Yield Curve Ois


Yield Curve Ois is a
direct subtype of Yield Curve Input with functions Yield Curve Ois Functions, keys Yield Curve Ois keys and example object YldCrvOis that represents market rates of overnight index swaps that may be used as input to a yield curve construction.

Web blog examples
here and here and here

Technically, the mentioned curve is created by feeding an object of this type as value next to the key
Market Data in the formula that creates the Yield Curve object.
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.