Class ApproxForwardOvernightAveragedRateComputationFn

  • All Implemented Interfaces:

    public class ApproxForwardOvernightAveragedRateComputationFn
    extends Object
    implements RateComputationFn<OvernightAveragedRateComputation>
    Rate computation implementation for a rate based on a single overnight index that is arithmetically averaged.

    The rate already fixed are retrieved from the time series of the RatesProvider. The rate in the future and not in the cut-off period are computed by approximation. The rate in the cut-off period (already fixed or forward) are added.

    Reference: Overnight Indexes related products, OpenGamma documentation 29, version 1.1, March 2013.