Yield Curve Ois


Yield Curve Ois is a direct subtype of Yield Curve Input
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with functions Yield Curve Ois Functions, keys Yield Curve Ois keys and example object YldCrvOis

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Ois

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Build Approx AA

Build Approx CA

Build Rule

Disc Crv

EOM

Leg2 Build Approx AA

Leg2 Build Approx CA

Leg2 Build Rule

Leg2 DC

Leg2 Ibor

Leg2 Ibor Forc Crv

Leg2 Lookback

Leg2 OI

Leg2 OI Forc Crv

Leg2 Obs Lag

Leg2 Pmt Lag

Leg2 Rate Cutoff

Lookback

OIS Type

ON Index

Obs Lag

Pillar Choice

Pmt Freq

Pmt Lag

Rate Cutoff

Set

Settle Days

</defs>

TYPICAL OBJECTS OF TYPE Yield Curve Ois

YldCrvOis

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This type represents market rates of overnight index swaps that may be used as input to construct a curve (i.e. an object of type Yield Curve), referred to as TARGET CURVE below.

Web blog examples here and here and here

Technically, the TARGET CURVE is created by feeding an object of the Yield Curve Ois type as value next to the key Market Data in the formula that creates the TARGET CURVE
The swaps can be of any type in the list OIS Type

Dual bootstrapping is also supported through the additional input of an exogenous discounting yield curve.