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

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

Ah you are completely right, got you now!
Thank you
Peter

Luigi Ballabio <lui...@gm...> schrieb am Do. 13. Apr. 2023 um
17:45:

> Hi Peter, I guess
>
>      compoundFactor *= (1.0 + fixing * span);
>
> is not the usual factor of the telescopic product because the span is not
> the one underlying the fixing?  I'm not sure how much of a difference it
> makes, though.
>
> On Thu, Mar 30, 2023 at 10:51 AM Peter Caspers <pca...@gm...>
> wrote:
>
>> Quick question on this: I am looking at this code
>>
>>                         // The last fixing is not used for its full
>> period (the date is between its
>>                         // start and end date).  We can use the
>> telescopic formula until the previous
>>                         // date, then we'll add the missing bit.
>>                         const DiscountFactor endDiscount =
>> curve->discount(valueDates[n-1]);
>>                         compoundFactor *= startDiscount / endDiscount;
>>
>>                         Rate fixing = index->fixing(fixingDates[n-1]);
>>                         Time span =
>> index->dayCounter().yearFraction(valueDates[n-1], date);
>>                         compoundFactor *= (1.0 + fixing * span);
>>
>> and I am wondering why we don't just do
>>
>>                         const DiscountFactor endDiscount =
>> curve->discount(date);
>>                         compoundFactor *= startDiscount / endDiscount;
>>
>> instead, i.e. what is the benefit of separating out the last fixing
>> and compute its contribution exactly while we use the telescopic
>> approximation for all previous fixings anyway?
>>
>> Thanks
>> Peter
>>
>>
>>
>> On Tue, 28 Mar 2023 at 16:11, Luigi Ballabio <lui...@gm...>
>> wrote:
>> >
>> > 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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