Tom Anderson

Have changed things around, so the test for enforcesTodaysHistoricFixings is only applied if the refDate is the evaluation date.

I started again from scratch, with tests this time. The implementation is similar but not identical. This version does not take a reference date (yet). I'm still thinking about that.

Apparently one build hasn't finished yet: > build (Clang 16, clang16, mantic, clang, clang++, true) Expected — Waiting for status to be reported Which by now presumably means it's dead...

Another road here would be to revisit the idea of a base type for interest rate swaps (#662). I agree that it seems janky to have two fields for the...

Would be nice to exploit this in OISRateHelper as well.

Also, CORRA OIS has 1 settlement day!

In case anyone else is interested, the chapter and verse from [the CME rulebook](https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/IV/400/461.pdf) is: > 46103.A. Final Settlement Price > > The final settlement price for an expiring contract...

I am working on implementing it in my fork - i have raised a PR for an enabling change, and will perhaps raise more, and will show you what i...

I had a look at this, and i think there is a fairly simple change. In CashFlows::npvbps, we currently have: ``` if (cp != nullptr) bps += cp->nominal() * cp->accrualPeriod()...

Edits: * Should be be `hasFixed(settlementDate)`. * Should be `settlementDate > cp->accrualEndDate() ? 0 : cp->accrualPeriod() - cp->accruedPeriod(settlementDate)`, because accruedPeriod drops back to zero after accrual finishes. There are probably...