Add forDates() to SwapRateHelper and OISRateHelper (#683)

lballabio · Oct 28, 2024 · 04d0086 · 04d0086
2 parents 6fb803d + 959945c
commit 04d0086
Showing 1 changed file with 57 additions and 0 deletions.
diff --git a/SWIG/ratehelpers.i b/SWIG/ratehelpers.i
@@ -217,6 +217,9 @@ class FuturesRateHelper : public RateHelper {
 
 %shared_ptr(SwapRateHelper)
 class SwapRateHelper : public RateHelper {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") forDates;
+    #endif
   public:
     SwapRateHelper(
             const Handle<Quote>& rate,
@@ -270,6 +273,28 @@ class SwapRateHelper : public RateHelper {
             Date customPillarDate = Date(),
             bool endOfMonth = false,
             ext::optional<bool> withIndexedCoupons = ext::nullopt);
+    %extend {
+        static ext::shared_ptr<SwapRateHelper> forDates(
+                const Handle<Quote>& rate,
+                const Date& startDate,
+                const Date& endDate,
+                Calendar calendar,
+                Frequency fixedFrequency,
+                BusinessDayConvention fixedConvention,
+                DayCounter fixedDayCount,
+                const ext::shared_ptr<IborIndex>& index,
+                const Handle<Quote>& spread = Handle<Quote>(),
+                const Handle<YieldTermStructure>& discountingCurve = {},
+                Pillar::Choice pillar = Pillar::LastRelevantDate,
+                Date customPillarDate = Date(),
+                bool endOfMonth = false,
+                const ext::optional<bool>& withIndexedCoupons = ext::nullopt) {
+            return ext::make_shared<SwapRateHelper>(
+                rate, startDate, endDate, std::move(calendar), fixedFrequency,
+                fixedConvention, fixedDayCount, index, spread, discountingCurve,
+                pillar, customPillarDate, endOfMonth, withIndexedCoupons);
+        }
+    }
     Spread spread();
     ext::shared_ptr<VanillaSwap> swap();
 };
@@ -312,6 +337,7 @@ class FixedRateBondHelper : public BondHelper {
 class OISRateHelper : public RateHelper {
     #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") OISRateHelper;
+    %feature("kwargs") forDates;
     #endif
   public:
     OISRateHelper(
@@ -337,6 +363,37 @@ class OISRateHelper : public RateHelper {
             Natural lockoutDays = 0,
             bool applyObservationShift = false,
             const ext::shared_ptr<FloatingRateCouponPricer>& pricer = {});
+    %extend {
+        static ext::shared_ptr<OISRateHelper> forDates(
+                const Date& startDate,
+                const Date& endDate,
+                const Handle<Quote>& rate,
+                const ext::shared_ptr<OvernightIndex>& index,
+                const Handle<YieldTermStructure>& discountingCurve = {},
+                bool telescopicValueDates = false,
+                Integer paymentLag = 0,
+                BusinessDayConvention paymentConvention = Following,
+                Frequency paymentFrequency = Annual,
+                Calendar paymentCalendar = Calendar(),
+                Spread overnightSpread = 0.0,
+                Pillar::Choice pillar = Pillar::LastRelevantDate,
+                Date customPillarDate = Date(),
+                RateAveraging::Type averagingMethod = RateAveraging::Compound,
+                ext::optional<bool> endOfMonth = ext::nullopt,
+                ext::optional<Frequency> fixedPaymentFrequency = ext::nullopt,
+                Calendar fixedCalendar = Calendar(),
+                Natural lookbackDays = Null<Natural>(),
+                Natural lockoutDays = 0,
+                bool applyObservationShift = false,
+                ext::shared_ptr<FloatingRateCouponPricer> pricer = {}) {
+            return ext::make_shared<OISRateHelper>(
+                startDate, endDate, rate, index, discountingCurve,
+                telescopicValueDates, paymentLag, paymentConvention, paymentFrequency,
+                paymentCalendar, overnightSpread, pillar, customPillarDate, averagingMethod,
+                endOfMonth, fixedPaymentFrequency, fixedCalendar, lookbackDays, lockoutDays,
+                applyObservationShift, pricer);
+        }
+    }
     ext::shared_ptr<OvernightIndexedSwap> swap();
 };