[Quantlib-users] AverageONIndexedCoupon vs OvernightIndexedCoupon in ORE

[Ioannis R. <qua...@de...>]

Hi Peter,

I am struggling to understand the reason for introducing the 
AverageONIndexedCoupon   given the existence of the ORE version of 
OvernightIndexedCoupon which has extended the same named QuantLib class 
to deal with rate cutoff, lookback etc.

As a matter of fact, the OvernightIndexedCoupon had a wider scope as one 
can see from its constructor that contains the same parameters as 
AverageONIndexedCoupon, but also the additional optional three below:

refPeriodStart
refPeriodEnd
includeSpread

The current situation is confusing as some classes link to 
AverageONIndexedCoupon  and others to OvernightIndexedCoupon

Ioannis


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