Term Index


Key Term Index in
OIS refers to the floating rate index object of type OI Term Rate referenced by the floating leg.
Several values may be also entered here in the form of a
1D-array
At the end of each floating leg period, its value is calculated as the average rate R of the overnight index I over that period and used to calculate the respective cash flow amount as described at
OI Term Rate
If n values are provided, then the first n cash flows are paired with the provided n values in successive order.
If any cash flows are left over, they will use the last value.