Overnight indexed swap

An overnight index swap ( OIS ) is an interest rate swap, in which one side of the swap is equal to the geometric mean of the interest rates of an overnight index (eg EONIA) all days of a period.

At the conclusion of the transaction amount of the fixed rate, the nominal volume and the duration will be agreed.

The currency or the relevant index, the swaps are variously called

  • EUR = EONIA swap
  • USD = Fed Funds Swap
  • GBP = SONIA swap
  • CHF = Tois
  • Financial market activities
  • Interest income
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