Why QuantLib OIS Rate Helpers Use Modified Following

Summary

The document explains why QuantLib’s OIS rate helper applies the Modified Following business-day convention when it builds a payment schedule. The convention is fixed in the helper’s schedule construction, so users cannot select another convention through an argument to that interface.

The response attributes this choice to the helper’s history as a convenience for creating standard OIS contracts in several currencies, where Modified Following is the customary convention. It does not claim that every OIS contract must use this rule. For contracts with different requirements, the suggested path is to request an API change through the project’s issue tracker. The discussion provides no implementation workaround, comparative analysis of calendar conventions, or evidence beyond this explanation, so it is primarily useful to QuantLib users who need to understand the helper’s design limitation.

Key ideas

• The OIS rate helper constructs its schedule with Modified Following fixed in the implementation.
• The convention reflects standard OIS practices in the currencies the helper was designed to support.
• The document does not establish that all OIS contracts use Modified Following.
• Users who need a configurable convention are advised to request an API change.

Tags

# Why the biz day convention of OIS Rate helper is hard coded as Modified Following in QL?


# Why the biz day convention of OIS Rate helper is hard coded as Modified Following in QL?












I am using QuantLib OIS Rate Helpers, and traced schedule creation back to the following function, and noticed that the business convention is hard coded as MF. Is the biz day convention hard coded because OIS is always MF. Or anyway I can create schedule by argument?

```
MakeOIS::operator ext::shared_ptr<OvernightIndexedSwap>() const {
...
     Schedule schedule(startDate, endDate,
                       Period(paymentFrequency_),
                       calendar_,
                       ModifiedFollowing,
                       ModifiedFollowing,
                       rule_,
                       usedEndOfMonth);
     ...
 }
```

## Answer by Luigi Ballabio (score 1)

https://quant.stackexchange.com/a/77199

It's probably for historical reasons. That class started out as a convenience for creating "standard" OIS in a few currencies, for which the convention is indeed MF.

If you need that parameter to be modifiable, I suggest you open an issue in the QuantLib GitHub repository.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.