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Merge branch 'feature/QPR-12959_2' into 'master'
QPR-12959 RegisterWith in OvernightFallbackIndex Closes QPR-12959 See merge request qs/oreplus!3081
2 parents e8070ad + 9b20b3c commit 862d09a

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QuantExt/qle/indexes/fallbackovernightindex.cpp

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@@ -32,6 +32,8 @@ FallbackOvernightIndex::FallbackOvernightIndex(const QuantLib::ext::shared_ptr<O
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originalIndex->fixingCalendar(), originalIndex->dayCounter(), Handle<YieldTermStructure>()) {
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iborFallbackIndex_ = std::make_unique<FallbackIborIndex>(originalIndex, rfrIndex, spread, switchDate, useRfrCurve);
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termStructure_ = iborFallbackIndex_->forwardingTermStructure();
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registerWith(originalIndex);
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registerWith(rfrIndex);
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}
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FallbackOvernightIndex::FallbackOvernightIndex(const QuantLib::ext::shared_ptr<OvernightIndex> originalIndex,
@@ -43,6 +45,9 @@ FallbackOvernightIndex::FallbackOvernightIndex(const QuantLib::ext::shared_ptr<O
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iborFallbackIndex_ =
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std::make_unique<FallbackIborIndex>(originalIndex, rfrIndex, spread, switchDate, forwardingCurve);
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termStructure_ = iborFallbackIndex_->forwardingTermStructure();
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registerWith(originalIndex);
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registerWith(rfrIndex);
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registerWith(forwardingCurve);
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}
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} // namespace QuantExt

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