Using IMM-rolls swaps to build curves
As far as i can tell, neither SwapRateHelper nor OISRateHelper take a DateGeneration::Rule parameter, and so always default to backward date generation. This means they can't be used to incorporate quotes for IMM-rolls swaps into curves, which we sometimes want to do.
We've used the magic of copy and paste to make a version of SwapRateHelper which allows customisation of the date generation rule, and it seems to work fine. We now face the need to do this again for OISRateHelper.
Could these helpers be enhanced to support custom date generation rules? I am happy to write a PR if you think this is sensible.
In a sense, this is a distant sequel to #318. Is there a policy that all the options in MakeVanillaSwap / MakeOIS should be exposed in the corresponding helpers? If so, should we ensure that is the case?
More speculatively, is there a way to avoid having to do this manually? Keeping the instruments and the helpers in sync by hand is something of a burden.
Source: lballabio/QuantLib