Re: [Quantlib-users] conventions for Estr

[Jonathan S. <sw...@gm...>]

Hi Victoria,

The definition of overnight indexes in QuantLib just takes the settlement
days, currency, fixing calendar, and day counter - you can find the values
for Estr here:

https://github.com/lballabio/QuantLib/blob/master/ql/indexes/ibor/estr.cpp#L28

If you want to model Estr swaps using QuantLib, then there are some test
cases for Eonia that you can modify to reflect the deal terms you need.

https://github.com/lballabio/QuantLib/blob/master/test-suite/overnightindexedswap.cpp#L180


On Tue, May 31, 2022 at 10:37 PM Victoria Titon <vic...@we...>
wrote:

> Hello,
>
> I would like to know if the QuantLib implementation of ql.Estr is done
> with these conventions:
> Floating leg: DAILY compounding, Annual payment, Actual360
> Fixed leg: Fix rate, Annual payment, Actual360
>
> Thanks in advance.
>
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