OiOi Swap


OiOi Swap is a direct subtype of IRS
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with functions OiOi Swap Functions, keys OiOi Swap keys and example object OiOiSwp

TYPE INCLUSION RELATIONSHIPS

IRS

OiOi Swap

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Amort

Build Rule 1

Build Rule 2

Lookback 1

Lookback 2

Looking 1

Looking 2

Notional

ON Index 1

ON Index 2

Obs Lag 1

Obs Lag 2

Pmt Lag 1

Pmt Lag 2

Rate Cutoff 1

Rate Cutoff 2

Term Index 1

Term Index 2

Use Term Rate

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TYPICAL OBJECTS OF TYPE OiOi Swap

OiOiSwp

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This type represents an interest rate swap, whereby a certain average of an Overnight Rate is exchanged against a certain average of a perhaps different Overnight Rate in regular time intervals until the swap's maturity.
It may be regarded as a special case of IRS with the indices of both legs being of type OI Term Rate
It is also possible to use the keys Term Index 1 and Term Index 2 in order to have different overnight indices or related conventions applying across the periods of the overnight legs.