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Model[Overnight_Index_Swap]

"Model[Overnight Index Swap]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Overnight Index Swap.
Note the present value of a Overnight Index Swap is independent of the stochastic evolution of the interest rates.
It only depends on forward overnight rates and discount factors observed today.
In general, the riskless
Yield Curve found in the supplied market data is used for both calculating the required forward overnight rates and discounting the resulting cash flows.
Nevertheless the user is able to specify here an optional
Issuer that identifies the yield curve to be used exclusively for calculating the forward overnight rates associated with the overnight leg.

The following quantities may be also calculated and reported along the price.
Fair Rate
Refers to the output of QuantLib's fairRate function.
Fair Spread
Refers to the output of QuantLib's fairSpread function.
Fixed Cash Flows
Set containing detailed information about the fixed leg cash flows that stem from an accruing rate as they are conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
Fixed Leg BPS
Refers to the output of QuantLib's fixedLegBPS function.
Returns the Net Present Value of the swap's fixed leg on a hypothetical notional of 1 and fixed rate of 1 bp.
Fixed Leg NPV
Refers to the output of QuantLib's fixedLegNPV function.
Returns the Net Present Value of the swap's fixed leg.
Overnight Cash Flows
Set containing detailed information about the overnight leg cash flows that stem from the accruing average overnight rate as they are conveyed directly from QuantLib.
Note the inclusion of the daily fixings of the overnight index are included only if Overnight Index Swap::Full Cash Flow Details = true
It holds an object of type
Set where each row corresponds to a cash flow.
Overnight Leg BPS
Refers to the output of QuantLib's overnightLegBPS function.
Overnight Leg NPV
Refers to the output of QuantLib's overnightLegNPV function.
Returns the Net Present Value of the swap's overnight leg.
Price
The output refers to the price of the referenced tradable contract.