Issue with MakeOIS when settlement_day=0, tenor is in days and evaluationDate is EOM.

[kozyarchuk]

You can use the following snippet to reproduce.

tenor = ql.Period('336d') index = ql.Sofr()

ql.Settings.instance().evaluationDate = ql.Date(30, 1, 2025) print( ql.MakeOIS(tenor, index, 0.01, settlementDays=0).maturityDate()) -> January 2nd, 2026

ql.Settings.instance().evaluationDate = ql.Date(31, 1 , 2025) print( ql.MakeOIS(tenor, index, 0.01, settlementDays=0).maturityDate()) -> June 8th, 2026

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[lballabio]

I'm not sure that passing a tenor as a number of business days is a meaningful case to support. Was this an attempt at specifying a custom maturity date? If so, you can use

ql.MakeOIS(ql.Period(), index, 0.01, effectiveDate=start, terminationDate=maturity, settlementDays=0)

which lets you specify the start and end dates explicitly.

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This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

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