Re: [Quantlib-users] conventions for Estr

[Luigi B. <lui...@gm...>]

In other words: the Estr class only gives you the daily fixing of the
index, so it doesn't have any of the conventions for the swap.  It's like,
for instance, the Euribor class; it models the underlying floating index.
As Jonathan suggested, you can then create the OvernightIndexedSwap based
on Estr and with the conventions you need.

Hope this helps,
    Luigi


On Wed, Jun 1, 2022 at 8:29 PM Jonathan Sweemer <sw...@gm...> wrote:

> 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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