lballabio
Add DatedSwapRateHelper
Also, move common functionality into SwapRateHelperBase to avoid duplication. Reuse it between vanilla and overnight swaps.
@lballabio I'll rebase this on top of the final version of #1911, so please only look at the second commit.
I wanted to get your feedback on the approach -- do you think this is worth it, or should I just copy-paste some code from SwapRateHelper? One nice thing here is that we get custom pillars support for DatedOISRateHelper for free and also fix some inconsistencies in how it sets dates.
I also noticed that I previously added forwardStart to DatedOISRateHelper by mistake (it has no effect). Do you think it's not too late to remove it?
coverage: 72.454% (-0.02%) from 72.477% when pulling c2662adf82182a18265d48f762f19979982a4305 on eltoder:feature/dated-swap-helper into 72012a72da1e3bce984a8e7784701390483fdee2 on lballabio:master.
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Hi Eugene, apologies from dropping the ball on this one---do you think it's possible to extract some utility function instead of using inheritance for reuse? It might (or might not) be simpler to read...
I'll take another look, but I doubt it. Most of the real work is already done by MakeVanillaSwap and MakeOIS. Rate helpers mostly do plumbing and use a lot of member variables, so factoring that into free functions is probably not going to help.