Class ForwardOvernightCompoundedRateComputationFn

  • All Implemented Interfaces:

    public class ForwardOvernightCompoundedRateComputationFn
    extends Object
    implements RateComputationFn<OvernightCompoundedRateComputation>
    Rate computation implementation for a rate based on a single overnight index that is compounded.

    Rates that are already fixed are retrieved from the time series of the RatesProvider. Rates that are in the future and not in the cut-off period are computed as unique forward rate in the full future period. Rates that are in the cut-off period (already fixed or forward) are compounded.