Class OvernightAveragedDailyRateComputation

  • All Implemented Interfaces:
    OvernightRateComputation, RateComputation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class OvernightAveragedDailyRateComputation
    extends Object
    implements OvernightRateComputation, org.joda.beans.ImmutableBean, Serializable
    Defines the computation of an averaged daily rate for a single Overnight index.

    An interest rate determined directly from an Overnight index by averaging the value of each day's rate over the period strictly between the start date and end date.

    The start date and end date can be non-business days. The average is taken on calendar days between the start and end dates.

    If a day in the period is not a business day on the fixing calendar of the Overnight index, the overnight rate fixed on the previous business day is used.

    For example, a rate determined averaging values from 'USD-FED-FUND'.

    See Also:
    Serialized Form