[Quantlib-users] Out of box OIS swaption / pricing engine?

[Wei Li <ttl...@gm...>]

Dear All,

I am investigating how to price a modified version of overnight indexed
swaption using black model based on QuantLib released version 1.23. From
what I can see, both engines defined in blackswaptionengine.hpp, namingly,
BlackStyleSwaptionEngine and BachelierSwaptionEngine, inherit from
Swaption::engine, and the underlying of Swaption is of type VanillaSwap.
There is actually another OvernightIndexedSwap class parallel to
VanillaSwap. Does it mean that I have to create both OIS swaption class as
well as BlackStyleSwaptionEngine classes for it? I feel that most of the
code would be the same as VanillaSwap/Swaption/original
BlackStyleSwaptionEngine. So am I understanding it wrongly? Or is it
feasible to create base classes for general Swaption/SwaptionEngine? A
question from the other side, what's preventing us from merging both
VanillaSwap and OvernightIndexedSwap and delegating the job of calculating
the applied-rate (I might be missing something of the essence)?

Cheers,
Wei