Skip to main content

ois_leg

Function ois_leg 

fn ois_leg(
    currency: &str,
    index_code: &str,
    day_count: DayCountFraction,
    calendar_center: &str,
) -> XccyLegTemplate
Expand description

Overnight-compounded (OIS) cross-currency leg: Quarterly, EOM, Backward, ExclSprd, fixing_lag = 0 BD, pay_delay = 2 BD; the screens’ 1 BD rate cut-off is deliberately not modelled (see XccyLegTemplate).