Expose overnight calendar in OISRateHelper (#2226)

Author: lballabio

ql/termstructures/yield/oisratehelper.cpp

@@ -50,16 +50,17 @@ namespace QuantLib {
         Natural lockoutDays,
         bool applyObservationShift,
         ext::shared_ptr<FloatingRateCouponPricer> pricer,
-        DateGeneration::Rule rule)
+        DateGeneration::Rule rule,
+        Calendar overnightCalendar)
     : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
     discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
     paymentLag_(paymentLag), paymentConvention_(paymentConvention),
     paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
     forwardStart_(forwardStart), overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),
     averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
     fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
-    lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
-    pricer_(std::move(pricer)), rule_(rule) {
+    overnightCalendar_(std::move(overnightCalendar)), lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
+    applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {
     initialize(overnightIndex, customPillarDate);
     }
 
@@ -84,16 +85,17 @@ namespace QuantLib {
         Natural lockoutDays,
         bool applyObservationShift,
         ext::shared_ptr<FloatingRateCouponPricer> pricer,
-        DateGeneration::Rule rule)
+        DateGeneration::Rule rule,
+        Calendar overnightCalendar)
     : RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),
     discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
     paymentLag_(paymentLag), paymentConvention_(paymentConvention),
     paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
     overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),
     averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
     fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
-    lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
-    pricer_(std::move(pricer)), rule_(rule) {
+    overnightCalendar_(std::move(overnightCalendar)), lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
+    applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {
     initialize(overnightIndex, customPillarDate);
     }
 
@@ -144,6 +146,9 @@ namespace QuantLib {
         if (!fixedCalendar_.empty()) {
             tmp.withFixedLegCalendar(fixedCalendar_);
         }
+        if (!overnightCalendar_.empty()) {
+            tmp.withOvernightLegCalendar(overnightCalendar_);
+        }
         swap_ = tmp;
 
         if (pricer_)

ql/termstructures/yield/oisratehelper.hpp

@@ -60,7 +60,8 @@ namespace QuantLib {
           Natural lockoutDays = 0,
           bool applyObservationShift = false,
           ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
-          DateGeneration::Rule rule = DateGeneration::Backward);
+          DateGeneration::Rule rule = DateGeneration::Backward,
+          Calendar overnightCalendar = Calendar());
 
         OISRateHelper(const Date& startDate,
           const Date& endDate,
@@ -84,7 +85,8 @@ namespace QuantLib {
           Natural lockoutDays = 0,
           bool applyObservationShift = false,
           ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
-          DateGeneration::Rule rule = DateGeneration::Backward);
+          DateGeneration::Rule rule = DateGeneration::Backward,
+          Calendar overnightCalendar = Calendar());
 
         //! \name RateHelper interface
         //@{
@@ -128,6 +130,7 @@ namespace QuantLib {
         ext::optional<bool> endOfMonth_;
         ext::optional<Frequency> fixedPaymentFrequency_;
         Calendar fixedCalendar_;
+        Calendar overnightCalendar_;
         Natural lookbackDays_;
         Natural lockoutDays_;
         bool applyObservationShift_;