Overnight Index Swap Demo Object
TYPE
OIS
FxdFlt IRS
IRS
Swap
Tradable
Type
Use Term Rate
true
false
ON Index
Sofr
Build Rule
Compound
Average
Obs Lag
0
Lookback
0
Rate Cutoff
1
Is ATM
true
false
Notional
1
Amort
Ois Amort
_Term Index
OiTermRt
In parent: FxdFlt IRS
-Int Rate Type
CMS
CMS Spread
Fixed
Libor
OI Term
Index
OiTermRt
Gearing
1
Spread
0
Floor
Cap
Flt Schedule
Ois Schedule
Flt Pmt Lag
2B{US_GOVBOND}
Flt Notional
1
Flt Amort
Ois Amort
Fxd Rates
0.04
Fxd Schedule
Ois Schedule
Fxd Pmt Lag
2B{US_GOVBOND}
Fxd Notional
1
Fxd Amort
Ois Amort
Fxd Leg Dir
PAY
REC
In parent: IRS
-Define Currencies
true
false
-Index Type 1
CMS
CMS Spread
Fixed
Libor
OI Term
-Index Type 2
CMS
CMS Spread
Fixed
Libor
OI Term
Currency 1
USD
Currency 2
USD
Index 1
Index 2
OiTermRt
Notional 1
1
Notional 2
1
Gearings 1
1
Spreads 1
0.04
Floors 1
Caps 1
Schedule 1
Ois Schedule
Pmt Lag 1
2B{US_GOVBOND}
Amort 1
Ois Amort
-Define FX Reset 1
true
false
Gearings 2
1
Spreads 2
0
Floors 2
Caps 2
Schedule 2
Ois Schedule
Pmt Lag 2
2B{US_GOVBOND}
Amort 2
Ois Amort
-Define FX Reset 2
true
false
Leg1 Dir
PAY
REC
Init Exchange
true
false
Final Exchange
true
false
_Notionals 1
_Notionals 2
In parent: Tradable
ID
Ledger Entry
Settle
0D
_Dynamic
true
false
_CashFlows