[Quantlib-users] OvernightIndexedCouponPricer::averageRate when "the last fixing is not used for its full period"

[Tom A. <tw...@ur...>]

Hello,

I have a rather basic question. OvernightIndexedCouponPricer::averageRate 
has a special case for when "the last fixing is not used for its full 
period":

https://github.com/lballabio/QuantLib/blob/38bf3fa4a728d82a9975b2ae5fb86eee0433f3ce/ql/cashflows/overnightindexedcoupon.cpp#L107

Is this for when the coupon ends on a day that is not a business day? 
Looking at how the list of dates is put together (in the telescopic case), 
that seems to be the only reason the last date would not be the end of the 
accrual period:

https://github.com/lballabio/QuantLib/blob/38bf3fa4a728d82a9975b2ae5fb86eee0433f3ce/ql/cashflows/overnightindexedcoupon.cpp#L188

If so, out of interest, does this ultimately flow from ISDA rules for 
OISs, or is this just financial common sense?

Thanks,
tom

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