OIS


OIS is a
direct subtype of FxdFlt IRS with functions OIS Functions, keys OIS keys and example object OIS#1 that represents an interest rate swap, whereby a fixed interest rate is exchanged for a certain Overnight Rate in regular time intervals until the swap's maturity.
It may be regarded as a special case of
FxdFlt IRS with the index being of type OI Term Rate
The notional is allowed to be time-dependent.
It is also possible to use the key
Term Index in order to have different overnight indices or related conventions applying accross the periods of the overnight leg.

Each cash flow of the overnight leg is based on a time-weighted compounded or arithmetic average of the fixings of some predefined
Overnight Rate during the respective accrual accrual period, as described in detail at OI Term Rate
The resulting average may be multiplied by some factor and then incremented by a fixed spread before it is used in the calculation of the cash flow amount.
More details on the calculation of the time-weighted average and the resulting cash flows are available in
ON Index

The pricing methodology is specified in
Model[IRS]