OiIbor Swap


OiIbor Swap is a direct subtype of IRS
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with functions OiIbor Swap Functions, keys OiIbor Swap keys and example object OiIbSwp

TYPE INCLUSION RELATIONSHIPS

IRS

OiIbor Swap

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Amort

Build Rule

Ibor Cap

Ibor Floor

Ibor Gearing

Ibor In Arrears

Ibor Index

Ibor Pmt Lag

Ibor Schedule

Ibor Spread

Lookback

Looking

Notional

ON Gearing

ON Index

ON Pmt Lag

ON Schedule

ON Spread

Obs Lag

Oi Leg Dir

Rate Cutoff

Term Index

Use Term Rate

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TYPICAL OBJECTS OF TYPE OiIbor Swap

OiIbSwp

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This type 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 across the periods of the overnight leg.