Rate Cutoff
Key Rate Cutoff in OiIbor Swap refers to an optional number N of cut-off days associated with the overnight leg.
Similar to the entry Rate Cutoff in OIS
If omitted, 1 is assumed, which amounts to the absence of the rate cutoff feature.
Key Rate Cutoff in OiIbor Swap refers to an optional number N of cut-off days associated with the overnight leg.
Similar to the entry Rate Cutoff in OIS
If omitted, 1 is assumed, which amounts to the absence of the rate cutoff feature.