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Support custom pillar date in interest-rate futures helpers #2415

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Support custom pillar date in interest-rate futures helpers #2415

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Support custom pillar date in interest-rate futures helpers
Krishn1412 Jan 2, 2026
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Krishn1412 Jan 3, 2026
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Krishn1412 Jan 3, 2026
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Krishn1412 Jan 17, 2026
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22 changes: 16 additions & 6 deletions ql/termstructures/yield/overnightindexfutureratehelper.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -51,7 +51,8 @@ namespace QuantLib {
const Date& maturityDate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment,
RateAveraging::Type averagingMethod)
RateAveraging::Type averagingMethod,
const Date& customPillarDate)
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@eltoder eltoder Feb 26, 2026

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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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@lballabio lballabio Mar 2, 2026

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True

: RateHelper(price) {
ext::shared_ptr<OvernightIndex> index =
ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
Expand All @@ -60,6 +61,13 @@ namespace QuantLib {
registerWithObservables(future_);
earliestDate_ = valueDate;
latestDate_ = maturityDate;
if (customPillarDate != Date()) {
QL_REQUIRE(customPillarDate >= valueDate,
"custom pillar date before start of reference period");
QL_REQUIRE(customPillarDate <= maturityDate,
"custom pillar date after end of reference period");
pillarDate_ = customPillarDate;
}
}

Real OvernightIndexFutureRateHelper::impliedQuote() const {
Expand Down Expand Up @@ -90,19 +98,20 @@ namespace QuantLib {
return future_->convexityAdjustment();
}


SofrFutureRateHelper::SofrFutureRateHelper(
const Handle<Quote>& price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const Handle<Quote>& convexityAdjustment)
const Handle<Quote>& convexityAdjustment,
const Date& customPillarDate)
: OvernightIndexFutureRateHelper(price,
getSofrStart(referenceMonth, referenceYear, referenceFreq),
getSofrEnd(referenceMonth, referenceYear, referenceFreq),
ext::make_shared<Sofr>(),
convexityAdjustment,
referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple, customPillarDate) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
}
Expand All @@ -112,14 +121,15 @@ namespace QuantLib {
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
Real convexityAdjustment)
Real convexityAdjustment,
const Date& customPillarDate)
: OvernightIndexFutureRateHelper(
Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
getSofrStart(referenceMonth, referenceYear, referenceFreq),
getSofrEnd(referenceMonth, referenceYear, referenceFreq),
ext::make_shared<Sofr>(),
Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple, customPillarDate) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
}
Expand Down
9 changes: 6 additions & 3 deletions ql/termstructures/yield/overnightindexfutureratehelper.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -40,7 +40,8 @@ namespace QuantLib {
const Date& maturityDate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment = {},
RateAveraging::Type averagingMethod = RateAveraging::Compound);
RateAveraging::Type averagingMethod = RateAveraging::Compound,
const Date& customPillarDate = Date());

//! \name RateHelper interface
//@{
Expand Down Expand Up @@ -71,13 +72,15 @@ namespace QuantLib {
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const Handle<Quote>& convexityAdjustment = {});
const Handle<Quote>& convexityAdjustment = {},
const Date& customPillarDate = Date());

SofrFutureRateHelper(Real price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
Real convexityAdjustment = 0.0);
Real convexityAdjustment = 0.0,
const Date& customPillarDate = Date());
};

}
Expand Down
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