OiIbor Swap


OiIbor Swap is a
direct subtype of IRS with functions OiIbor Swap Functions, keys OiIbor Swap keys and example object OiIbSwp that represents an interest rate swap, whereby a certain average of an Overnight Rate is exchanged against an ibor rate in regular time intervals until the swap's maturity.
It may be regarded as a special case of
IRS with the index of one leg being of type OI Term Rate and the index of the other leg being of type Ibor Rate
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.