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Key *Index* in Overnight Index Swap refers to the interest rate index object of type Overnight Rate.

Its realized value *I* at each business day during an overnight leg accrual period leads to an average rate *R* defined as (F - 1)/Δt, where *F* is the capitalization factor over the period, i.e. is the product over *i* of *1+I(i)Δ(i)* and *Δt* is the length of the respective accrual period.

Here *I(i)* is the fixing of *I* at the *i*th business day and *Δ(i)* is the time interval (expressed as year fraction) between two successive fixings.

The resulting rate *R* is used to calculate the respective cash flow amount *C* as *C = N(R+s)Δt*, where *N* is the applicable notional and *s* is some constant (spread).

Note the relevant time intervals are calculated using the daycount convention found in the overnight rate here.

The cash flow denomination currency is assumed to be that of the index.