Merge branch 'master' into 'master'

update from master

Closes QPR-12253

See merge request qs/oreswig-github!7

Author: pcaspers

OREAnalytics-SWIG/Python/test/test_instruments.py

@@ -338,9 +338,10 @@ def setUp(self):
         self.LIBOR_index = USDLibor(Period(3, Months), self.LIBOR_term_structure)
         self.OIS_spread = 0.005
         self.LIBOR_spread = 0.0
+        self.spreadOnShort = True
         self.swap = OvernightIndexedBasisSwap(self.type, self.nominal, self.schedule, 
                                               self.OIS_index, self.schedule, self.LIBOR_index,
-                                              self.OIS_spread, self.LIBOR_spread)
+                                              self.spreadOnShort, self.OIS_spread, self.LIBOR_spread)
         self.engine = DiscountingSwapEngine(self.OIS_term_structure)
         self.swap.setPricingEngine(self.engine)
 
@@ -362,13 +363,13 @@ def testConsistency(self):
         fair_OIS_spread = self.swap.fairOvernightSpread()
         swap = OvernightIndexedBasisSwap(self.type, self.nominal, self.schedule, 
                                          self.OIS_index, self.schedule, self.LIBOR_index,
-                                         fair_OIS_spread, self.LIBOR_spread)
+                                         self.spreadOnShort, fair_OIS_spread, self.LIBOR_spread)
         swap.setPricingEngine(self.engine)
         self.assertFalse(abs(swap.NPV()) > tolerance)
         fair_LIBOR_spread = self.swap.fairIborSpread()
         swap = OvernightIndexedBasisSwap(self.type, self.nominal, self.schedule, 
                                          self.OIS_index, self.schedule, self.LIBOR_index,
-                                         self.OIS_spread, fair_LIBOR_spread)
+                                         self.spreadOnShort, self.OIS_spread, fair_LIBOR_spread)
         swap.setPricingEngine(self.engine)
         self.assertFalse(abs(swap.NPV()) > tolerance)
 
@@ -650,6 +651,7 @@ def setUp(self):
         self.date_generation = DateGeneration.Forward
         self.end_of_month = False
         self.include_spread = False
+        self.spreadOnShort = True
         self.sub_periods_type = SubPeriodsCoupon1.Compounding
         self.ois_term_structure = RelinkableYieldTermStructureHandle()
         self.short_index_term_structure = RelinkableYieldTermStructureHandle()
@@ -668,7 +670,7 @@ def setUp(self):
                                                self.long_index, self.long_index_leg_spread,
                                                self.short_index_schedule, self.short_index, 
                                                self.short_index_leg_spread, self.include_spread, 
-                                               self.sub_periods_type)
+                                               self.spreadOnShort, self.sub_periods_type)
         self.short_index_flat_forward = FlatForward(self.todays_date, 0.02, self.short_index.dayCounter())
         self.long_index_flat_forward = FlatForward(self.todays_date, 0.03, self.long_index.dayCounter())
         self.ois_flat_forward = FlatForward(self.todays_date, 0.01, self.day_counter)
@@ -703,7 +705,7 @@ def testConsistency(self):
                                           self.long_index, self.long_index_leg_spread,
                                           self.short_index_schedule, self.short_index, 
                                           fair_short_leg_spread, self.include_spread, 
-                                          self.sub_periods_type)
+                                          self.spreadOnShort, self.sub_periods_type)
         tenor_basis_swap.setPricingEngine(self.engine)
         self.assertFalse(abs(tenor_basis_swap.NPV()) > tolerance)
 

QuantExt-SWIG/SWIG/qle_instruments.i

@@ -137,8 +137,10 @@ class OvernightIndexedBasisSwap : public Swap {
                                     const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                     const QuantLib::Schedule& iborSchedule,
                                     const ext::shared_ptr<IborIndex>& iborIndex,
+                                    const bool spreadOnShort = true,
                                     QuantLib::Spread oisSpread = 0.0,
-                                    QuantLib::Spread iborSpread = 0.0);
+                                    QuantLib::Spread iborSpread = 0.0,
+                                    const bool telescopicValueDates = false);
     QuantLib::Real nominal() const ;
     const QuantLib::Schedule& oisSchedule();
     const QuantLib::Schedule& iborSchedule();

QuantExt-SWIG/SWIG/qle_tenorbasisswap.i

@@ -79,6 +79,7 @@ class TenorBasisSwap : public Swap {
                    const QuantLib::Period& shortPayTenor,
                    QuantLib::DateGeneration::Rule rule = QuantLib::DateGeneration::Backward,
                    bool includeSpread = false,
+                   bool spreadOnShort = true,
                    QuantExt::SubPeriodsCoupon1::Type type = QuantExt::SubPeriodsCoupon1::Compounding);
     TenorBasisSwap(QuantLib::Real nominal,
                    bool payLongIndex,
@@ -89,6 +90,7 @@ class TenorBasisSwap : public Swap {
                    const ext::shared_ptr<IborIndex>& shortIndex,
                    QuantLib::Spread shortSpread,
                    bool includeSpread = false,
+                   bool spreadOnShort = true,
                    QuantExt::SubPeriodsCoupon1::Type type = QuantExt::SubPeriodsCoupon1::Compounding);
     QuantLib::Real nominal() const;
     bool payLongIndex();