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

[Peter C. <pca...@gm...>]

Well you are still right - QuantLib::OvernightIndexedCoupon does
support arithmetic averaging (for 2 years now) while we built a
separate coupon class for this (ages ago). So this is another
opportunity for consolidation.
Thank you
Peter

On Sat, 29 Oct 2022 at 15:58, Ioannis Rigopoulos <qua...@de...> wrote:
>
> 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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