Lookback


Key Lookback in
OI Term Rate refers to an optional number ε of lookback days as defined in OI Term Rate
If omitted, 0 is assumed, which amounts to the absence of the lookback feature.
Note that a non-zero setting has the side effect that the presence of a non-trivial
Build Approx setting in a pricing context will not be respected as in this case the overnight rates over all daily intervals need to be used in the computation of the composite index.