The Excel Derivatives Periscope



Overnight Index Swap is a Tradable that represents an interest rate swap, whereby a fixed interest rate is exchanged for a certain Overnight Rate in regular time intervals until the swap's maturity.
The notional is allowed to be time-dependent.
Each cash flow of the overnight leg is based on a time-weighted geometric average of the fixings of some predefined
Overnight Rate during each accrual period.
The resulting average may be incremented by a fixed spread before it is used in the calculation of the cash flow amount.
More details on the calculation of the time-weighted geometric average and the resulting cash flows are available in

The pricing methodology is specified in
Model[Overnight Index Swap]

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