OvernightIndexedSwap
Description
Create and price an OvernightIndexedSwap
instrument object
for one or more Overnight Indexed Swap (OIS) instruments using this
workflow:
Use
fininstrument
to create anOvernightIndexedSwap
instrument object for one or more OIS instruments.Use
ratecurve
to specify a curve model for theOvernightIndexedSwap
instrument object.Use
finpricer
to specify aDiscount
pricing method for one or moreOvernightIndexedSwap
instruments when using aratecurve
object.
Create an OvernightIndexedSwap
instrument object for one or more
OIS instruments to use in curve construction using this workflow:
Use
fininstrument
to create anOvernightIndexedSwap
instrument object for one or more OIS instruments.Use
irbootstrap
to create an interest-rate curve (ratecurve
) for one or moreOvernightIndexedSwap
instruments.
For more information on these workflows, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for an
OvernightIndexedSwap
instrument, see Choose Instruments, Models, and Pricers.
Creation
Syntax
Description
creates a OvernightIndexedSwapInst
= fininstrument(InstrumentType
,Maturity
=maturity_date,LegRate
=leg_rate)OvernightIndexedSwap
object for one or more OIS
instruments by specifying InstrumentType
and sets the
properties for the required
name-value arguments Maturity
and
LegRate
. The
OvernightIndexedSwap
instrument supports vanilla
Overnight Indexed Swaps, amortizing Overnight Indexed Swaps, and forward
Overnight Indexed Swaps.
sets optional properties using additional
name-value arguments in addition to the required arguments in the previous
syntax. For example, OvernightIndexedSwapInst
= fininstrument(___,Name=Value
)OvernightIndexedSwapInst =
fininstrument("OvernightIndexedSwap",Maturity=datetime(2019,1,30),LegRate=[0.06
0.12],LegType=["fixed","fixed"],Basis=1,Notional=100,StartDate=datetime(2018,1,30),DaycountAdjustedCashFlow=true,BusinessDayConvention="follow",ProjectionCurve=ratecurve,Name="overnight_indexed_swap_instrument")
creates an OvernightIndexedSwap
instrument with a
maturity of January 30, 2019. You can specify multiple name-value
arguments.
Input Arguments
InstrumentType
— Instrument type
string with value "OvernigntIndexedSwap"
| string array with values of
"OvernigntIndexedSwap"
| character vector with value
'OvernigntIndexedSwap'
| cell array of character vectors with values of
'OvernigntIndexedSwap'
Instrument type, specified as a string with the value of
"OvernigntIndexedSwap"
, a character vector with
the value of 'OvernigntIndexedSwap'
, an
NINST
-by-1
string array with
values of "OvernigntIndexedSwap"
, or an
NINST
-by-1
cell array of
character vectors with values of
'OvernigntIndexedSwap'
.
Data Types: char
| cell
| string
Specify required
and optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where
Name
is the argument name and Value
is
the corresponding value. Name-value arguments must appear after other arguments,
but the order of the pairs does not matter.
Example: OvernightIndexedSwapInst =
fininstrument("OvernightIndexedSwap",Maturity=datetime(2019,1,30),LegRate=[0.06
0.12],LegType=["fixed","fixed"],Basis=1,Notional=100,StartDate=datetime(2018,1,30),DaycountAdjustedCashFlow=true,BusinessDayConvention="follow",ProjectionCurve=ratecurve,Name="overnight_indexed_swap_instrument")
OvernightIndexedSwap
Name-Value
ArgumentsMaturity
— Swap maturity date
datetime array | string array | date character vector
Swap maturity date, specified as Maturity
and a
scalar or an NINST
-by-1
vector
using a datetime array, string array, or date character
vectors.
To support existing code, OvernightIndexedSwap
also
accepts serial date numbers as inputs, but they are not recommended.
If you use date characters vector or strings, the format must be
recognizable by datetime
because
the Maturity
property is stored as a
datetime.
LegRate
— Leg rate in decimal values
matrix
Leg rate in decimal values, specified as
LegRate
and a
NINST
-by-2
matrix. Each
row can be defined as one of the following:
[CouponRate Spread]
(fixed-float)[Spread CouponRate]
(float-fixed)[CouponRate CouponRate]
(fixed-fixed)[Spread Spread]
(float-float)
CouponRate
is the decimal annual rate.
Spread
is the number of basis points in
decimals over the reference rate. The first column represents the
receiving leg, while the second column represents the paying
leg.
Data Types: double
OvernightIndexedSwap
Name-Value
ArgumentsLegType
— OvernightIndexedSwap
leg type
["fixed","float"]
for each
instrument (default) | cell array of character vectors with values
{'fixed','fixed'}
,
{'fixed','float'}
,
{'float','fixed'}
, or
{'float','float'}
| string array with values ["fixed","fixed"]
,
["fixed","float"]
,
["float","fixed"]
, or
["float","float"]
OvernightIndexedSwap
leg type, specified as
LegType
and a cell array of character vectors
or a string array with the supported values. The
LegType
defines the interpretation of the
values entered in LegRate
.
Data Types: cell
| string
ProjectionCurve
— Rate curve for projecting floating cash flows
ratecurve.empty
(default) | scalar ratecurve
object | vector of ratecurve
objects
Rate curve for projecting floating cash flows, specified as
ProjectionCurve
and a scalar
ratecurve
object or an
NINST
-by-1
vector of
ratecurve
objects. You must create this
object using ratecurve
. Use
this optional input if the forward curve is different from the
discount curve.
Data Types: object
Reset
— Frequency of payments per year
[2 2]
(default) | numeric value of 0
, 1
,
2
, 3
,
4
, 6
, or
12
| matrix
Frequency of payments per year, specified as
Reset
and a scalar or a
NINST
-by-2
matrix if
Reset
is different for each leg) with one of
the following values: 0
, 1
,
2
, 3
,
4
, 6
, or
12
.
Data Types: double
Basis
— Day count basis representing the basis for each leg
[0 0]
(actual/actual) (default) | integer from 0
to
13
Day count basis representing the basis for each leg, specified as
Basis
and a
NINST
-by-1
matrix (or
NINST
-by-2
matrix if
Basis
is different for each leg).
0 — actual/actual
1 — 30/360 (SIA)
2 — actual/360
3 — actual/365
4 — 30/360 (PSA)
5 — 30/360 (ISDA)
6 — 30/360 (European)
7 — actual/365 (Japanese)
8 — actual/actual (ICMA)
9 — actual/360 (ICMA)
10 — actual/365 (ICMA)
11 — 30/360E (ICMA)
12 — actual/365 (ISDA)
13 — BUS/252
For more information, see Basis.
Data Types: double
Notional
— Notional principal amount
100
(default) | scalar numeric | numeric vector
Notional principal amount, specified as
Notional
and a scalar numeric or an
NINST
-by-1
numeric
vector.
Notional
accepts a scalar for a principal
amount (or a NINST
-by-2
matrix
if Notional
is different for each leg).
Data Types: double
HistoricalFixing
— Historical fixing data
timetable.empty
(default) | timetable
Historical fixing data, specified as
HistoricalFixing
and a timetable.
Note
If you are creating one or more
OvernightIndexedSwap
instruments and use
a timetable, the timetable specification applies to all of the
OvernightIndexedSwap
instruments.
HistoricalFixing
does not accept an
NINST
-by-1
cell array
of timetables as input.
Data Types: timetable
ResetOffset
— Lag in rate setting
[0 0]
(default) | vector
Lag in rate setting, specified as ResetOffset
and a NINST
-by-2
matrix.
Data Types: double
PaymentDelay
— Lag in payment
[0 0]
(default) | matrix
Since R2024a
Lag in payment, specified as an
NINST
-by-2
matrix.
Data Types: double
BusinessDayConvention
— Business day conventions
"actual"
(default) | string | string array | character vector | cell array of character vectors
Business day conventions, specified as
BusinessDayConvention
and string (or
NINST
-by-2
string array if
BusinessDayConvention
is different for each
leg) or a character vector (or
NINST
-by-2
cell array of
character vectors if BusinessDayConvention
is
different for each leg). The selection for business day convention
determines how nonbusiness days are treated. Nonbusiness days are
defined as weekends plus any other date that businesses are not open
(for example, statutory holidays). Values are:
"actual"
— Nonbusiness days are effectively ignored. Cash flows that fall on nonbusiness days are assumed to be distributed on the actual date."follow"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day."modifiedfollow"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day. However, if the following business day is in a different month, the previous business day is adopted instead."previous"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day."modifiedprevious"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day. However, if the previous business day is in a different month, the following business day is adopted instead.
Data Types: char
| cell
| string
Holidays
— Holidays used in computing business days
NaT
(default) | datetime array | string array | date character vector
Holidays used in computing business days, specified as
Holidays
and dates using an
NINST
-by-1
vector of a
datetime array, string array, or date character vectors. For
example:
H = holidays(datetime('today'),datetime(2025,12,15)); OvernightIndexedSwapInst = fininstrument("OvernightIndexedSwap",Maturity=datetime(2025,12,15),LegRate=[0.06 20],Holidays=H)
To support existing code, OvernightIndexedSwap
also
accepts serial date numbers as inputs, but they are not recommended.
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month with 30
or fewer days
[true true]
(in effect) (default) | logical with value of true
or
false
End-of-month rule flag for generating dates when
Maturity
is an end-of-month date for a month
with 30 or fewer days, specified as EndMonthRule
and a logical value of true
or
false
using a
NINST
-by-1
matrix (or
NINST
-by-2
matrix if
EndMonthRule
is different for each leg).
If you set
EndMonthRule
tofalse
, the software ignores the rule, meaning that a payment date is always the same numerical day of the month.If you set
EndMonthRule
totrue
, the software sets the rule on, meaning that a payment date is always the last actual day of the month.
Data Types: logical
DaycountAdjustedCashFlow
— Flag to adjust cash flows based on actual period day count
[false false]
(default) | logical value of true
or
false
| vector of logical values of true
or
false
Since R2024a
Flag to adjust cash flows based on actual period day count,
specified as DaycountAdjustedCashFlow
and a
NINST
-by-1
matrix (or
NINST
-by-2
matrix if
DaycountAdjustedCashFlow
is different for
each leg) of logicals with values of true
or
false
.
Data Types: logical
StartDate
— Date OvernightIndexedSwap
starts payments
Settle
date (default) | datetime array | string array | date character vector
Date OvernightIndexedSwap
starts payments,
specified as StartDate
and a scalar or an
NINST
-by-1
vector using a
datetime array, string array, or date character vectors.
To support existing code, OvernightIndexedSwap
also
accepts serial date numbers as inputs, but they are not recommended.
Use StartDate
to price a forward
OvernightIndexedSwap
, that is, an
OvernightIndexedSwap
that starts at a future
date.
If you use a date character vector or string, the format must be
recognizable by datetime
because
the StartDate
property is stored as a
datetime.
Name
— User-defined name for instrument
" "
(default) | string | string array | character vector | cell array of character vectors
User-defined name for the instrument, specified as
Name
and a scalar string or character vector
or an NINST
-by-1
cell array of
character vectors or string array.
Data Types: char
| cell
| string
Properties
Maturity
— Maturity date
scalar datetime | vector of datetimes
Maturity date, returned as a scalar datetime or an
NINST
-by-1
vector of
datetimes.
Data Types: datetime
LegRate
— Leg rate
matrix
Leg rate, returned as a NINST
-by-2
matrix of decimal values, with each row defined as one of the following:
[CouponRate Spread]
(fixed-float)[Spread CouponRate]
(float-fixed)[CouponRate CouponRate]
(fixed-fixed)[Spread Spread]
(float-float)
Data Types: double
LegType
— Leg type
["fixed","float"]
for each instrument (default) | string array with values ["fixed","fixed"]
,
["fixed","float"]
,
["float","fixed"]
, or
["float","float"]
Leg type, returned as a string array with the values
["fixed","fixed"]
,
["fixed","float"]
,
["float","fixed"]
, or
["float","float"]
.
Data Types: string
ProjectionCurve
— Rate curve used in generating future cash flows
ratecurve.empty
(default) | scalar ratecurve
object | vector of ratecurve
objects
Rate curve used in projecting the future cash flows, returned as a
ratecurve
object or an
NINST
-by-1
vector of
ratecurve
objects.
Data Types: object
Reset
— Reset frequency per year for each swap
[2 2]
(default) | vector
Reset frequency per year for each swap, returned as an
1
-by-2
matrix.
Data Types: double
Basis
— Day count basis
[0 0]
(actual/actual) (default) | integer from 0
to 13
Day count basis, returned as an
1
-by-2
matrix.
Data Types: double
ResetOffset
— Lag in rate setting
[0 0]
(default) | matrix
Lag in rate setting, returned as an
NINST
-by-2
matrix.
Data Types: double
PaymentDelay
— Lag in payment
[0 0]
(default) | matrix
Since R2024a
Lag in payment, returned as an
NINST
-by-2
matrix.
Data Types: double
Notional
— Notional principal amount
100
(default) | scalar numeric | numeric vector
Notional principal amount, returned as a scalar numeric or an
NINST
-by-1
numeric vector.
Data Types: double
HistoricalFixing
— Historical fixing data
timetable.empty
(default) | timetable
Historical fixing data, returned as a timetable.
Data Types: timetable
BusinessDayConvention
— Business day conventions
"actual"
(default) | string | string array
Business day conventions, returned as a string or a
NINST
-by-2
string array if
BusinessDayConvention
is different for each
leg.
Data Types: char
| cell
| string
Holidays
— Holidays used in computing business days
NaT
(default) | datetimes
Holidays used in computing business days, returned as an
NINST
-by-1
vector of
datetimes.
Data Types: datetime
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month with 30 or fewer
days
[true true]
(in effect) (default) | logical with value of true
or
false
| vector of logicals with values of true
or
false
End-of-month rule flag for generating dates when
Maturity
is an end-of-month date for a month with 30
or fewer days, returned as an
NINST
-by-1
matrix (or
NINST
-by-2
matrix if
EndMonthRule
is different for each leg).
Data Types: logical
DaycountAdjustedCashFlow
— Flag to adjust cash flows based on actual period day count
false
(default) | logical value of true
or
false
| vector of logical values of true
or
false
Since R2024a
Flag to adjust cash flows based on actual period day count, returned as an
NINST
-by-1
matrix (or an
NINST
-by-2
matrix if
DaycountAdjustedCashFlow
is different for each leg)
of logicals with values of true
or
false
.
Data Types: logical
StartDate
— Date OvernightIndexedSwap
starts payments
Settle
date (default) | scalar datetime | vector of datetimes
Date OvernightIndexedSwap
starts payments, returned as
a scalar datetime or an NINST
-by-1
vector of datetimes.
Data Types: datetime
Name
— User-defined name for instrument
""
(default) | string | string array
User-defined name for the instrument, returned as a scalar string or an
NINST
-by-1
string array.
Data Types: string
Object Functions
cashflows | Compute cash flow for FixedBond , FloatBond ,
Swap , FRA , STIRFuture ,
OISFuture , OvernightIndexedSwap , or
Deposit instrument |
parswaprate | Compute par swap rate for Swap and
OvernightIndexedSwap instrument |
Examples
Price Overnight Indexed Swap Instrument Using ratecurve
and Discount
Pricer
This example shows the workflow to price an OvernightIndexedSwap
instrument when you use a ratecurve
object and a Discount
pricing method.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
for the underlying interest-rate curve for the OvernightIndexedSwap
instrument.
Settle = datetime(2019,9,15); Type = 'zero'; ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]'; ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]'; ZeroDates = Settle + ZeroTimes; myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 0 Dates: [10x1 datetime] Rates: [10x1 double] Settle: 15-Sep-2019 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create OvernightIndexedSwap
Instrument Object
Use fininstrument
to create an OvernightIndexedSwap
instrument object.
OvernightIndexedSwap = fininstrument("OvernightIndexedSwap",Maturity=datetime(2022,9,15),LegRate=[0.022 0.019 ],LegType=["float","fixed"],Notional=100,ProjectionCurve=myRC,Name="overnight_swap_instrument")
OvernightIndexedSwap = OvernightIndexedSwap with properties: LegRate: [0.0220 0.0190] LegType: ["float" "fixed"] Reset: [2 2] Basis: [0 0] Notional: 100 HistoricalFixing: [0x0 timetable] ResetOffset: [0 0] PaymentDelay: 0 ProjectionCurve: [1x1 ratecurve] BusinessDayConvention: ["actual" "actual"] Holidays: NaT EndMonthRule: [1 1] DaycountAdjustedCashFlow: [0 0] StartDate: NaT Maturity: 15-Sep-2022 Name: "overnight_swap_instrument"
Create Discount
Pricer Object
Use finpricer
to create a Discount
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
outPricer = finpricer("Discount",DiscountCurve=myRC)
outPricer = Discount with properties: DiscountCurve: [1x1 ratecurve]
Price OvernightIndexedSwap
Instrument
Use price
to compute the price and sensitivities for the OvernightIndexedSwap
instrument.
[Price, outPR] = price(outPricer,OvernightIndexedSwap,["all"])
Price = 3.0797
outPR = priceresult with properties: Results: [1x2 table] PricerData: []
outPR.Results
ans=1×2 table
Price DV01
______ _________
3.0797 -0.029334
Price Overnight Indexed Swap Instrument Using ratecurve
and Discount
Pricer and Compute Par Swap Rate
Since R2024a
This example shows the workflow to price an OvernightIndexedSwap
instrument when you use a ratecurve
object and a Discount
pricing method and then use parswaprate
to compute the par swap rate.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
for the underlying interest-rate curve for the OvernightIndexedSwap
instrument.
Settle = datetime(2019,9,15); Type = 'zero'; ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]'; ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]'; ZeroDates = Settle + ZeroTimes; myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 0 Dates: [10x1 datetime] Rates: [10x1 double] Settle: 15-Sep-2019 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create OvernightIndexedSwap
Instrument Object
Use fininstrument
to create an OvernightIndexedSwap
instrument object.
OvernightIndexedSwap = fininstrument("OvernightIndexedSwap",Maturity=datetime(2022,9,15),LegRate=[0.022 0.019 ],LegType=["float","fixed"],Notional=100,ProjectionCurve=myRC,Name="overnight_swap_instrument")
OvernightIndexedSwap = OvernightIndexedSwap with properties: LegRate: [0.0220 0.0190] LegType: ["float" "fixed"] Reset: [2 2] Basis: [0 0] Notional: 100 HistoricalFixing: [0x0 timetable] ResetOffset: [0 0] PaymentDelay: 0 ProjectionCurve: [1x1 ratecurve] BusinessDayConvention: ["actual" "actual"] Holidays: NaT EndMonthRule: [1 1] DaycountAdjustedCashFlow: [0 0] StartDate: NaT Maturity: 15-Sep-2022 Name: "overnight_swap_instrument"
Create Discount
Pricer Object
Use finpricer
to create a Discount
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
outPricer = finpricer("Discount",DiscountCurve=myRC)
outPricer = Discount with properties: DiscountCurve: [1x1 ratecurve]
Price OvernightIndexedSwap
Instrument
Use price
to compute the price and sensitivities for the OvernightIndexedSwap
instrument.
[Price, outPR] = price(outPricer,OvernightIndexedSwap,"all")
Price = 3.0797
outPR = priceresult with properties: Results: [1x2 table] PricerData: []
outPR.Results
ans=1×2 table
Price DV01
______ _________
3.0797 -0.029334
Compute Par Swap Rate
Use parswaprate
to compute the par swap rate for the OvernightIndexedSwap
instrument. The par swap rate is the rate that renders a swap value equal to zero.
outRate = parswaprate(OvernightIndexedSwap,myRC)
outRate = 0.0294
Price Multiple Overnight Indexed Swap Instruments Using ratecurve
and Discount
Pricer
This example shows the workflow to price multiple OvernightIndexedSwap
instruments when you use a ratecurve
object and a Discount
pricing method.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
for the underlying interest-rate curve for the OvernightIndexedSwap
instrument.
Settle = datetime(2020,9,15); Type = 'zero'; ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]'; ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]'; ZeroDates = Settle + ZeroTimes; myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 0 Dates: [10x1 datetime] Rates: [10x1 double] Settle: 15-Sep-2020 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create OvernightIndexedSwap
Instrument Object
Use fininstrument
to create an OvernightIndexedSwap
instrument object for three Overnight Indexed Swap instruments.
OvernightIndexedSwap = fininstrument("OvernightIndexedSwap",Maturity=datetime([2022,9,15 ; 2023,9,15 ; 2024,9,15]),LegRate=[0 0.01],LegType=["float","fixed"],Notional=[100 ; 90; 80],ProjectionCurve=myRC,Name="overnight_swap_instrument")
OvernightIndexedSwap=3×1 OvernightIndexedSwap array with properties:
LegRate
LegType
Reset
Basis
Notional
HistoricalFixing
ResetOffset
PaymentDelay
ProjectionCurve
BusinessDayConvention
Holidays
EndMonthRule
DaycountAdjustedCashFlow
StartDate
Maturity
Name
Create Discount
Pricer Object
Use finpricer
to create a Discount
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
outPricer = finpricer("Discount",DiscountCurve=myRC)
outPricer = Discount with properties: DiscountCurve: [1x1 ratecurve]
Price OvernightIndexedSwap
Instruments
Use price
to compute the prices for the OvernightIndexedSwap
instruments.
Price = price(outPricer,OvernightIndexedSwap)
Price = 3×1
-0.7735
-0.7198
-0.2021
More About
Overnight Indexed Swap
An Overnight Indexed Swap (OIS) is an interest-rate swap where the periodic floating payment is based on a return from a daily compound interest investment.
The OIS involves exchanging the overnight rate for a fixed interest rate. The overnight rate index, such as the federal funds rate, is the underlying rate for the floating leg, while the fixed leg is agreed upon by both parties. Used for short-term interest rate hedging or speculation, an OIS involves a fixed-rate payer and a floating-rate payer who enter a contract specifying the notional amount and maturity. The floating-rate payer's payment, based on the overnight rate index, is calculated daily, while the fixed-rate payer's payment remains constant. Net settlement occurs periodically, typically monthly or quarterly.
To support the LIBOR transition, the OIS
instrument supports
the adoption of alternative reference rates (ARR) like SOFR, EONIA, SONIA, SARON,
and TONAR. The ARRs replace the LIBOR benchmark, which underpins many loans,
mortgages, bonds, and interest-rate derivatives. When discussing LIBOR fallback in
the context of an OIS
instrument, it refers to the transition
from using LIBOR as the reference rate for the floating leg of interest rate swaps,
including OIS
instruments, to using an ARR. Since and
OIS
instrument already uses a risk-free overnight rate for
the floating leg, the main concern with LIBOR fallback in an OIS
instrument is related to the fixed leg of the swaps that might have been benchmarked
against LIBOR. For an example, see Compute LIBOR Fallback.
Version History
Introduced in R2021bR2024a: Added Name-Value Arguments for PaymentDelay
and DaycountAdjustedCashFlow
OvernightIndexedSwap
instruments support name-value arguments
for PaymentDelay
and
DaycountAdjustedCashFlow
.
R2024a: Added Object Function for parswaprate
OvernightIndexedSwap
instruments support an object function for
parswaprate
.
R2022b: Serial date numbers not recommended
Although OvernightIndexedSwap
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
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