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

[Luigi B. <lui...@gm...>]

Hello,
    no, unfortunately rate cutoff is not implemented yet.  I think it's for
coupons that end on a holiday, but I don't know if that's an ISDA rule.

Luigi

On Mon, Jan 30, 2023 at 1:16 PM Ioannis Rigopoulos <qua...@de...>
wrote:

> 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
> >
>
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