Overnight_Index_Swap

The notional is allowed to be time-dependent.

Each cash flow of the overnight leg is based on a time-weighted geometric average of the fixings of some predefined Overnight Rate during each accrual period.

The resulting average may be incremented by a fixed spread before it is used in the calculation of the cash flow amount.

More details on the calculation of the time-weighted geometric average and the resulting cash flows are available in Key Overnight Index Swap::Index

The pricing methodology is specified in Model[Overnight Index Swap]

No QuantLib issues have been identified: