Overnight Index Swap – OIS, amortizing (pay fixed – receive floating)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Overnight Index Swap

3 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_IRD_OISAmortFixedFloat_Price

Returns the fixed rate for which the value of an amortized OIS is zero.

GIA_IRD_OISAmortFixedFloat_Price(EDate, FPPD, FrPP, PPP, DR, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp, ApproxType)

Returns: Fixed rate for which the value of an amortized OIS is zero

Argument	Use	Description
`EDate`	Required	The expiry date.
`FPPD`	Required	The first date of the principal payment.
`FrPP`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis method in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`HDates`	Required	The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`HRates`	Required	The array of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_OISAmortFixedFloat_Risk

Returns the risk measures (DV01, Coupon01, Macaulay Duration, Modified Duration) of an amortized OIS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

GIA_IRD_OISAmortFixedFloat_Risk(Notional, EDate, FPPD, FrPP, PPP, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, OT, RM, StartTerm, EndTerm, ApproxType)

Returns: Risk measures (DV01, Coupon01, Macaulay Duration, Modified Duration) of an amortized OIS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`FPPD`	Required	The first date of the principal payment.
`FrPP`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`RateP`	Required	The fixed rate in the pay leg of the swap.
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis method in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`HDates`	Required	The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`HRates`	Required	The array of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`RM`	Required	The risk measure type (DV01, Coupon01, MacaulayDuration, ModifiedDuration)
`StartTerm`	Required	The starting term for Bucket and Key Rate measures.
`EndTerm`	Required	The ending term for Bucket and Key Rate measures.
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_OISAmortFixedFloat_Value

Returns the value of an amortized OIS in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating.

GIA_IRD_OISAmortFixedFloat_Value(Notional, EDate, FPPD, FrPP, PPP, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, OT, ApproxType)

Returns: Value of an amortized OIS in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`FPPD`	Required	The first date of the principal payment.
`FrPP`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`RateP`	Required	The fixed rate in the pay leg of the swap.
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis method in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`HDates`	Required	The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`HRates`	Required	The array of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)