Repository navigation
Enforce required today's fixing before overnight coupon projection - #3060
Open
Kiril1Shevtsov wants to merge 1 commit into
Open
Kiril1Shevtsov wants to merge 1 commit into
Kiril1Shevtsov wants to merge 1 commit into
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
When
Settings::enforcesTodaysHistoricFixings()is enabled, the compounding overnight coupon pricer can bypass a missing current-date fixing through its telescopic discount-factor shortcut. Check the required history before entering the today-fixing fallback, outside its catch block.The regression covers missing, stored-null and present current-date fixings with enforcement on and off, full and telescopic schedules, lookback and observation shift. Present and optional-history cases are checked against independently enumerated overnight deposit products. A future-only coupon remains forecastable without today's fixing.
Validation against
cf74c9f657150750dfbf00ed6fd4c0768bc5ce36:git diff --checkand the test-message check pass.Native builds used Linux x86_64, GCC 14, Boost 1.87 and C++17, shared/default configuration, unity builds,
-O1 -g0 -DNDEBUGand warnings as errors. The changed production and stock-test units were rebuilt and linked with hash-verified unchanged baseline objects; this was not a fresh complete rebuild.This change is limited to
CompoundingOvernightIndexedCouponPricer. Arithmetic averaging and the separate lockout and daily-spread corrections are outside its scope.