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.cpp b/ql/termstructures/yield/overnightindexfutureratehelper.cpp
@@ -99,13 +99,15 @@ namespace QuantLib {
         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) {
+                                     //averagingMethod
+                                     referenceFreq == Quarterly? RateAveraging::Compound : RateAveraging::Simple) {
         QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
                    "only monthly and quarterly SOFR futures accepted");
         if (referenceFreq == Quarterly) {
@@ -122,14 +124,16 @@ namespace QuantLib {
         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) {
+          //averagingMethod
+          referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
         QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
                    "only monthly and quarterly SOFR futures accepted");
         if (referenceFreq == Quarterly) {

diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.hpp b/ql/termstructures/yield/overnightindexfutureratehelper.hpp
@@ -73,13 +73,15 @@ namespace QuantLib {
                              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);
         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);
     };