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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);
     ...
 }
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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.

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  • $\begingroup$ Thanks Luigi. I think most cases it is fine. Like CME SOFR and NY Reserve both suggested MF convention for SOFR. $\endgroup$
    – Nick
    Oct 30, 2023 at 19:23

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