OiOi Swap


OiOi Swap is a
direct subtype of IRS with functions OiOi Swap Functions, keys OiOi Swap keys and example object OiOiSwp that 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 accross the periods of the overnight legs.