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Retain the pre-lockout fixing in telescopic overnight coupons - #3058
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Kiril1Shevtsov wants to merge 1 commit into
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Kiril1Shevtsov wants to merge 1 commit into
Kiril1Shevtsov wants to merge 1 commit into
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A telescopic overnight coupon with positive lockout can omit the observation immediately before the frozen tail. Its repeated tail fixings can then use a front-stub fixing instead of the last pre-lockout fixing. Retain one additional business-day observation when lockout is positive; the zero-lockout path is unchanged.
The existing overnight-leg NPV test encoded the wrong anchor. Update its reference using an independent daily SOFR deposit product and add an uncompressed-leg control, keeping the absolute tolerance at
1e-8.Validation against
cf74c9f657150750dfbf00ed6fd4c0768bc5ce36:-O1 -g0 -DNDEBUG, warnings as errors).This change addresses the missing pre-lockout anchor. Separate nonzero daily-spread discrepancies remain outside its scope; the broader control matrix still has 80 such failures. No claim is made for aged telescopic coupons or cutoffs inside an omitted middle interval.