Tenor


Key Tenor in
Term Rate refers to the rate's "spanning period" Δ that - in a given context - implies the "spanning time interval" [T₁,T₂], as described at Term Rate
The exact start and end dates of that interval are also determined by the settlement conventions defined in
Settlement
Expects an object of type
Step.
It is possible to leave this entry undefined, in which case Δ becomes context-dependent and is assumed to equal the applicable accrual period where the rate here is used.
This is - for example - the case of
OI Term Rate used as the floating index in an OIS, where it is often desirable that the respective overnight index is compounded over a spanning period that either matches or derived from the corresponding accrual period of a given floating leg.