I have a couple of questions about the rateCutOffDaysOffset in the context of Overnight Index Swaps. 1. Can a rateCutOffDaysOffset be used in conjunction with a self-compounding floating rate index, e.g. EUR-EONIA-OIS-COMPOUND? On my reading, ISDA 2006 doesn’t allow for the Rate Cut-Off Date to affect the calculation of self-compounding floating rate indices. Furthermore, the definition of the rateCutOffDaysOffset in FpML appears to rely on us having a Reset Date for each fixing of the underlying overnight index that goes into the calculation of the compounded rate, but when we use a self-compounding floating rate index we only have one Reset Date per Calculation Period. 2. Does a rateCutOffDaysOffset of -1 business day make any sense? As far as I can see it’s equivalent to not specifying a rateCutOffDaysOffset at all, since the period is exclusive of the end date in any case (the last overnight fixing contributing to a Calculation Period should be that applicable to the business day preceding the period end date). Thanks in advance. Adrian
