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ois_averaged

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,
) -> OisTemplate
Expand 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.