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OISRateHelper should take a QuoteHandle for overnightSpread parameter #1681

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trentmaetzold opened this issue May 24, 2023 · 2 comments
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@trentmaetzold
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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).

@trentmaetzold
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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.

@lballabio
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Ok, thanks!

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