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SofrFutureRateHelper could infer averaging method from frequency #1215

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lballabio opened this issue Oct 23, 2021 · 0 comments · Fixed by #1242
Closed

SofrFutureRateHelper could infer averaging method from frequency #1215

lballabio opened this issue Oct 23, 2021 · 0 comments · Fixed by #1242

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@lballabio
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Futures with monthly frequency use averaging; futures with quarterly frequency use compounding.

The constructor taking the averaging method explicitly can be deprecated.
@lballabio lballabio added this to the 1.25 release milestone Oct 23, 2021
azsrz added a commit to azsrz/QuantLib that referenced this issue Nov 14, 2021
@azsrz
[lballabio#1215] Refer to github issue
b780ed7 
Futures with monthly frequency use averaging rate, while with quarterly frequency use compouding. The constructor taking the averaging method explicitly can be deprecated.
@lballabio lballabio linked a pull request Nov 16, 2021 that will close this issue
Remove redundant arguments from SofrFutureRateHelper constructor #1242
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@lballabio lballabio removed this from the 1.25 release milestone Nov 16, 2021
azsrz added a commit to azsrz/QuantLib that referenced this issue Nov 17, 2021
@azsrz
Github issue [lballabio#1215] Use QL_DEPRECATE to deprecate averaging…
db29cf9 
…Method for SofrFutureRateHelper
azsrz added a commit to azsrz/QuantLib that referenced this issue Nov 17, 2021
@azsrz
use QL_DEPRECATED to deprecate averagingMethod in SofrFutureRateHelpe…
e64e9ca 
…r. Refer to Github issue [lballabio#1215]
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Remove redundant arguments from SofrFutureRateHelper constructor azsrz/QuantLib
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@lballabio