ON Index

Key ON Index in Yield Curve Ois refers to the overnight rate index associated with the floating leg.
In the case where both legs are floating, the index here refers to the one associated with the curve being implied (bootstrapped) when the market rates here are used in a curve construction.
It follows that no external curve should be ever supplied as input through any of the keys Leg2 Ibor Forc Crv or Leg2 OI Forc Crv in order to forecast the forward fixings of the index here, since the latter will become known only after the curve implied by the market rates here has been constructed.
In the two-floating-legs case again, the index of the other floating leg should be defined through one of the keys Leg2 Ibor or Leg2 OI depending on it being Ibor or Overnight, while the corresponding curve should be also supplied through one of the keys mentioned above so that its forward values can be calculated.

Expects an object of type Overnight Rate.
The daycount convention of this index also sets the daycount convention of the standard overnight leg.
It also sets the daycount convention of the other leg if it is fixed and the Leg2 DC is undefined.