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An OIS, or Overnight Index Swap, is an interest rate swap whose floating leg payments are calculated as a geometric average of the daily fixings of some underlying O/N or T/N index (these indices are generally volume-weighted averages of reported daily transactions). The annualized floating leg rate is defined as $$ c_T^{float} = ...


Cashflow at time $T_i$ $$CF_{T_i} = Not \times cov(T_{i-1},T_i) \times ( L(T_{i-1},T_i) + spread)$$ where $L(T_{i-1},T_i)$ is the Libor fixed at time $T_{i-1}$ and $cov(T_{i-1},T_i)$ is the coverage or daycount fraction for period $[T_{i-1},T_i]$ (which depends on the specified convention eg Act/360). The present value of this cashflow is $$ PV(t) = ...

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