Function ois_averaged
fn ois_averaged(
name: &str,
index_code: &str,
calendar_center: &str,
fixed_day_count: DayCountFraction,
fixed_frequency: Frequency,
business_day_convention: BusinessDayConvention,
roll: RollConvention,
spot_lag_days: i32,
payment_lag_days: i32,
end_of_month: bool,
) -> OisTemplateExpand description
Averaged-overnight variant: identical to ois but the floating leg
averages its daily prints, Σ(rᵢ·τᵢ)/Στ, instead of compounding them.
This is the Fed Funds convention. The two differ by a few basis points over a quarter at ordinary levels — small, and entirely one-directional, so a leg built on the wrong one is wrong by a bias rather than by noise.