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

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

Hi Tom,

It is a financial feature part of the OIS term sheet and called "Rate 
Cutoff". I have written about this at 
https://www.deriscope.com/products/Key_OI_Term_Rate__Rate_Cutoff.html

Regards,

Ioannis

On 1/30/2023 12:38 PM, Tom Anderson wrote:
> 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
>

-- 
Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft.
www.avast.com