#755·QuantLib

comp spot val calc in overnight index future missing comp from eval to ref date

Author: lmchionCreated Jan 10, 2020Updated Apr 22, 2026
Labelshelp wanted

Hi Luigi/Peter, As discussed over email, the calculation of OvernightIndexFuture::compoundedSpotValue() needs to include the compound factor between evaluation and reference date.

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/futures/overnightindexfuture.cpp

Best,

Luis Chion