Hi OG team,
The OvernightRateCalculation and associated implementations of RateComputationFn do not support RFR features such as the “Lookback” or the “Observation Period Shift” (referenced in ISDA 2021, Documenting RFR derivatives using different approaches to compounding/averaging under the 2006 ISDA definitions).
Are there any plans to support this functionality? If so, is it likely to be available in any upcoming releases?
Thank you,
Paul