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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.
It is possible to choose any specific yield curve for calculating the forward rates associated with the floating leg by specifying an optional Issuer that matches the issuer of that specific curve.
It is similarly possible to choose any specific yield curve for discounting purposes by specifying an optional Issuer that matches the issuer of that specific curve.
The following quantities may be also calculated and reported along the price.
All cash flows displayed in chronological order as a table with a maximum of 18 columns.
The column titles indicate the meaning of the respective data.
The column titled #Notional shows the notional that is relevant for determining the respective cash flow, which is the notional at the beginning of the accrual period.
In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.
The column titled #AdjIndex shows the adjusted index fixing, which equals the sum of the forecasted (forward) index plus a potential convexity adjustment that arises if the index is either non-ibor or sets in arrears.
The column titled #Rate shows the final rate that leads to the accrued amount after it is multiplied with the accrual period.
The column titled #Leg contains the index of the leg that contains the respective cash flow, where 1 stands for the first leg.
The column titled #InLegCF contains the index of the respective cash flow within the containing leg, where 1 stands for the first cash flow in that leg.
Refers to the output of QuantLib's fairRate function.
Refers to the output of QuantLib's fairSpread function.
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 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.
The output is a number that represents the price of the referenced tradable.