Merge pull request #1242.

Remove redundant arguments from `SofrFutureRateHelper` constructor
lballabio · Nov 17, 2021 · d55b8b1 · d55b8b1
2 parents c21fff2 + 7086e1d
commit d55b8b1
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Showing 3 changed files with 71 additions and 7 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);
         }
@@ -92,6 +93,7 @@ namespace QuantLib {
         return future_->convexityAdjustment();
     }
 
+
     SofrFutureRateHelper::SofrFutureRateHelper(
         const Handle<Quote>& price,
         Month referenceMonth,
@@ -139,4 +141,46 @@ namespace QuantLib {
         }
     }
 
+    SofrFutureRateHelper::SofrFutureRateHelper(
+        const Handle<Quote>& price,
+        Month referenceMonth,
+        Year referenceYear,
+        Frequency referenceFreq,
+        const Handle<Quote>& convexityAdjustment)
+    : OvernightIndexFutureRateHelper(price,
+            getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
+            getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
+            ext::make_shared<Sofr>(),
+            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");
+        }
+    }
+
+    SofrFutureRateHelper::SofrFutureRateHelper(
+        Real price,
+        Month referenceMonth,
+        Year referenceYear,
+        Frequency referenceFreq,
+        Real convexityAdjustment)
+    : OvernightIndexFutureRateHelper(
+            Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
+            getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
+            getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
+            ext::make_shared<Sofr>(),
+            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
@@ -67,20 +67,41 @@ 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,
                              Year referenceYear,
                              Frequency referenceFreq,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
-                             const Handle<Quote>& convexityAdjustment = Handle<Quote>(),
-                             RateAveraging::Type averagingMethod = RateAveraging::Compound);
+                             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,
                              Year referenceYear,
                              Frequency referenceFreq,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
-                             Real convexityAdjustment = 0,
-                             RateAveraging::Type averagingMethod = RateAveraging::Compound);
+                             Real convexityAdjustment,
+                             RateAveraging::Type averagingMethod);
+
+        SofrFutureRateHelper(const Handle<Quote>& price,
+                             Month referenceMonth,
+                             Year referenceYear,
+                             Frequency referenceFreq,
+                             const Handle<Quote>& convexityAdjustment = Handle<Quote>());
+
+        SofrFutureRateHelper(Real price,
+                             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.averagingMethod));
+            sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq));
     }
 
     ext::shared_ptr<PiecewiseYieldCurve<Discount, Linear> > curve =