Deriscope

The Excel Derivatives Periscope

Fallback_Ibor_Oi_Table


Fallback Ibor Oi Table is a
direct subtype of Fallback Table with functions Fallback Ibor Oi Table Functions that represents specification data that define how a fallback rate of type OI Term Rate is constructed out of an original Ibor Rate
These data are in the form of a table, where each row governs the transition that affects the ibor index specified in the two columns titled #Ibor and #Tenor and leads to the internal intermediate construction of an object of type
Fallback Ibor Oi Def, which is in turn used to construct the OI Term Rate that replaces the affected ibor index.
Refer to
Fallback Ibor Oi Def for more details about the financial meaning of the various columns.
11 columns are expected that must bear the following titles:

#Ibor
This column must contain text labels from the list
Variant#1, which are the names of the non-overnight types in Ibor Rate::Ibor Type

#Tenor
This column must contain text labels prefixed with % - such as 1M that represent the tenor of the respective ibor.
In effect, the values here represent
trivial objects of type Step
An empty cell means the respective row's conventions apply to all tenors of the referenced ibor that are not explicitly represented in other rows.

#Overnight
This column must contain text labels from the list
Variant#2, which are the names of the overnight types in Ibor Rate::Ibor Type

#IborDC
This column must contain a number such as 360 or 365 that equals the number of days in a year denoted as DCᴸ in the ratio DCᴸ/DCᴿ that sets the RFR rate multiplier m as described in
Fallback Ibor Oi Def

#OvernightDC
This column must contain a number such as 360 or 365 that equals the number of days in a year denoted as DCᴿ in the ratio DCᴸ/DCᴿ that sets the RFR rate multiplier m as described in
Fallback Ibor Oi Def

#SpotLag
This column must contain a number that equals the Reference Spot Lag denoted as Δᴿ in
Fallback Ibor Oi Def

#OffsetLag
This column must contain a number that equals the Offset Lag denoted as Δᴼ in
Fallback Ibor Oi Def

#PmtLag
This column must contain a number that equals the Payment Lag denoted as Δᴾ in
Fallback Ibor Oi Def

#PmtLagCal
This column must contain the calendar associated with the payment lag in the form of a text label from the list
Variant#3

#PmtLagBump
This column must contain the date bump convention associated with the payment lag in the form of a text label from the list
Variant#4

#Cessation
This column must contain the cessation date of the respective ibor index, defined as the last date when the ibor index is still published.