added rate cut off in OIS conventions. genrall assumüption rco being 1

Author: Borgomi42

Examples/Input/conventions.xml

@@ -889,6 +889,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>DKK-OIS-CONVENTIONS</Id>
@@ -901,6 +902,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>SEK-OIS-CONVENTIONS</Id>
@@ -913,6 +915,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>CHF-OIS-CONVENTIONS</Id>
@@ -925,6 +928,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>CHF-OIS-SARON-CONVENTIONS</Id>
@@ -937,6 +941,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>USD-OIS-CONVENTIONS</Id>
@@ -949,6 +954,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <AverageOIS>
     <Id>USD-AVERAGE-OIS-CONVENTIONS</Id>
@@ -973,6 +979,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>JPY-OIS-CONVENTIONS</Id>
@@ -985,6 +992,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <OIS>
     <Id>CAD-OIS-CONVENTIONS</Id>
@@ -997,6 +1005,7 @@
     <FixedConvention>Following</FixedConvention>
     <FixedPaymentConvention>Following</FixedPaymentConvention>
     <Rule>Backward</Rule>
+    <RateCutoff>1</RateCutoff>
   </OIS>
   <!-- Tenor Basis Swaps -->
   <TenorBasisTwoSwap>