Add rule kwarg to OISRateHelper constructor - default to Backward (#684)

lballabio · Nov 4, 2024 · 592372f · 592372f
2 parents 04d0086 + f262fb7
commit 592372f
Showing 1 changed file with 5 additions and 3 deletions.
diff --git a/SWIG/ratehelpers.i b/SWIG/ratehelpers.i
@@ -362,7 +362,8 @@ class OISRateHelper : public RateHelper {
             Natural lookbackDays = Null<Natural>(),
             Natural lockoutDays = 0,
             bool applyObservationShift = false,
-            const ext::shared_ptr<FloatingRateCouponPricer>& pricer = {});
+            const ext::shared_ptr<FloatingRateCouponPricer>& pricer = {},
+            DateGeneration::Rule rule = DateGeneration::Backward);
     %extend {
         static ext::shared_ptr<OISRateHelper> forDates(
                 const Date& startDate,
@@ -385,13 +386,14 @@ class OISRateHelper : public RateHelper {
                 Natural lookbackDays = Null<Natural>(),
                 Natural lockoutDays = 0,
                 bool applyObservationShift = false,
-                ext::shared_ptr<FloatingRateCouponPricer> pricer = {}) {
+                ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
+                DateGeneration::Rule rule = DateGeneration::Backward) {
             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);
+                applyObservationShift, pricer, rule);
         }
     }
     ext::shared_ptr<OvernightIndexedSwap> swap();