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.