Support custom pillar date in interest-rate futures helpers#2415
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Krishn1412 wants to merge 4 commits intolballabio:masterfrom
Open
Support custom pillar date in interest-rate futures helpers#2415Krishn1412 wants to merge 4 commits intolballabio:masterfrom
Krishn1412 wants to merge 4 commits intolballabio:masterfrom
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hey @lballabio happy new year! can you please take a look at this? |
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Hi @lballabio , please could you also expose this fix to Python binding? Much appreciated. |
Owner
I will — I'm working on cutting the 1.41 release now so it will be after that |
lballabio
reviewed
Jan 14, 2026
Owner
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This was committed by mistake, I guess?
Owner
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Thanks, other than for the extra file it looks ok. Would it be possible to add a test case for the feature? |
eltoder
reviewed
Feb 26, 2026
| const Handle<Quote>& convexityAdjustment, | ||
| RateAveraging::Type averagingMethod) | ||
| RateAveraging::Type averagingMethod, | ||
| const Date& customPillarDate) |
Contributor
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I think ideally this should use the Pillar::Choice enum like the other rate helpers that support custom pillars.
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Solves #2256.
Updated the constructors for OvernightIndexFutureRateHelper and SofrFutureRateHelper to support pillar dates. The member function pillarDate() can be used for curve fitting.