Re: [Quantlib-users] AverageONIndexedCoupon vs OvernightIndexedCoupon in ORE

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

I am sorry. Please ignore below. The AverageONIndexedCoupon obviously 
deals with the arithmetic average accrual calculation versus the more 
common compounding average.

On 10/29/2022 3:44 PM, Ioannis Rigopoulos wrote:
> 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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