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The constructor for OISRateHelper takes a float for the overnightSpread argument. It would be nice if it took a Quote object so that the curve doesn't need to be rebuilt if spreads widen/tighten. (It's probably not a huge impact day to day, but would be nice if it functioned the same as a spread-less curve i.e. when quotes update, the curve gets updated)
I haven't done much testing here, but seems like it might be needed for some curves to specify conventions for the spread as well (might be more in Ibors).
The text was updated successfully, but these errors were encountered:
I'm seeing that the SwapRateHelper takes a Quote for the spread so Ibors are covered. It's probably just the Fed Funds curve that uses a spread in OIS, but may be nice to have that function as well there. I'll try to take a look at it when I get more time.
The constructor for OISRateHelper takes a float for the overnightSpread argument. It would be nice if it took a Quote object so that the curve doesn't need to be rebuilt if spreads widen/tighten. (It's probably not a huge impact day to day, but would be nice if it functioned the same as a spread-less curve i.e. when quotes update, the curve gets updated)
I haven't done much testing here, but seems like it might be needed for some curves to specify conventions for the spread as well (might be more in Ibors).
The text was updated successfully, but these errors were encountered: