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

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

If you allow me to comment on the type of "relationship" between 
QuantLib and ORE as it has evolved over the years, the crucial time 
point was when it was decided that ORE would be set up as a distinct 
project on a different repository.

The rationale back then was clear and was based on gaining speed of new 
code development unhampered by the legacy constraints of a widely used 
QuantLib.

The present success of ORE has proven that this was a good decision at 
least from the perspective of the initial goals, which were about 
putting together as quickly as possible code capable for pricing 
specific exotics and - mainly - calculating XVA.

On the other hand, it seems to me that the long term cost of that 
decision starts appearing now. In reality, ongoing natural and almost 
inescapable forces point to the direction of a wider separation rather 
than consolidation of the two libraries.

On the long term this trend could prove detrimental for ORE since the 
main pool of open source developers seem to be focusing on QuantLib.

 From my perspective as a user of both libraries, the optimal future 
path would be in the direction where ORE would be brought inside 
QuantLib, but I realize this might be technically way too difficult at 
this point.

Ioannis

On 10/30/2022 9:28 AM, Peter Caspers wrote:
> 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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