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
Source: lballabio/QuantLib