Overnight Indexed Swap (OIS) vs. SARON

[RogKle]

The valuation of Switzerland's OIS vs. SARON has to consider a "Pay Lag". This means that a payment happens not on the "Accrual End Date" but - in case of Switzerland - two business days later. Therefore a "Pay Lag" should be implemented in the schedule for the fixed and floating leg and in the qlOISRateHelper. It seems that the original OISRateHelper class does already provide a parameter to enter the payment lag, at least in the latest release, but it can't be used form qlOISRateHelper in Excel.

[RogKle]

I'm sorry, but I'm still waiting for an answer to my comment.

[eehlers]

this would require a volunteer to implement the change and contribute it. you might try the quantlib-users mailing list:

https://sourceforge.net/p/quantlib/mailman/quantlib-users/

[bnalgo]

I was doing some other QL addin work so picked this up -- see eehlers/QuantLibAddin-Old#5

[eehlers]

many thanks, i will look at this when i package the next release.

[RogKle]

many thanks as well! What about the function qlSchedule to value a running OIS by using qlOvernightIndexedSwap?